Peter Grandits

Available identifiers

zbMath Open grandits.peterMaRDI QIDQ358617

List of research outcomes

Publication	Date of Publication	Type
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem	2023-10-12	Paper
An Alexandrov-Bakelman-Pucci estimate for an anisotropic Laplacian with positive drift in unbounded domains	2021-10-08	Paper
Ruin probability in a two-dimensional model with correlated Brownian motions	2021-07-21	Paper
Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift	2021-07-09	Paper
On the gain of collaboration in a two dimensional ruin problem	2020-03-06	Paper
A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant	2020-02-17	Paper
Optimal control and the value of information for a stochastic epidemiological SIS-model	2019-05-10	Paper
Some notes on Sonine–Gegenbauer integrals	2018-12-18	Paper
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem	2018-12-14	Paper
Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon	2016-08-10	Paper
An optimal consumption problem in finite time with a constraint on the ruin probability	2015-11-09	Paper
Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon	2014-09-18	Paper
Optimal consumption under deterministic income	2014-07-04	Paper
Optimal consumption in a Brownian model with absorption and finite time horizon	2013-08-09	Paper
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation	2011-11-27	Paper
Risk averse asymptotics in a Black--Scholes market on a finite time horizon	2011-09-20	Paper
ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS	2010-09-21	Paper
Optimal expected exponential utility of dividend payments in a Brownian risk model	2009-02-28	Paper
A regularity theorem for a Volterra integral equation of the second kind	2009-02-19	Paper
Minimal ruin probabilities and investment under interest force for a class of subexponential distributions	2007-12-16	Paper
Risk Averse Asymptotics and the Optional Decomposition	2007-09-17	Paper
A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market	2007-03-02	Paper
Ruin probabilities and investment under interest force in the presence of regularly varying tails	2006-05-24	Paper
An analogue of the Cramér-Lundberg approximation in the optimal investment case	2004-10-28	Paper
Asymptotic ruin probabilities and optimal investment	2004-03-21	Paper
Ruin probabilities in the presence of regularly varying tails and optimal investment.	2003-11-16	Paper
On the minimal entropy martingale measure.	2003-05-06	Paper
Exponential Hedging and Entropic Penalties	2002-10-28	Paper
Embedding in Brownian motion with drift and the Azéma-Yor construction	2002-08-29	Paper
Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE	2002-04-17	Paper
ON NON-SUPERSYMMETRIC FINITE QUANTUM FIELD THEORIES	2002-02-26	Paper
Leland's Approach to Option Pricing: The Evolution of a Discontinuity	2001-11-26	Paper
TOWARDS A CLASSIFICATION OF FINITE FIELD THEORIES	2001-07-31	Paper
NO-GO THEOREMS FOR NONSUPERSYMMETRIC FINITE QUANTUM FIELD THEORIES	2001-07-31	Paper
https://portal.mardi4nfdi.de/entity/Q4938942	2001-02-01	Paper
On Martingale Measures for Stochastic Processes with Independent Increments	2000-10-19	Paper
The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure	1999-10-17	Paper
https://portal.mardi4nfdi.de/entity/Q4213415	1998-11-25	Paper
https://portal.mardi4nfdi.de/entity/Q4892169	1997-03-23	Paper
A mixed bvp for flow in strongly anisotropic media	1990-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q5750949	1990-01-01	Paper

Research outcomes over time

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