| Publication | Date of Publication | Type |
|---|
Quadratic Hedging with Mixed State and Control Constraints
Lecture Notes in Control and Information Sciences - Proceedings | 2019-02-25 | Paper |
Quadratic minimization with portfolio and intertemporal wealth constraints
Annals of Finance | 2017-11-16 | Paper |
Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
SIAM Journal on Control and Optimization | 2015-09-14 | Paper |
Quadratic minimization with portfolio and terminal wealth constraints
Annals of Finance | 2015-06-26 | Paper |
Quadratic risk minimization in a regime-switching model with portfolio constraints
SIAM Journal on Control and Optimization | 2012-11-29 | Paper |
The innovations problem
| 2011-07-13 | Paper |
Conjugate duality in problems of constrained utility maximization
Stochastics | 2010-03-18 | Paper |
On the innovations conjecture of nonlinear filtering with dependent data
Electronic Journal of Probability | 2009-11-20 | Paper |
Convex duality in constrained mean-variance portfolio optimization
Advances in Applied Probability | 2007-04-26 | Paper |
Strong invariance principle for singular diffusions.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
On the Poisson equation for singular diffusions
Stochastics | 2005-08-25 | Paper |
Convergence of nonlinear filters for randomly perturbed dynamical systems
Applied Mathematics and Optimization | 2003-12-16 | Paper |
On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
The Annals of Applied Probability | 2003-05-06 | Paper |
Law of the Iterated Logarithm for a Constant-Gain Linear Stochastic Gradient Algorithm
SIAM Journal on Control and Optimization | 2000-10-18 | Paper |
Averaging principle for diffusion processes
Stochastics and Stochastic Reports | 1999-01-18 | Paper |
Strong diffusion approximations for recursive stochastic algorithms
IEEE Transactions on Information Theory | 1997-01-01 | Paper |
Strong convergence in the stochastic averaging principle
Journal of Mathematical Analysis and Applications | 1995-05-30 | Paper |
A law of the iterated logarithm for stochastic processes defined by differential equations with a small parameter
The Annals of Probability | 1994-11-20 | Paper |
Rates of Convergence for an Adaptive Filtering Algorithm Driven by Stationary Dependent Data
SIAM Journal on Control and Optimization | 1994-04-26 | Paper |
Rates of convergence in a central limit theorem for stochastic processes defined by differential equations with a small parameter
Journal of Multivariate Analysis | 1993-01-17 | Paper |
scientific article; zbMATH DE number 17498 (Why is no real title available?)
| 1992-06-26 | Paper |
On the stochastic differential equations of filtering theory
Applied Mathematics and Computation | 1990-01-01 | Paper |
On the stochastic differential equations of filtering theory
Applied Mathematics and Computation | 1990-01-01 | Paper |
Asymptotic properties of prediction error estimators in approximate system identification
Stochastics | 1988-01-01 | Paper |
Non-linear filtering of rare events with large signal-to-noise ratio
Journal of Applied Probability | 1987-01-01 | Paper |
On the prevalence of stochastic differential equations with unique strong solutions
The Annals of Probability | 1986-01-01 | Paper |
A limit theorem for the martingale problem and continuous dependence of the solutions of stochastic differential equations
Stochastics | 1986-01-01 | Paper |
Use of a Monte Carlo method in an algorithm which solves a set of functional inequalities
Journal of Optimization Theory and Applications | 1985-01-01 | Paper |
Continuous dependence of the solutions of an ordinary differential equation
Journal of Differential Equations | 1984-01-01 | Paper |
Solving nonlinear inequalities in a finite number of iterations
Journal of Optimization Theory and Applications | 1981-01-01 | Paper |
