| Publication | Date of Publication | Type |
|---|
| Mixtures of multivariate Gaussians | 2024-11-12 | Paper |
| Optimal asset allocation under search frictions and stochastic interest rate | 2023-08-02 | Paper |
| A hidden Markov regime-switching smooth transition model | 2023-03-30 | Paper |
| Estimating the Matthew Effects: Switching Pareto Dynamics | 2022-11-15 | Paper |
| High dimensional Markovian trading of a single stock | 2022-10-19 | Paper |
| A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING | 2022-09-22 | Paper |
| Conditional coherent risk measures and regime-switching conic pricing | 2022-06-03 | Paper |
| Lower and upper pricing of financial assets | 2022-06-03 | Paper |
| A generalized Esscher transform for option valuation with regime switching risk | 2022-05-27 | Paper |
| Backward stochastic differential equations with regime-switching and sublinear expectations | 2022-04-28 | Paper |
| “Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009 | 2022-02-11 | Paper |
| Filtering Response Directions | 2021-11-05 | Paper |
| Two price economic equilibria and financial market bid/ask prices | 2021-06-28 | Paper |
| Stochastic control for BSDEs and ABSDEs with Markov chain noises | 2020-11-03 | Paper |
| Optimal portfolio execution problem with stochastic price impact | 2020-01-20 | Paper |
| HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS | 2020-01-16 | Paper |
| A level-1 limit order book with time dependent arrival rates | 2020-01-13 | Paper |
| Non-linear expectations in spaces of Colombeau generalized functions | 2019-06-12 | Paper |
| Semimartingale dynamics and estimation for a semi-Markov chain | 2019-04-30 | Paper |
| Optimal execution with regime-switching market resilience | 2019-03-27 | Paper |
| Malliavin calculus in a binomial framework | 2019-03-07 | Paper |
| Perpetual American options with fractional Brownian motion | 2019-01-15 | Paper |
| An interest rate model with a Markovian mean reverting level | 2019-01-14 | Paper |
| Pricing options in a Markov regime switching model with a random acceleration for the volatility | 2018-11-29 | Paper |
| Estimating a regime switching pairs trading model | 2018-11-14 | Paper |
| Quadratic hedging schemes for non-Gaussian GARCH models | 2018-11-01 | Paper |
| A semi-martingale representation for a semi-Markov chain with application to finance | 2018-10-10 | Paper |
| General equilibrium pricing with multiple dividend streams and regime switching | 2018-09-19 | Paper |
| Default Times in a Continuous Time Markov Chain Economy | 2018-09-05 | Paper |
| Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes | 2018-07-20 | Paper |
| A higher-order interactive hidden Markov model and its applications | 2018-06-20 | Paper |
| A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows | 2018-02-13 | Paper |
| Introduction to Hidden Semi-Markov Models | 2018-01-02 | Paper |
| Viterbi-Based Estimation for Markov Switching GARCH Model | 2017-10-05 | Paper |
| Filtering a Double Threshold Model With Regime Switching | 2017-09-08 | Paper |
| A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel | 2017-09-08 | Paper |
| A Nash equilibrium filter | 2017-09-06 | Paper |
| Filtering a Markov Modulated Random Measure | 2017-08-25 | Paper |
| Asset pricing using trading volumes in a hidden regime-switching environment | 2017-08-17 | Paper |
| Optimal Linear Estimation and Data Fusion | 2017-07-27 | Paper |
| Robust continuous-time smoothers without two-sided stochastic integrals | 2017-06-20 | Paper |
| Hidden Markov models with threshold effects and their applications to oil price forecasting | 2017-06-12 | Paper |
| Filtering With Uncertain Noise | 2017-06-08 | Paper |
| On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems | 2017-05-03 | Paper |
| A simple efficient approximation to price basket stock options with volatility smile | 2017-04-28 | Paper |
| Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations | 2017-04-25 | Paper |
| Non-Gaussian GARCH option pricing models and their diffusion limits | 2016-10-06 | Paper |
| On anticipated backward stochastic differential equations with Markov chain noise | 2016-09-26 | Paper |
| Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise | 2016-05-23 | Paper |
| Solutions of Backward Stochastic Differential Equations on Markov Chains | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2790484 | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2790522 | 2016-03-04 | Paper |
| Event-based state estimation of discrete-state hidden Markov models | 2016-01-28 | Paper |
| Credit risk and contagion via self-exciting default intensity | 2016-01-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3462068 | 2016-01-04 | Paper |
| Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case | 2015-11-26 | Paper |
| Backward stochastic difference equations for dynamic convex risk measures on a binomial tree | 2015-10-30 | Paper |
| On Binomial Observations of Continuous-Time Markovian Population Models | 2015-10-02 | Paper |
| A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL | 2015-07-23 | Paper |
| Dynamic optimal capital structure with regime switching | 2015-06-26 | Paper |
| Discrete time mean-field stochastic linear-quadratic optimal control problems | 2015-06-25 | Paper |
| A modified hidden Markov model | 2015-06-25 | Paper |
| Option valuation under a regime-switching constant elasticity of variance process | 2015-06-18 | Paper |
| On pricing barrier options with regime switching | 2015-06-16 | Paper |
| Stochastic Calculus and Applications | 2015-06-11 | Paper |
| Filtering and change point estimation for hidden Markov-modulated Poisson processes | 2015-05-19 | Paper |
| Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model | 2015-05-12 | Paper |
| A Note on Differentiability in a Markov Chain Market Using Stochastic Flows | 2015-03-23 | Paper |
| Pricing currency derivatives with Markov-modulated Lévy dynamics | 2015-01-28 | Paper |
| Pricing of discount bonds with a Markov switching regime | 2014-12-12 | Paper |
| Strategic asset allocation under a fractional hidden Markov model | 2014-12-05 | Paper |
| Some properties of generalized anticipated backward stochastic differential equations | 2014-09-22 | Paper |
| OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR | 2014-06-13 | Paper |
| American option prices in a Markov chain market model | 2014-05-06 | Paper |
| Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options | 2014-04-08 | Paper |
| Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options | 2014-04-08 | Paper |
| Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case | 2014-02-20 | Paper |
| Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options | 2014-02-11 | Paper |
| Filtering hidden semi-Markov chains | 2014-02-11 | Paper |
| Fractional differencing in discrete time | 2014-02-08 | Paper |
| A risk-based approach for pricing American options under a generalized Markov regime-switching model | 2013-12-13 | Paper |
| A Bayesian approach for optimal reinsurance and investment in a diffusion model | 2013-12-04 | Paper |
| An HMM approach for optimal investment of an insurer | 2013-11-26 | Paper |
| Filters and smoothers for self-exciting Markov modulated counting processes | 2013-11-25 | Paper |
| Markovian forward-backward stochastic differential equations and stochastic flows | 2013-08-27 | Paper |
| Multiple Solutions to Stochastic Differential Delay Equations and a Related Comparison Theorem | 2013-08-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925766 | 2013-06-12 | Paper |
| ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET | 2013-03-12 | Paper |
| Change point estimation for continuous-time hidden Markov models | 2013-03-06 | Paper |
| A converse comparison theorem for anticipated BSDEs and related non-linear expectations | 2013-01-24 | Paper |
| Optimal Design of Dynamic Default Risk Measures | 2013-01-19 | Paper |
| Backward stochastic difference equations for a single jump process | 2013-01-11 | Paper |
| A BSDE Approach to Convex Risk Measures for Derivative Securities | 2012-12-13 | Paper |
| Existence, uniqueness and comparisons for BSDEs in general spaces | 2012-11-29 | Paper |
| Markov Chain Hitting Times | 2012-11-09 | Paper |
| Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions | 2012-11-09 | Paper |
| Measure Theory and Filtering | 2012-09-20 | Paper |
| Markovian regime-switching market completion using additional Markov jump assets | 2012-09-13 | Paper |
| Backward Stochastic Difference Equations with Finite States | 2012-09-07 | Paper |
| A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance | 2012-08-10 | Paper |
| Filtering a nonlinear stochastic volatility model | 2012-07-17 | Paper |
| Portfolio risk minimization and differential games | 2012-06-09 | Paper |
| A PDE approach for risk measures for derivatives with regime switching | 2012-03-06 | Paper |
| Option pricing and Esscher transform under regime switching | 2012-03-05 | Paper |
| Insurance claims modulated by a hidden Brownian marked point process | 2012-02-10 | Paper |
| Esscher transforms and consumption-based models | 2012-02-10 | Paper |
| An M-ary detection approach for asset allocation | 2012-02-05 | Paper |
| On filtering and estimation of a threshold stochastic volatility model | 2012-01-13 | Paper |
| Characteristic functions and option valuation in a Markov chain market | 2011-12-18 | Paper |
| A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS | 2011-10-24 | Paper |
| Default Times in a Continuous-Time Markovian Regime Switching Model | 2011-10-21 | Paper |
| Ruin Theory in a Hidden Markov-Modulated Risk Model | 2011-10-21 | Paper |
| Utility-based indifference pricing in regime-switching models | 2011-10-17 | Paper |
| Backward Stochastic Differential Equations for a Single Jump Process | 2011-08-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3015769 | 2011-07-13 | Paper |
| Pricing and hedging contingent claims with regime switching risk | 2011-06-28 | Paper |
| A Nonlinear Filter with Fractional Gaussian Noise | 2011-06-07 | Paper |
| Control of discrete-time HMM partially observed under fractional Gaussian noises | 2011-05-31 | Paper |
| Comparison Theorems for Finite State Backward Stochastic Differential Equations | 2011-05-31 | Paper |
| Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations | 2011-05-17 | Paper |
| A stochastic differential game for optimal investment of an insurer with regime switching | 2011-04-28 | Paper |
| On pricing and hedging options in regime-switching models with feedback effect | 2011-03-31 | Paper |
| A filter for a hidden Markov chain observed in fractional Gaussian noise | 2011-03-03 | Paper |
| A BSDE approach to a risk-based optimal investment of an insurer | 2011-02-21 | Paper |
| A general comparison theorem for backward stochastic differential equations | 2010-11-26 | Paper |
| A filter for a state space model with fractional Gaussian noise | 2010-11-25 | Paper |
| On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy | 2010-09-20 | Paper |
| A Zakai equation derivation of the extended Kalman filter | 2010-08-13 | Paper |
| Nonlinear Filter Estimation of Volatility | 2010-08-11 | Paper |
| A general theory of finite state backward stochastic difference equations | 2010-04-08 | Paper |
| Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions | 2010-03-08 | Paper |
| A hidden Markov model of credit quality | 2010-01-19 | Paper |
| Risk-hedging in real estate markets | 2009-12-11 | Paper |
| VaR and expected shortfall: a non-normal regime switching framework | 2009-10-16 | Paper |
| On Markov‐modulated Exponential‐affine Bond Price Formulae | 2009-09-13 | Paper |
| INVESTMENT TIMING UNDER REGIME SWITCHING | 2009-08-10 | Paper |
| Parameter estimation in commodity markets: a filtering approach | 2009-07-01 | Paper |
| Multiple priors and asset pricing | 2009-06-16 | Paper |
| Robust optimal portfolio choice under Markovian regime-switching model | 2009-06-16 | Paper |
| A Viterbi smoother for discrete state space model | 2009-06-08 | Paper |
| Asset Prices With Regime-Switching Variance Gamma Dynamics | 2009-06-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613982 | 2009-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506184 | 2009-01-28 | Paper |
| Risk-Sensitive Filtering and Smoothing for Continuous-Time Markov Processes | 2008-12-21 | Paper |
| A Ring Isomorphism and corresponding Pseudoinverses | 2008-10-01 | Paper |
| Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models | 2008-08-21 | Paper |
| A Non-Linear Filter | 2008-08-07 | Paper |
| The Solution of a Free Boundary Problem Related to Environmental Management Systems | 2007-12-12 | Paper |
| The Term Structure of Interest Rates in a Hidden Markov Setting | 2007-11-05 | Paper |
| Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets | 2007-11-05 | Paper |
| Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality | 2007-11-05 | Paper |
| Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model | 2007-09-21 | Paper |
| Risk measures for derivatives with Markov-modulated pure jump processes | 2007-08-27 | Paper |
| Cutting the hedge | 2007-08-17 | Paper |
| Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching | 2007-06-07 | Paper |
| A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE | 2007-02-08 | Paper |
| Option pricing for pure jump processes with Markov switching compensators | 2006-12-08 | Paper |
| OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING | 2006-09-12 | Paper |
| Stochastic Volatility Model with Filtering | 2006-07-13 | Paper |
| Binomial models in finance. | 2006-03-23 | Paper |
| Pairs trading | 2005-12-09 | Paper |
| Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market | 2005-11-25 | Paper |
| PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS | 2005-11-15 | Paper |
| Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market | 2005-11-11 | Paper |
| A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL | 2005-10-19 | Paper |
| PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS | 2005-06-22 | Paper |
| AMERICAN OPTIONS WITH REGIME SWITCHING | 2005-06-22 | Paper |
| Hidden Markov Chain Filtering for a Jump Diffusion Model | 2005-05-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160500 | 2005-02-09 | Paper |
| Finite-Dimensional Filtering and Control for Continuous-Time Nonlinear Systems | 2005-01-20 | Paper |
| Mathematics of financial markets. | 2005-01-11 | Paper |
| Measure Theory and Filtering | 2004-11-24 | Paper |
| On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half | 2004-05-27 | Paper |
| A method for portfolio choice | 2004-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438197 | 2004-02-25 | Paper |
| Conditional Moment Generating Functions for Integrals and Stochastic Integrals | 2004-01-08 | Paper |
| A General Fractional White Noise Theory And Applications To Finance | 2003-08-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550914 | 2003-05-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741102 | 2002-10-26 | Paper |
| On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise characteristics | 2002-09-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2707625 | 2002-08-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782357 | 2002-08-05 | Paper |
| A CONTINUOUS TIME KRONECKER'S LEMMA AND MARTINGALE CONVERGENCE | 2002-08-01 | Paper |
| Stochastic flows and the forward measure | 2002-03-13 | Paper |
| Modal estimation in hybrid systems | 2001-11-29 | Paper |
| On Models of Default Risk | 2001-03-29 | Paper |
| Filtering with discrete state observations | 2001-02-27 | Paper |
| New finite-dimensional risk-sensitive filters: small noise limits | 2000-10-17 | Paper |
| New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models | 2000-10-17 | Paper |
| Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities | 2000-10-17 | Paper |
| Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity | 2000-10-17 | Paper |
| Information states in stochastic control and filtering: a Lie algebraic theoretic approach | 2000-10-17 | Paper |
| A martingale Kronecker lemma and parameter estimation for linear systems | 2000-10-17 | Paper |
| A genetic filtering problem∗ | 2000-07-03 | Paper |
| Incomplete markets with jumps and informed agents | 2000-05-07 | Paper |
| Discrete time filters for doubly stochastic poisson processes and other exponential noise models | 2000-04-06 | Paper |
| Short rate analysis and marked point processes | 1999-11-01 | Paper |
| Option pricing with regulated fractional Brownian motion | 1999-09-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227215 | 1999-08-26 | Paper |
| Adaptive control of linear systems with Markov perturbations | 1999-08-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218379 | 1999-06-23 | Paper |
| A finite-dimensional filter for hybrid observations | 1999-04-07 | Paper |
| A Discrete Time Equivalent Martingale Measure | 1999-04-06 | Paper |
| An application of hidden Markov models to asset allocation problems | 1999-03-09 | Paper |
| M.A.P.Estimation for hidden discrete Markov random fields | 1999-02-02 | Paper |
| Zakai equations for hilbert space valued processes∗ | 1998-09-01 | Paper |
| Mathematics of financial markets | 1998-08-31 | Paper |
| Almost sure parameter estimation and convergence rates for hidden Markov models | 1998-08-13 | Paper |
| New explicit filters and smoothers for diffusions with nonlinear drift and measurements | 1998-08-13 | Paper |
| Drift and volatility estimation in discrete time | 1998-06-30 | Paper |
| Exact finite-dimensional filters for doubly stochastic auto-regressive processes | 1998-05-12 | Paper |
| Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws | 1998-05-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4386557 | 1998-04-29 | Paper |
| Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1 | 1998-04-05 | Paper |
| Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems | 1998-02-09 | Paper |
| ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1 | 1998-01-21 | Paper |
| DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1 | 1998-01-21 | Paper |
| Filters for estimating Markov modulated Poisson processes and image-based tracking | 1997-12-22 | Paper |
| Finite-dimensional solutions of a modified Zakai equation | 1997-11-13 | Paper |
| Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems | 1997-11-10 | Paper |
| Exact hybrid filters in discrete time | 1997-10-27 | Paper |
| Portfolio optimization and contingent claim pricing with differential information | 1997-08-07 | Paper |
| ATTAINABLE CLAIMS IN A MARKOV MARKET | 1997-03-23 | Paper |
| MAP estimation using measure change for continuous-state random fields | 1997-02-28 | Paper |
| Finite-dimensional quasi-linear risk-sensitive control | 1997-02-28 | Paper |
| Measure change techniques in optimal control | 1997-02-25 | Paper |
| Estimation for hidden Markov random fields | 1997-02-09 | Paper |
| Risk-sensitive and risk-neutral control for continuous-time hidden Markov models | 1996-12-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4890949 | 1996-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4877356 | 1996-07-16 | Paper |
| General finite-dimensional risk-sensitive problems and small noise limits | 1996-05-05 | Paper |
| A Finite-Dimensional Risk-Sensitive Control Problem | 1996-02-08 | Paper |
| Recursive estimation for hidden Markov models: a dependent case | 1995-11-05 | Paper |
| The second order minimum principle and adjoint process | 1995-10-31 | Paper |
| Exact adaptive filters for Markov chains observed in Gaussian noise | 1995-10-23 | Paper |
| Finite-dimensional models for hidden Markov chains | 1995-10-08 | Paper |
| Estimating the instantaneous volatility and covariance of risky assets | 1995-07-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140688 | 1995-07-16 | Paper |
| Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems | 1995-03-02 | Paper |
| Estimation for discrete Markov random fields observed in Gaussian noise | 1995-03-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4323296 | 1995-02-14 | Paper |
| Celestial signal estimation | 1994-11-28 | Paper |
| Estimating the implicit interest rate of a risky asset | 1994-10-10 | Paper |
| A general recursive discrete-time filter | 1994-05-24 | Paper |
| Control of partially observed diffusions | 1994-04-27 | Paper |
| Control of a hybrid conditionally linear Gaussian process | 1994-04-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4283305 | 1994-03-11 | Paper |
| Measure change estimates for hidden Markov models | 1994-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3138631 | 1993-11-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3139219 | 1993-11-11 | Paper |
| Integration by parts for Poisson processes | 1993-05-16 | Paper |
| New finite-dimensional filters and smoothers for noisily observed Markov chains | 1993-05-16 | Paper |
| Finite dimensional predictors for hidden Markov chains | 1993-01-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3996708 | 1992-09-17 | Paper |
| A partially observed control problem for Markov chains | 1992-07-22 | Paper |
| Integration by parts for the single jump process | 1992-06-28 | Paper |
| Equivalent martingale measures for bridge processes | 1992-06-27 | Paper |
| Martingale representation and hedging policies | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3974819 | 1992-06-26 | Paper |
| Markov bridges and enlarged filtrations | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3209938 | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3348845 | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3352206 | 1991-01-01 | Paper |
| Approximations for the values of american options | 1991-01-01 | Paper |
| A proof of the minimum principle using flows | 1990-01-01 | Paper |
| Time reversal of non-Markov point processes | 1990-01-01 | Paper |
| Filtering for a logistic equation | 1990-01-01 | Paper |
| Filtering with a small nonlinear term in the signal | 1990-01-01 | Paper |
| The optimal control of diffusions | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3200962 | 1990-01-01 | Paper |
| Option pricing and hedge portfolios for poisson progresses | 1990-01-01 | Paper |
| Integration by parts, homogeneous chaos expansions and smooth densities | 1989-01-01 | Paper |
| Direct solutions of Kolmogorov's equations by stochastic flows | 1989-01-01 | Paper |
| The existence of smooth densities for the prediction filtering and smoothing problems | 1989-01-01 | Paper |
| The variational principle for optimal control of diffusions with partial information | 1989-01-01 | Paper |
| Martingale representation and the Malliavin calculus | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3031735 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3034617 | 1989-01-01 | Paper |
| Bilateral prediction | 1989-01-01 | Paper |
| Integration by parts and densities for jump processes | 1989-01-01 | Paper |
| The Partially Observed Stochastic Minimum Principle | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4731735 | 1989-01-01 | Paper |
| Approximations to solutions of the zakai filtering equation | 1989-01-01 | Paper |
| A short proof of a martingale representation result | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3789467 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3793527 | 1988-01-01 | Paper |
| Nonlinear filtering and Riemannian scalar curvature, \({\mathbb{R}}\) | 1987-01-01 | Paper |
| Enlarged filtrations for diffusions | 1987-01-01 | Paper |
| An Extension of Ito’s Differentiation Formula | 1987-01-01 | Paper |
| Reverse time differentiation and smoothing formulae for a finite state Markov process | 1986-01-01 | Paper |
| The optimal control of a two-parameter jump process | 1986-01-01 | Paper |
| Nonlinear filtering theory for coral/starfish and plant/herbivore interactions† | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3715965 | 1986-01-01 | Paper |
| Reverse-time Markov processes (Corresp.) | 1986-01-01 | Paper |
| The Zakai forms of the prediction and smoothing equations (Corresp.) | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3768099 | 1986-01-01 | Paper |
| Reverse time diffusions | 1985-01-01 | Paper |
| Filtrations for the two parameter jump process | 1985-01-01 | Paper |
| A special semimartingale derivation of smoothing and prediction equations | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3676904 | 1985-01-01 | Paper |
| The Single Jump Process with Some Statistical Applications | 1985-01-01 | Paper |
| Convergence of the empirical distribution to the poisson process | 1984-01-01 | Paper |
| Semimartingales and the empirical distribution | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3678400 | 1984-01-01 | Paper |
| On the existence of optimal partially observed controls | 1982-01-01 | Paper |
| Prior play in a deterministic differential game | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3663128 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3964431 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3969647 | 1982-01-01 | Paper |
| Component Failure and Compensators | 1982-01-01 | Paper |
| Robust filtering for correlated multidimensional observations | 1981-01-01 | Paper |
| Martingales, potentials and exponentials associated with a two-parameter jump process | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3908248 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3908264 | 1981-01-01 | Paper |
| Optimal Play in a Stochastic Differential Game | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3924933 | 1981-01-01 | Paper |
| The variational principle and stochastic optimal control | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3959018 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3208554 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3851357 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4201365 | 1979-01-01 | Paper |
| Levy functionals and jump process martingales | 1977-01-01 | Paper |
| Levy systems and absolutely continuous changes of measure for a jump process | 1977-01-01 | Paper |
| Innovation projections of a jump process and local martingales | 1977-01-01 | Paper |
| Optimal control of a jump process | 1977-01-01 | Paper |
| The Optimal Control of a Stochastic System | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4138608 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4158910 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4166613 | 1977-01-01 | Paper |
| Stochastic integrals for martingales of a jump process with partially accessible jump times | 1976-01-01 | Paper |
| The Existence of Value in Stochastic Differential Games | 1976-01-01 | Paper |
| A stochastic minimum principle | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4143959 | 1976-01-01 | Paper |
| A Note on Generalized Pursuit-Evasion Games | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4077837 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4096746 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4096747 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4096748 | 1975-01-01 | Paper |
| Boundary value problems for nonlinear partial differential operators | 1974-01-01 | Paper |
| Quasilinear resolutions of non-linear equations | 1974-01-01 | Paper |
| Alternate play in differential games | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4051955 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4056977 | 1974-01-01 | Paper |
| Cauchy Problems for Certain Isaacs-Bellman Equations and Games of Survival | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4072394 | 1974-01-01 | Paper |
| Saddle Points for Linear Differential Games | 1973-01-01 | Paper |
| Upper values of differential games | 1973-01-01 | Paper |
| A max-min differential game in Hilbert space | 1972-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5638153 | 1972-01-01 | Paper |
| Values in differential games | 1972-01-01 | Paper |
| The existence of value in differential games | 1972-01-01 | Paper |
| The existence of value in differential games of pursuit and evasion | 1972-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5584881 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5592553 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5598595 | 1970-01-01 | Paper |
| Some Results on Diagrams of Topological Groups | 1970-01-01 | Paper |
| Almost Hypoelliptic Differential Operators | 1969-01-01 | Paper |
| Inductive Limits of Uniform Spaces | 1967-01-01 | Paper |
| Analytic Functions in Locally Convex Algebras | 1966-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5512374 | 1965-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5512375 | 1965-01-01 | Paper |
