| Publication | Date of Publication | Type |
|---|
| Limits of Limit-Order Books | 2023-12-03 | Paper |
| Diffusion Limit of Poisson Limit-Order Book Models | 2020-08-03 | Paper |
| Utility Maximization Trading Two Futures with Transaction Costs | 2014-01-23 | Paper |
| Mimicking an Itō process by a solution of a stochastic differential equation | 2013-09-05 | Paper |
| Futures trading with transaction costs | 2013-01-04 | Paper |
| Heavy traffic analysis for EDF queues with reneging | 2011-05-11 | Paper |
| Optimal Execution in a General One-Sided Limit-Order Book | 2011-05-02 | Paper |
| Double Skorokhod Map and Reneging Real-Time Queues | 2009-05-22 | Paper |
| An explicit formula for the Skorokhod map on \([0,a\)] | 2007-10-17 | Paper |
| Accuracy of state space collapse for earliest-deadline-first queues | 2007-08-08 | Paper |
| A Two‐Person Game for Pricing Convertible Bonds | 2007-07-25 | Paper |
| A GENERAL FRAMEWORK FOR PRICING CREDIT RISK | 2005-05-09 | Paper |
| Perpetual Convertible Bonds | 2005-02-28 | Paper |
| Asymptotic analysis of optimal investment and consumption with transaction costs. | 2004-11-24 | Paper |
| Stochastic calculus for finance. I: The binomial asset pricing model. | 2004-10-12 | Paper |
| Stochastic calculus for finance. II: Continuous-time models. | 2004-10-12 | Paper |
| Earliest-deadline-first service in heavy-traffic acyclic networks. | 2004-09-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4495096 | 2004-03-11 | Paper |
| Multiple-input heavy-traffic real-time queues. | 2003-05-06 | Paper |
| Real-time queues in heavy traffic with earliest-deadline-first queue discipline | 2003-05-06 | Paper |
| Valuation of exotic options under shortselling constraints | 2002-12-01 | Paper |
| Options on a traded account: Vacation calls, vacation puts and passport options | 2001-03-01 | Paper |
| Robustness of the Black and Scholes Formula | 1998-12-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4368791 | 1997-12-10 | Paper |
| Equilibrium Models With Singular Asset Prices | 1997-08-31 | Paper |
| Optimal Investment and Consumption With Two Bonds and Transaction Costs1 | 1997-08-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868518 | 1996-07-24 | Paper |
| There is no nontrivial hedging portfolio for option pricing with transaction costs | 1996-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3139213 | 1994-12-12 | Paper |
| Optimal investment and consumption with transaction costs | 1994-11-22 | Paper |
| A Tribute to Wendell H. Fleming | 1993-09-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4039796 | 1993-06-05 | Paper |
| A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients | 1993-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4002114 | 1992-09-18 | Paper |
| A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients | 1992-06-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3973611 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3977320 | 1992-06-25 | Paper |
| A free boundary problem related to singular stochastic control: the parabolic case | 1992-06-25 | Paper |
| Martingale and Duality Methods for Utility Maximization in an Incomplete Market | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3354421 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3360772 | 1990-01-01 | Paper |
| Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model | 1990-01-01 | Paper |
| Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem | 1989-01-01 | Paper |
| A decomposition of the Brownian path | 1987-01-01 | Paper |
| Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon | 1987-01-01 | Paper |
| Absolutely continuous and singular stochastic control† | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3714851 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3760262 | 1986-01-01 | Paper |
| Equivalent models for finite-fuel stochastic control | 1986-01-01 | Paper |
| Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3762023 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3772035 | 1985-01-01 | Paper |
| Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control | 1984-01-01 | Paper |
| Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers | 1984-01-01 | Paper |
| Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems | 1984-01-01 | Paper |
| Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy | 1983-01-01 | Paper |
| A note on optimal switching between two activities | 1981-01-01 | Paper |
| Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift | 1981-01-01 | Paper |
| Borel-approachable functions | 1981-01-01 | Paper |
| Strong consistency of a modified maximum likelihood estimator for controlled Markov chains | 1980-01-01 | Paper |
| Existence of optimal stationary policies in deterministic optimal control | 1979-01-01 | Paper |
| Probability measures and the C-sets of Selivanovskij | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4194027 | 1979-01-01 | Paper |
| Universally Measurable Policies in Dynamic Programming | 1979-01-01 | Paper |
| Stochastic optimal control. The discrete time case | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3908788 | 1978-01-01 | Paper |
| Alternative Theoretical Frameworks for Finite Horizon Discrete-Time Stochastic Optimal Control | 1978-01-01 | Paper |
