| Publication | Date of Publication | Type |
|---|
| Spectral representation of two-sided signals from \(\ell_\infty\) and applications to signal processing | 2024-11-06 | Paper |
| Optimal replication of random claims by ordinary integrals with applications in finance | 2024-07-05 | Paper |
| Near-ideal predictors and causal filters for discrete-time signals | 2024-01-11 | Paper |
| On statistical indistinguishability of complete and incomplete discrete time market models | 2023-11-17 | Paper |
| Predictors for high frequency signals based on rational polynomial approximation of periodic exponentials | 2023-07-21 | Paper |
| On the fractional stochastic integration for random non-smooth integrands | 2023-05-15 | Paper |
| On recovery of discrete time signals with single-point spectrum degeneracy | 2023-05-11 | Paper |
| Optimal portfolio and certainty equivalence estimator for the appreciation rate | 2022-09-14 | Paper |
| Extrapolation and sampling for processes on spatial graphs | 2022-08-02 | Paper |
| Regularity of complexified hyperbolic equations with integral conditions | 2022-07-15 | Paper |
| On backward SPDEs without proper Cauchy condition | 2022-07-07 | Paper |
| On degenerate backward SPDEs in bounded domains under non-local conditions | 2022-07-05 | Paper |
| On data compression and recovery for sequences using constraints on the spectrum range | 2022-01-20 | Paper |
| On linear weak predictability with single point spectrum degeneracy | 2021-06-29 | Paper |
| On incompleteness of polynomials in some weighted spaces on half line | 2020-05-19 | Paper |
| On causal extrapolation of sequences with applications to forecasting | 2019-07-10 | Paper |
| On recovering of solutions of Schr\"odinger equations from their time averages | 2019-06-19 | Paper |
| Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization | 2019-06-18 | Paper |
| On approximation of the distribution for Pearson statistic | 2019-05-20 | Paper |
| Pathwise estimation and inference for diffusion market models | 2019-03-11 | Paper |
| A Closed Equation in Time Domain for Band-Limited Extensions of One-Sided Sequences | 2019-02-12 | Paper |
| Stochastic control problems and HJB equations with excluded parameters of random inputs | 2019-02-04 | Paper |
| Optimal portfolio selection and compression in an incomplete market | 2019-01-14 | Paper |
| On recovering parabolic diffusions from their time-averages | 2019-01-10 | Paper |
| On the structure of multifactor optimal portfolio strategies | 2018-12-21 | Paper |
| On asymptotic optimality of Merton's myopic portfolio strategies under time discretization | 2018-09-27 | Paper |
| Predictors for Discrete Time Processes With Energy Decay on Higher Frequencies | 2018-07-18 | Paper |
| On the implied market price of risk under the stochastic numéraire | 2018-07-05 | Paper |
| Predictability of sequences and subsequences with spectrum degeneracy at periodically located points | 2018-03-06 | Paper |
| A pathwise inference method for the parameters of diffusion terms | 2018-01-05 | Paper |
| On stochastic integrals with controlled growth of their containing range | 2017-09-18 | Paper |
| A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS | 2017-07-21 | Paper |
| First order BSPDEs in higher dimension for optimal control problems | 2017-05-24 | Paper |
| On recovering solutions for SPDEs from their averages | 2016-11-01 | Paper |
| A first-order BSPDE for swing option pricing | 2016-07-15 | Paper |
| On Nyquist-Shannon Theorem with one-sided half of sampling sequence | 2016-03-14 | Paper |
| Degenerate backward SPDEs in bounded domains and applications to barrier options | 2016-03-09 | Paper |
| On forward and backward SPDEs with non-local boundary conditions | 2016-03-09 | Paper |
| On detecting and quantification of randomness for one-sided sequences | 2016-01-24 | Paper |
| On the dependence of the first exit times on the fluctuations of the domain boundary | 2015-12-01 | Paper |
| Optimal energy storing and selling in continuous time stochastic multi-battery setting | 2015-11-04 | Paper |
| A smooth component of the fractional Brownian motion and optimal portfolio selection | 2015-09-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5261253 | 2015-07-02 | Paper |
| On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain | 2015-06-02 | Paper |
| On strong causal binomial approximation for stochastic processes | 2014-12-04 | Paper |
| Sub-ideal causal smoothing filters for real sequences | 2014-11-27 | Paper |
| On limit periodicity of discrete time stochastic processes | 2014-11-18 | Paper |
| Causal band-limitness and predictability criterions for one-sided sequences | 2014-08-25 | Paper |
| Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise | 2014-06-19 | Paper |
| Mutual fund theorem for continuous time markets with random coefficients | 2014-06-18 | Paper |
| Volatility estimation from short time series of stock prices | 2014-06-06 | Paper |
| Weighted in time energy estimates for parabolic equations with applications to non-linear and non-local problems | 2013-06-12 | Paper |
| Backward parabolic Ito equations and the second fundamental inequality | 2013-06-06 | Paper |
| Continuously controlled options: derivatives with added flexibility | 2013-04-22 | Paper |
| Optimal replication of random vectors by ordinary integrals | 2013-02-21 | Paper |
| Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance | 2012-11-26 | Paper |
| Backward SPDEs with non-local in time and space boundary conditions | 2012-11-07 | Paper |
| Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage | 2012-10-11 | Paper |
| On statistical indistinguishability of the complete and incomplete markets | 2012-09-20 | Paper |
| On almost surely periodic and almost periodic solutions of backward SPDEs | 2012-08-27 | Paper |
| On detecting the dependence of time series | 2012-05-18 | Paper |
| Dimension reduction and mutual fund theorem in maximin setting for Bond market | 2011-12-13 | Paper |
| Option pricing via maximization over uncertainty and correction of volatility smile | 2011-08-10 | Paper |
| On martingale measures and pricing for continuous bond-stock market with stochastic bond | 2011-08-02 | Paper |
| Representation of functionals of Itô processes and their first exit times | 2011-07-20 | Paper |
| On prescribed change of profile for solutions of parabolic equations | 2011-06-22 | Paper |
| Duality and semi-group property for backward parabolic Itô equations | 2011-02-22 | Paper |
| The integral estimations for ordinary differential equations and its application to the non-smooth optimal control problems | 2010-10-29 | Paper |
| Dokuchaev, N.G. The integral estimations for ordinary differential equations with a discontinuity on a domain boundary | 2010-10-28 | Paper |
| Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations | 2010-08-11 | Paper |
| Universal strategies for diffusion markets and possibility of asymptotic arbitrage | 2010-06-20 | Paper |
| Regularity for some backward heat equations | 2010-03-22 | Paper |
| Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies | 2010-01-08 | Paper |
| Optimality of myopic strategies for multi-stock discrete time market with management costs | 2009-12-14 | Paper |
| On identity theorem for real functions | 2009-11-03 | Paper |
| MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING | 2009-08-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5504524 | 2009-01-22 | Paper |
| The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters | 2008-10-08 | Paper |
| Estimates for first exit times of non-Markovian Itô processes | 2008-08-08 | Paper |
| Parabolic Ito Equations with Mixed in Time Conditions | 2008-06-12 | Paper |
| Universal estimate of the gradient for parabolic equations | 2008-06-09 | Paper |
| Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage | 2008-04-29 | Paper |
| Cordes conditions and some alternatives for parabolic equations and discontinuous diffusion | 2008-04-28 | Paper |
| Maximin investment problems for discounted and total wealth | 2008-03-27 | Paper |
| Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation† | 2007-11-27 | Paper |
| Parabolic equations with the second-order Cauchy conditions on the boundary | 2007-10-31 | Paper |
| Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter | 2007-03-20 | Paper |
| Discrete time market with serial correlations and optimal myopic strategies | 2006-12-07 | Paper |
| Parabolic Ito equations and second fundamental inequality | 2005-11-15 | Paper |
| Parabolic Ito Equations with Nonsmooth Nonlinearity and Duality Approach | 2004-12-16 | Paper |
| Estimates for distances between first exit times via parabolic equations in unbounded cylinders | 2004-10-05 | Paper |
| Suboptimal damping of forced oscillations | 2004-02-26 | Paper |
| Stochastic control problems with functionals depending on local time | 2004-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4445487 | 2004-02-02 | Paper |
| A bounded risk strategy for a market with non-observable parameters. | 2003-11-16 | Paper |
| On $L_1$-distance between first exit times from two regions | 2003-03-20 | Paper |
| Optimal investment strategies with bounded risks, general utilities, and goal achieving | 2002-09-22 | Paper |
| Solvability of Kolmogorov-Fokker-Planck equations for vectorjump processes and occupation time on hypersurfaces | 2002-08-13 | Paper |
| Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information | 2002-05-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4519150 | 2001-03-28 | Paper |
| A new property of absorbed diffusions | 2000-11-14 | Paper |
| Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems | 2000-08-24 | Paper |
| Local Sojourn Time of Diffusion and Degenerating Processeson a Mobile Surface | 2000-06-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4220678 | 1998-12-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4384409 | 1998-07-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4350343 | 1998-05-25 | Paper |
| \(S\)-procedure and duality for nonlinear stochastic problems | 1998-04-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5691547 | 1997-08-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3126306 | 1997-03-31 | Paper |
| Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems | 1997-01-01 | Paper |
| Nonstationary control problems for diffusion processes on an infinite time interval | 1996-12-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4889633 | 1996-11-26 | Paper |
| On parabolic equations with discontinuous perturbations in coefficients | 1996-10-30 | Paper |
| \(S\)-procedure for nonlinear ordinary differential equations with a stochastically distributed initial value | 1996-10-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4889662 | 1996-08-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4866368 | 1996-03-17 | Paper |
| A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints | 1995-10-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4297957 | 1994-08-16 | Paper |
| Boundary Value Problems for Functionals of Itô Processes | 1993-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3982973 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3982996 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3979865 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4713832 | 1992-06-25 | Paper |
| Integral estimates for ordinary differential equations and their application to nonsmooth optimal control problems | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3349267 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3824949 | 1988-01-01 | Paper |
| On First Exit Times for Homogeneous Diffusion Processes | 1987-01-01 | Paper |
| Optimal programmed control of stochastic plants with constraints on the state for each time instant | 1984-01-01 | Paper |
| A frequency criterion for the existence of an optimal control for Ito equations | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3326571 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3709569 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4749718 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4749714 | 1982-01-01 | Paper |
| Spectral representation of two-sided signals from $\ell_\infty$ and applications to signal processing | N/A | Paper |
| On predicting for non-vanishing continuous time signals | N/A | Paper |
