| Publication | Date of Publication | Type |
|---|
| A strong law of large numbers for positive random variables | 2024-01-04 | Paper |
| A Weak Law of Large Numbers for Dependent Random Variables | 2023-11-14 | Paper |
| Open markets | 2023-09-28 | Paper |
| A sequential estimation problem with control and discretionary stopping | 2022-11-16 | Paper |
| A Variational Characterization of Langevin-Smoluchowski Diffusions | 2022-11-15 | Paper |
| Degenerate competing three-particle systems | 2022-05-16 | Paper |
| Portfolio Theory and Arbitrage | 2022-05-03 | Paper |
| A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions | 2022-02-25 | Paper |
| Bayesian sequential least-squares estimation for the drift of a Wiener process | 2022-02-11 | Paper |
| Trajectorial dissipation and gradient flow for the relative entropy in Markov chains | 2021-08-06 | Paper |
| Trading strategies generated pathwise by functions of market weights | 2020-03-25 | Paper |
| Semimartingales on rays, Walsh diffusions, and related problems of control and stopping | 2019-06-28 | Paper |
| Trajectorial Otto calculus | 2018-11-21 | Paper |
| Stochastic integral equations for Walsh semimartingales | 2018-06-29 | Paper |
| Volatility and arbitrage | 2018-05-25 | Paper |
| Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale | 2018-04-09 | Paper |
| Trading strategies generated by Lyapunov functions | 2017-07-21 | Paper |
| Diverse market models of competing Brownian particles with splits and mergers | 2016-08-23 | Paper |
| Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions | 2016-06-27 | Paper |
| Distribution of the time to explosion for one-dimensional diffusions | 2016-04-07 | Paper |
| Systems of Brownian particles with asymmetric collisions | 2016-03-04 | Paper |
| Diversity-weighted portfolios with negative parameter | 2016-01-07 | Paper |
| Optional decomposition for continuous semimartingales under arbitrary filtrations | 2015-08-17 | Paper |
| Impulse control of a diffusion with a change point | 2015-07-29 | Paper |
| A second-order stock market model | 2014-11-12 | Paper |
| Inflationary equilibrium in a stochastic economy with independent agents | 2014-06-02 | Paper |
| Two Brownian particles with rank-based characteristics and skew-elastic collisions | 2014-04-28 | Paper |
| Diffusions with rank-based characteristics and values in the nonnegative quadrant | 2014-02-04 | Paper |
| Time-reversal of reflected Brownian motions in the orthant | 2013-07-16 | Paper |
| Planar diffusions with rank-based characteristics and perturbed Tanaka equations | 2013-06-19 | Paper |
| Strong solutions of stochastic equations with rank-based coefficients | 2013-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925742 | 2013-06-12 | Paper |
| Optimal stopping for dynamic convex risk measures | 2013-01-04 | Paper |
| On the one-sided tanaka equation with drift | 2012-06-22 | Paper |
| The implied liquidity premium for equities | 2012-03-06 | Paper |
| Relative arbitrage in volatility-stabilized markets | 2012-03-05 | Paper |
| Optimal arbitrage under model uncertainty | 2012-01-10 | Paper |
| Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations | 2011-10-11 | Paper |
| Probabilistic Aspects of Arbitrage | 2011-05-31 | Paper |
| Hybrid Atlas models | 2011-05-11 | Paper |
| Testing composite hypotheses via convex duality | 2011-02-28 | Paper |
| Two characterizations of optimality in dynamic programming | 2010-10-07 | Paper |
| On optimal arbitrage | 2010-09-01 | Paper |
| On collisions of Brownian particles | 2010-08-18 | Paper |
| Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs | 2010-04-28 | Paper |
| Stochastic Portfolio Theory: an Overview | 2009-06-05 | Paper |
| Martingale approach to stochastic differential games of control and stopping | 2008-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511595 | 2008-07-11 | Paper |
| The numéraire portfolio in semimartingale financial models | 2007-12-16 | Paper |
| Adaptive Poisson disorder problem | 2007-02-05 | Paper |
| Production, interest, and saving in deterministic economies with additive endowments | 2006-11-29 | Paper |
| Martingale approach to stochastic control with discretionary stopping | 2006-09-12 | Paper |
| The inflationary bias of real uncertainty and the harmonic Fisher equation | 2006-09-12 | Paper |
| Atlas models of equity markets | 2006-07-10 | Paper |
| Game approach to the optimal stopping problem† | 2005-12-09 | Paper |
| On the optimal stopping problem for one-dimensional diffusions. | 2005-11-29 | Paper |
| The standard Poisson disorder problem revisited | 2005-09-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5314888 | 2005-09-05 | Paper |
| Diversity and relative arbitrage in equity markets | 2005-05-20 | Paper |
| A leavable bounded-velocity stochastic control problem. | 2005-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159207 | 2005-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3158925 | 2005-02-01 | Paper |
| Control with partial observations and an explicit solution of Mortensen's equation | 2004-10-28 | Paper |
| Optimal consumption from investment and random endowment in incomplete semimartingale markets. | 2004-07-01 | Paper |
| A note on Bayesian detection of change-points with an expected miss criterion | 2004-03-08 | Paper |
| Non-addictive habits: optimal consumption-portfolio policies. | 2004-02-03 | Paper |
| A stochastic overlapping generations economy with inheritance. | 2003-10-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771118 | 2003-06-17 | Paper |
| The controller-and-stopper game for a linear diffusion. | 2003-05-06 | Paper |
| Finite-Fuel Singular Control With Discretionary Stopping | 2002-02-19 | Paper |
| A strategic market game with active bankruptcy | 2001-10-26 | Paper |
| A barrier option of American type | 2001-08-20 | Paper |
| Generalized Neyman-Pearson lemma via convex duality. | 2001-01-01 | Paper |
| Utility Maximization with Discretionary Stopping | 2000-10-18 | Paper |
| Control and stopping of a diffusion process on an interval | 2000-06-27 | Paper |
| On dynamic measure of risk | 2000-05-24 | Paper |
| Backward stochastic differential equations with constraints on the gains-process | 2000-05-04 | Paper |
| HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 | 1999-05-26 | Paper |
| Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation | 1999-02-01 | Paper |
| Hedging American contingent claims with constrained portfolios | 1998-06-08 | Paper |
| A strategic market game with secured lending | 1998-05-06 | Paper |
| Synchronization and optimality for multi-armed bandit problems in continuous time | 1998-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4368791 | 1997-12-10 | Paper |
| Backward stochastic differential equations with reflection and Dynkin games | 1997-11-10 | Paper |
| Irreversible investment and industry equilibrium | 1997-10-05 | Paper |
| A Note On Utility Maximization Under Partial Observations1 | 1997-08-31 | Paper |
| Equilibrium Models With Singular Asset Prices | 1997-08-31 | Paper |
| Anticipative portfolio optimization | 1997-02-13 | Paper |
| Lectures on the Mathematics of Finance | 1997-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4895161 | 1996-11-19 | Paper |
| On the pricing of contingent claims under constraints | 1996-10-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868512 | 1996-07-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868514 | 1996-07-24 | Paper |
| Obituary: STAMATIS CAMBANIS (1943–1995) | 1996-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868511 | 1996-04-17 | Paper |
| Dynamic allocation problems in continuous time | 1996-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839500 | 1996-02-11 | Paper |
| The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients | 1995-11-27 | Paper |
| Construction of Stationary Markov Equilibria in a Strategic Market Game | 1995-10-10 | Paper |
| The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel | 1995-02-06 | Paper |
| Hedging contingent claims with constrained portfolios | 1994-01-02 | Paper |
| General Gittins index processes in discrete time. | 1993-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4039796 | 1993-06-05 | Paper |
| Convex duality in constrained portfolio optimization | 1993-02-22 | Paper |
| The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control | 1993-01-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4002114 | 1992-09-18 | Paper |
| An extension of clark' formula | 1992-06-27 | Paper |
| A new approach to the Skorohod problem, and its applications | 1992-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3973611 | 1992-06-26 | Paper |
| A new approach to the skorohod problem, and its applications | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3977315 | 1992-06-25 | Paper |
| A generalized clark representation formula, with application to optimal portfolios | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3356200 | 1991-01-01 | Paper |
| Martingale and Duality Methods for Utility Maximization in an Incomplete Market | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5753713 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3360769 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3484594 | 1990-01-01 | Paper |
| Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3357204 | 1989-01-01 | Paper |
| Optimization Problems in the Theory of Continuous Trading | 1989-01-01 | Paper |
| On the pricing of American options | 1988-01-01 | Paper |
| Probabilistic aspects of finite-fuel, reflected follower problems | 1988-01-01 | Paper |
| Transition probabilities for some ‘special' diffusions | 1987-01-01 | Paper |
| Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon | 1987-01-01 | Paper |
| A decomposition of the Brownian path | 1987-01-01 | Paper |
| Equivalent models for finite-fuel 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 |
| Probabilistic aspects of finite-fuel stochastic control | 1985-01-01 | Paper |
| Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems | 1985-01-01 | Paper |
| Stationary control of Brownian motion in several dimensions | 1985-01-01 | Paper |
| Gittins indices in the dynamic allocation problem for diffusion processes | 1984-01-01 | Paper |
| Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control | 1984-01-01 | Paper |
| Filtering of diffusions controlled through their conditional measures† | 1984-01-01 | Paper |
| Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems | 1984-01-01 | Paper |
| A class of singular stochastic control problems | 1983-01-01 | Paper |
| Estimation and control for linear, partially observable systems with non- Gaussian initial distribution | 1983-01-01 | Paper |
| On the Relation of Zakai’s and Mortensen’s Equations | 1983-01-01 | Paper |
| Diffusions with reflection on an orthant and associated initial-boundary value problems | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3318666 | 1982-01-01 | Paper |
| A Degree Method for Free Boundaries in Stochastic Control | 1981-01-01 | Paper |
| Examples of optimal control for partially observable systems:comparison, classical, and martingale methods | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4749702 | 1981-01-01 | Paper |
| The monotone follower problem in stochastic decision theory | 1981-01-01 | Paper |
| Optimal stationary linear control of the Wiener process | 1981-01-01 | Paper |
| Certain convexity questions in stochastic optimization | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3664950 | 1981-01-01 | Paper |
| On a stochastic representation for the principal eigenvalue of a second-order differential equation | 1980-01-01 | Paper |
| Optimal discounted linear control of the Wiener process | 1980-01-01 | Paper |
