| Publication | Date of Publication | Type |
|---|
A strong law of large numbers for positive random variables
Illinois Journal of Mathematics | 2024-01-04 | Paper |
A strong law of large numbers for positive random variables
Illinois Journal of Mathematics | 2024-01-04 | Paper |
Faking Brownian motion with continuous Markov martingales
Finance and Stochastics | 2024-01-02 | Paper |
A Weak Law of Large Numbers for Dependent Random Variables
Theory of Probability & Its Applications | 2023-11-14 | Paper |
Convergence of optimal expected utility for a sequence of binomial models
Mathematical Finance | 2023-09-28 | Paper |
Convergence of optimal expected utility for a sequence of binomial models
Mathematical Finance | 2023-09-28 | Paper |
| The Bass functional of martingale transport | 2023-09-20 | Paper |
| The structure of martingale Benamou$-$Brenier in $\mathbb{R}^{d}$ | 2023-06-19 | Paper |
A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
Theory of Probability & Its Applications | 2022-02-25 | Paper |
From Bachelier to Dupire via optimal transport
Finance and Stochastics | 2022-02-01 | Paper |
Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
Theoretical Economics | 2021-11-11 | Paper |
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains
Communications in Information and Systems | 2021-08-06 | Paper |
Convergence of optimal expected utility for a sequence of discrete-time markets
Mathematical Finance | 2021-03-23 | Paper |
| scientific article; zbMATH DE number 7223958 (Why is no real title available?) | 2020-07-21 | Paper |
Theoretical and empirical analysis of trading activity
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
Mathematical Finance | 2019-10-31 | Paper |
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
Mathematical Finance | 2019-10-31 | Paper |
Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets
(available as arXiv preprint) | 2019-07-26 | Paper |
Pricing, no-arbitrage bounds and robust hedging of instalment options
Quantitative Finance | 2019-01-14 | Paper |
| Trajectorial Otto calculus | 2018-11-21 | Paper |
Admissible Trading Strategies Under Transaction Costs
Lecture Notes in Mathematics | 2018-06-21 | Paper |
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
Bernoulli | 2018-03-27 | Paper |
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
Bernoulli | 2018-03-27 | Paper |
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Finance and Stochastics | 2018-01-16 | Paper |
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Finance and Stochastics | 2018-01-16 | Paper |
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
The Annals of Applied Probability | 2017-09-15 | Paper |
Erratum to: ``Utility maximization in incomplete markets with random endowment
Finance and Stochastics | 2017-07-21 | Paper |
The space of outcomes of semi-static trading strategies need not be closed
Finance and Stochastics | 2017-07-21 | Paper |
The space of outcomes of semi-static trading strategies need not be closed
Finance and Stochastics | 2017-07-21 | Paper |
Shadow prices for continuous processes
Mathematical Finance | 2017-07-21 | Paper |
Shadow prices for continuous processes
Mathematical Finance | 2017-07-21 | Paper |
Asymptotic theory of transaction costs
Zurich Lectures in Advanced Mathematics | 2017-03-14 | Paper |
Mathematics and finance
Mathematics and Society | 2016-12-16 | Paper |
Duality theory for portfolio optimisation under transaction costs
The Annals of Applied Probability | 2016-08-23 | Paper |
Duality theory for portfolio optimisation under transaction costs
The Annals of Applied Probability | 2016-08-23 | Paper |
Book review of: F. Baudoin, Diffusion processes and stochastic calculus
Internationale Mathematische Nachrichten | 2016-05-25 | Paper |
Book review of: L. C. Evans, An introduction to stochastic differential equations
Internationale Mathematische Nachrichten | 2016-05-25 | Paper |
Book review of: S. Dineen, Probability theory in finance. A mathematical guide to the Black-Scholes formula. 2nd ed.
Internationale Mathematische Nachrichten | 2016-05-03 | Paper |
Strong supermartingales and limits of nonnegative martingales
The Annals of Probability | 2016-04-21 | Paper |
Strong supermartingales and limits of nonnegative martingales
The Annals of Probability | 2016-04-21 | Paper |
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Mathematical Finance | 2016-04-14 | Paper |
On the Duality Theory for the Monge-Kantorovich Transport Problem
(available as arXiv preprint) | 2016-01-27 | Paper |
Transaction costs, shadow prices, and duality in discrete time
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
The super-replication theorem under proportional transaction costs revisited
Mathematics and Financial Economics | 2014-11-26 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
Book review of: Cédric Villani, Das lebendige Theorem
Mathematische Semesterberichte | 2014-09-26 | Paper |
Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$
Proceedings of the American Mathematical Society | 2014-09-16 | Paper |
Regularity of affine processes on general state spaces
Electronic Journal of Probability | 2014-01-17 | Paper |
A trajectorial interpretation of Doob's martingale inequalities
The Annals of Applied Probability | 2013-09-05 | Paper |
A trajectorial interpretation of Doob's martingale inequalities
The Annals of Applied Probability | 2013-09-05 | Paper |
A generalized dual maximizer for the Monge-Kantorovich transport problem
ESAIM: Probability and Statistics | 2013-05-14 | Paper |
Optimisation and utility functions
Documenta Mathematica | 2013-04-17 | Paper |
The dual optimizer for the growth-optimal portfolio under transaction costs
Finance and Stochastics | 2013-04-02 | Paper |
The dual optimizer for the growth-optimal portfolio under transaction costs
Finance and Stochastics | 2013-04-02 | Paper |
Representation results for law invariant time consistent functions
Mathematics and Financial Economics | 2013-01-20 | Paper |
Hiding a constant drift -- a strong solution
Illinois Journal of Mathematics | 2013-01-04 | Paper |
Asymptotics and duality for the Davis and Norman problem
Stochastics | 2012-12-13 | Paper |
A general duality theorem for the Monge-Kantorovich transport problem
Studia Mathematica | 2012-06-06 | Paper |
A short proof of the Doob-Meyer theorem
Stochastic Processes and their Applications | 2012-06-01 | Paper |
The fundamental theorem of asset pricing for continuous processes under small transaction costs
Annals of Finance | 2012-03-08 | Paper |
Affine processes are regular
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Affine processes are regular
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
| scientific article; zbMATH DE number 5998981 (Why is no real title available?) | 2012-01-18 | Paper |
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage
The Annals of Probability | 2012-01-09 | Paper |
Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
Statistics & Risk Modeling | 2011-12-19 | Paper |
Duality for Borel measurable cost functions
Transactions of the American Mathematical Society | 2011-08-04 | Paper |
Hiding a constant drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
Law invariant risk measures have the Fatou property
Advances in Mathematical Economics | 2010-06-02 | Paper |
Hiding a drift
The Annals of Probability | 2010-05-17 | Paper |
Non-monotone convergence in the quadratic Wasserstein distance
Lecture Notes in Mathematics | 2009-12-18 | Paper |
| On the Duality Theory for the Monge--Kantorovich Transport Problem | 2009-11-23 | Paper |
| How K. Itô revolutionized stochastic calculus | 2009-09-24 | Paper |
In which financial markets do mutual fund theorems hold true?
Finance and Stochastics | 2009-08-08 | Paper |
Optimal and better transport plans
Journal of Functional Analysis | 2009-04-08 | Paper |
Optimal expected exponential utility of dividend payments in a Brownian risk model
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
Characterization of optimal transport plans for the Monge-Kantorovich problem
Proceedings of the American Mathematical Society | 2009-02-25 | Paper |
The Notion of Arbitrage and Free Lunch in Mathematical Finance
Aspects of Mathematical Finance | 2008-09-29 | Paper |
Asymptotic arbitrage and large deviations
Mathematics and Financial Economics | 2008-09-04 | Paper |
THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
Mathematical Finance | 2008-05-22 | Paper |
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
Mathematical Finance | 2008-04-30 | Paper |
Consistent price systems and face-lifting pricing under transaction costs
The Annals of Applied Probability | 2008-04-23 | Paper |
A super-replication theorem in Kabanov's model of transaction costs
Finance and Stochastics | 2007-05-29 | Paper |
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Insurance Mathematics & Economics | 2007-03-02 | Paper |
| scientific article; zbMATH DE number 5066199 (Why is no real title available?) | 2006-10-23 | Paper |
A note on lower bounds of martingale measure densities
Illinois Journal of Mathematics | 2006-09-26 | Paper |
The mathematics of arbitrage
Springer Finance | 2006-06-13 | Paper |
ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
Mathematical Finance | 2006-02-08 | Paper |
A hyper-geometric approach to the BMV-conjecture
Monatshefte für Mathematik | 2006-01-10 | Paper |
Arbitrage and state price deflators in a general intertemporal framework
Journal of Mathematical Economics | 2005-11-14 | Paper |
A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES
Mathematical Finance | 2005-08-17 | Paper |
| scientific article; zbMATH DE number 2174800 (Why is no real title available?) | 2005-06-10 | Paper |
Necessary conditions for the existence of utility maximizing strategies under transaction costs
Statistics & Decisions | 2005-04-19 | Paper |
| scientific article; zbMATH DE number 2144818 (Why is no real title available?) | 2005-03-14 | Paper |
| scientific article; zbMATH DE number 2121872 (Why is no real title available?) | 2004-12-13 | Paper |
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Mathematical Finance | 2004-05-27 | Paper |
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
The Annals of Applied Probability | 2004-03-30 | Paper |
Affine processes and applications in finance
The Annals of Applied Probability | 2004-03-21 | Paper |
Asymptotic ruin probabilities and optimal investment
The Annals of Applied Probability | 2004-03-21 | Paper |
A super-martingale property of the optimal portfolio process
Finance and Stochastics | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 2053281 (Why is no real title available?) | 2004-03-08 | Paper |
| scientific article; zbMATH DE number 2046398 (Why is no real title available?) | 2004-02-23 | Paper |
| scientific article; zbMATH DE number 2046398 (Why is no real title available?) | 2004-02-23 | Paper |
| Applications to mathematical finance | 2003-06-29 | Paper |
Optimal investment in incomplete markets when wealth may become negative.
The Annals of Applied Probability | 2003-05-06 | Paper |
No arbitrage: On the work of David Kreps
Positivity | 2003-03-12 | Paper |
The convolution theorem for infinite-dimensional parameter spaces
Mathematical Methods of Statistics | 2003-02-10 | Paper |
| scientific article; zbMATH DE number 1619466 (Why is no real title available?) | 2002-12-04 | Paper |
| scientific article; zbMATH DE number 1619466 (Why is no real title available?) | 2002-12-04 | Paper |
| scientific article; zbMATH DE number 1724304 (Why is no real title available?) | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1642339 (Why is no real title available?) | 2001-11-18 | Paper |
Utility maximization in incomplete markets with random endowment
Finance and Stochastics | 2001-07-11 | Paper |
When does convergence of asset price processes imply convergence of option prices?
Mathematical Finance | 2001-03-29 | Paper |
| scientific article; zbMATH DE number 1405955 (Why is no real title available?) | 2001-03-08 | Paper |
| scientific article; zbMATH DE number 1405955 (Why is no real title available?) | 2001-03-08 | Paper |
| scientific article; zbMATH DE number 1487969 (Why is no real title available?) | 2001-01-14 | Paper |
| scientific article; zbMATH DE number 1405937 (Why is no real title available?) | 2000-11-22 | Paper |
| scientific article; zbMATH DE number 1405937 (Why is no real title available?) | 2000-11-22 | Paper |
Is There a Predictable Criterion for Mutual Singularity of Two Probability Measures on a Filtered Space?
Theory of Probability & Its Applications | 2000-10-19 | Paper |
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
The Annals of Applied Probability | 2000-09-04 | Paper |
| scientific article; zbMATH DE number 1342042 (Why is no real title available?) | 2000-06-28 | Paper |
| scientific article; zbMATH DE number 1405934 (Why is no real title available?) | 2000-04-03 | Paper |
| scientific article; zbMATH DE number 1405934 (Why is no real title available?) | 2000-04-03 | Paper |
| scientific article; zbMATH DE number 1405939 (Why is no real title available?) | 2000-04-03 | Paper |
| scientific article; zbMATH DE number 1405939 (Why is no real title available?) | 2000-04-03 | Paper |
The fundamental theorem of asset pricing for unbounded stochastic processes
Mathematische Annalen | 1999-07-18 | Paper |
Weighted norm inequalities and hedging in incomplete markets
Finance and Stochastics | 1999-07-06 | Paper |
A Simple Counterexample to Several Problems in the Theory of Asset Pricing
Mathematical Finance | 1999-04-06 | Paper |
The set of observationally equivalent errors-in-variables models
Systems & Control Letters | 1998-08-13 | Paper |
MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
Mathematical Finance | 1998-07-22 | Paper |
| scientific article; zbMATH DE number 1144392 (Why is no real title available?) | 1998-07-01 | Paper |
A Counterexample to Several Problems In the Theory of Asset Pricing
Mathematical Finance | 1998-01-21 | Paper |
ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
Mathematical Finance | 1998-01-21 | Paper |
The Banach space of workable contingent claims in arbitrage theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-10-05 | Paper |
The Banach space of workable contingent claims in arbitrage theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-10-05 | Paper |
Attainable claims with \(p\)'th moments
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-09-02 | Paper |
Attainable claims with \(p\)'th moments
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-09-02 | Paper |
| scientific article; zbMATH DE number 927094 (Why is no real title available?) | 1997-03-11 | Paper |
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
The Annals of Probability | 1997-01-06 | Paper |
| scientific article; zbMATH DE number 926745 (Why is no real title available?) | 1996-10-30 | Paper |
| scientific article; zbMATH DE number 926745 (Why is no real title available?) | 1996-10-30 | Paper |
A proof of a conjecture of Bobkov and Houdré
Electronic Communications in Probability | 1996-08-20 | Paper |
A proof of a conjecture of Bobkov and Houdré
Electronic Communications in Probability | 1996-08-20 | Paper |
The existence of absolutely continuous local martingale measures
The Annals of Applied Probability | 1996-07-08 | Paper |
The variance-optimal martingale measure for continuous processes
Bernoulli | 1996-06-11 | Paper |
| scientific article; zbMATH DE number 816092 (Why is no real title available?) | 1996-02-11 | Paper |
| scientific article; zbMATH DE number 816092 (Why is no real title available?) | 1996-02-11 | Paper |
Arbitrage possibilities in Bessel processes and their relations to local martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-01-30 | Paper |
| scientific article; zbMATH DE number 708768 (Why is no real title available?) | 1995-02-16 | Paper |
A general version of the fundamental theorem of asset pricing
Mathematische Annalen | 1994-12-11 | Paper |
Weak Compactness in L 1 (μ, X)
Proceedings of the American Mathematical Society | 1994-04-21 | Paper |
| scientific article; zbMATH DE number 177673 (Why is no real title available?) | 1993-05-18 | Paper |
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
Insurance Mathematics & Economics | 1993-05-16 | Paper |
Slicings, Selections and Their Applications
Canadian Journal of Mathematics | 1993-01-17 | Paper |
| Approximation of Jensen Measures by Image Measures Under Holomorphic Functions and Applications | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 18002 (Why is no real title available?) | 1992-06-26 | Paper |
Every Radon-Nikodym Corson compact space is Eberlein compact
Studia Mathematica | 1992-06-25 | Paper |
Geometrical Implications of Certain Infinite Dimensional Decompositions
Transactions of the American Mathematical Society | 1990-01-01 | Paper |
Moduli of non-dentability and the Radon-Nikodým property in Banach spaces
Israel Journal of Mathematics | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4155157 (Why is no real title available?) | 1989-01-01 | Paper |
Pluriharmonically dentable complex Banach spaces.
Journal für die reine und angewandte Mathematik (Crelles Journal) | 1989-01-01 | Paper |
Pluriharmonically dentable complex Banach spaces.
Journal für die reine und angewandte Mathematik (Crelles Journal) | 1989-01-01 | Paper |
Characters on algebras of smooth functions
Annals of Global Analysis and Geometry | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4120792 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4177920 (Why is no real title available?) | 1989-01-01 | Paper |
Equivalent norms on separable Asplund spaces
Studia Mathematica | 1989-01-01 | Paper |
Functions in $L^{∞}(G)$ and associated convolution operators
Studia Mathematica | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4060079 (Why is no real title available?) | 1988-01-01 | Paper |
| A Counterexample to a Problem on Points of Continuity in Banach Spaces | 1987-01-01 | Paper |
Local nonfactorization of functions on locally compact groups
Archiv der Mathematik | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4013284 (Why is no real title available?) | 1987-01-01 | Paper |
The Radon-Nikodym Property and the Krein-Milman Property are Equivalent for Strongly Regular Sets
Transactions of the American Mathematical Society | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4090160 (Why is no real title available?) | 1987-01-01 | Paper |
Some topological and geometrical structures in Banach spaces
Memoirs of the American Mathematical Society | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3988044 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3957964 (Why is no real title available?) | 1986-01-01 | Paper |
The Sum of Two Radon-Nikodym-Sets Need Not be a Radon-Nikodym-Set
Proceedings of the American Mathematical Society | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3953555 (Why is no real title available?) | 1985-01-01 | Paper |
For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent
Studia Mathematica | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3820438 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3820438 (Why is no real title available?) | 1983-01-01 | Paper |
Norm attaining operators on some classical Banach spaces
Pacific Journal of Mathematics | 1983-01-01 | Paper |
Norm attaining operators and renormings of Banach spaces
Israel Journal of Mathematics | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3806311 (Why is no real title available?)
Indiana University Mathematics Journal | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3826142 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3828223 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3723279 (Why is no real title available?) | 1981-01-01 | Paper |
The Banach-Saks property is not \(L^ 2\)-hereditary
Israel Journal of Mathematics | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3795059 (Why is no real title available?) | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3656649 (Why is no real title available?)
Indiana University Mathematics Journal | 1981-01-01 | Paper |
| Almost Compactness and Decomposability of Integral Operators | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3633145 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3629883 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3543032 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3697989 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3543033 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3543033 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3495419 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3536761 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3537997 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3490155 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3500484 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3500484 (Why is no real title available?) | 1975-01-01 | Paper |
A regularized Kellerer theorem in arbitrary dimension
(available as arXiv preprint) | N/A | Paper |
