| Publication | Date of Publication | Type |
|---|
Importance sampling for sums of random variables with regularly varying tails
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Erratum to: ``Utility maximization in incomplete markets with random endowment''
Finance and Stochastics | 2017-07-21 | Paper |
Efficient importance sampling schemes for a feed-forward network
ACM Transactions on Modeling and Computer Simulation | 2016-10-24 | Paper |
Importance sampling for multiscale diffusions
Multiscale Modeling & Simulation | 2012-08-30 | Paper |
| Monte Carlo simulation with applications to finance. | 2011-11-25 | Paper |
Large deviations for a feed-forward network
Advances in Applied Probability | 2011-07-22 | Paper |
Importance Sampling for Weighted-Serve-the-Longest-Queue
Mathematics of Operations Research | 2011-04-27 | Paper |
Importance sampling for Jackson networks
Queueing Systems | 2009-08-11 | Paper |
On the Optimality of Conditional Expectation as a Bregman Predictor
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
| scientific article; zbMATH DE number 5363765 (Why is no real title available?) | 2008-11-10 | Paper |
Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
Mathematics of Operations Research | 2008-05-27 | Paper |
Dynamic importance sampling for queueing networks
The Annals of Applied Probability | 2008-01-28 | Paper |
Large deviations and importance sampling for a tandem network with slow-down
Queueing Systems | 2008-01-07 | Paper |
A Sequential Entry Problem with Forced Exits
Mathematics of Operations Research | 2005-11-11 | Paper |
On the convergence from discrete to continuous time in an optimal stopping problem.
The Annals of Applied Probability | 2005-07-13 | Paper |
Dynamic importance sampling for uniformly recurrent Markov chains
The Annals of Applied Probability | 2005-04-29 | Paper |
Importance Sampling, Large Deviations, and Differential Games
Stochastics and Stochastic Reports | 2005-03-21 | Paper |
| scientific article; zbMATH DE number 2134067 (Why is no real title available?) | 2005-02-15 | Paper |
Control with partial observations and an explicit solution of Mortensen's equation
Applied Mathematics and Optimization | 2004-10-28 | Paper |
First passage times of a jump diffusion process
Advances in Applied Probability | 2004-02-11 | Paper |
Capacity expansion with exponential jump diffusion processes
Stochastics and Stochastic Reports | 2003-12-18 | Paper |
Some control problems with random intervention times
Advances in Applied Probability | 2003-06-16 | Paper |
Optimal stopping with random intervention times
Advances in Applied Probability | 2003-04-28 | Paper |
Discretization of deflated bond prices
Advances in Applied Probability | 2002-11-24 | Paper |
Finite-Fuel Singular Control With Discretionary Stopping
Stochastics and Stochastics Reports | 2002-02-19 | Paper |
A barrier option of American type
Applied Mathematics and Optimization | 2001-08-20 | Paper |
Utility maximization in incomplete markets with random endowment
Finance and Stochastics | 2001-07-11 | Paper |
On optimal terminal wealth under transaction costs
Journal of Mathematical Economics | 2001-01-01 | Paper |
Utility Maximization with Discretionary Stopping
SIAM Journal on Control and Optimization | 2000-10-18 | Paper |
