| Publication | Date of Publication | Type |
|---|
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
European Journal of Operational Research | 2024-08-13 | Paper |
A stochastic control perspective on term structure models with roll-over risk
Finance and Stochastics | 2023-10-12 | Paper |
An Italian perspective on the development of financial mathematics from 1992 to 2008
Finance and Stochastics | 2022-02-01 | Paper |
Arbitrage concepts under trading restrictions in discrete-time financial markets
Journal of Mathematical Economics | 2021-03-03 | Paper |
Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Arbitrage and utility maximization in market models with an insider
Mathematics and Financial Economics | 2018-09-05 | Paper |
Arbitrage and utility maximization in market models with an insider
Mathematics and Financial Economics | 2018-09-05 | Paper |
Classical and restricted impulse control for the exchange rate under a stochastic trend model
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
Systems & Control: Foundations & Applications | 2017-11-22 | Paper |
Pathwise Optimality for Benchmark Tracking
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
On classical and restricted impulse stochastic control for the exchange rate
Applied Mathematics and Optimization | 2017-03-28 | Paper |
A Systematic Approach to Constructing Market Models with Arbitrage
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
On the existence of martingale measures in jump diffusion market models
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Interest rate modeling: post-crisis challenges and approaches
SpringerBriefs in Quantitative Finance | 2015-10-08 | Paper |
Expected log-utility maximization under incomplete information and with Cox-process observations
Asia-Pacific Financial Markets | 2015-02-04 | Paper |
Monte Carlo variance reduction by conditioning for pricing with underlying a continuous-time finite state Markov process
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Stochastic Control and Pricing Under Swap Measures
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Arbitrage-free multifactor term structure models: a theory based on stochastic control
Mathematical Finance | 2013-10-11 | Paper |
Diffusion-based models for financial markets without martingale measures
EAA Series | 2013-07-30 | Paper |
Expected power-utility maximization under incomplete information and with Cox-process observations
Applied Mathematics and Optimization | 2013-04-15 | Paper |
Portfolio optimization in a defaultable market under incomplete information
Decisions in Economics and Finance | 2013-02-25 | Paper |
Ruin probabilities in a finite-horizon risk model with investment and reinsurance
Journal of Applied Probability | 2013-01-19 | Paper |
On optimal investment in a reinsurance context with a point process market model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Financial Mathematics
Unitext | 2012-02-01 | Paper |
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Finance and Stochastics | 2011-11-27 | Paper |
| Nonlinear filtering in models for interest-rate and credit risk | 2011-07-13 | Paper |
Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Credit risk and incomplete information: filtering and EM parameter estimation
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
Finanza Matematica
UNITEXT | 2009-10-26 | Paper |
Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Large portfolio losses: A dynamic contagion model
The Annals of Applied Probability | 2009-04-02 | Paper |
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
| Computing efficient hedging strategies in discontinuous market models | 2008-07-11 | Paper |
| PDE approach to utility maximization for market models with hidden Markov factors | 2008-07-01 | Paper |
| scientific article; zbMATH DE number 5292608 (Why is no real title available?) | 2008-06-25 | Paper |
| Affine credit risk models under incomplete information | 2008-06-11 | Paper |
A benchmark approach to portfolio optimization under partial information
Asia-Pacific Financial Markets | 2008-02-18 | Paper |
Consistent price systems for subfiltrations
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Consistent price systems for subfiltrations
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Portfolio optimization in discontinuous markets under incomplete information
Asia-Pacific Financial Markets | 2007-11-27 | Paper |
The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
Automatica | 2006-10-05 | Paper |
Inferring the Forward Looking Equity Risk Premium from Derivative Prices
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
A benchmark approach to filtering in finance
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
A filtered no arbitrage model for term structures from noisy data
Stochastic Processes and their Applications | 2005-08-05 | Paper |
| scientific article; zbMATH DE number 2189777 (Why is no real title available?) | 2005-08-01 | Paper |
| Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation | 2005-07-05 | Paper |
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
| scientific article; zbMATH DE number 2134084 (Why is no real title available?) | 2005-02-15 | Paper |
| scientific article; zbMATH DE number 2133125 (Why is no real title available?) | 2005-02-09 | Paper |
| scientific article; zbMATH DE number 2064643 (Why is no real title available?) | 2004-05-18 | Paper |
| scientific article; zbMATH DE number 1867097 (Why is no real title available?) | 2003-02-11 | Paper |
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Mathematical Methods of Operations Research | 2002-11-24 | Paper |
| scientific article; zbMATH DE number 1795851 (Why is no real title available?) | 2002-11-11 | Paper |
On hedging in finite security markets
Applied Mathematical Finance | 2002-09-04 | Paper |
A robustness result for stochastic control
Systems & Control Letters | 2002-07-15 | Paper |
| scientific article; zbMATH DE number 1971733 (Why is no real title available?) | 2002-01-01 | Paper |
Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach
Bernoulli | 2001-07-12 | Paper |
Diffusion approximation and optimal stochastic control
Theory of Probability and its Applications | 2001-05-02 | Paper |
A stochastic control approach to risk management under restricted information.
Mathematical Finance | 2001-03-29 | Paper |
On filtering in Markovian term structure models: an approximation approach
Advances in Applied Probability | 2001-01-01 | Paper |
A Bayesian dynamic programming approach to optimal maintenance combined with burn-in
Annals of Operations Research | 2000-01-11 | Paper |
| scientific article; zbMATH DE number 1304728 (Why is no real title available?) | 1999-11-15 | Paper |
Concepts and methods for discrete and continuous time control under uncertainty
Insurance Mathematics & Economics | 1999-07-19 | Paper |
Explicit solutions for multivariate, discrete-time control problems under uncertainty
Systems & Control Letters | 1999-01-12 | Paper |
On control of two-scale stochastic systems with linear dynamics in the fast variables
MCSS. Mathematics of Control, Signals, and Systems | 1998-11-15 | Paper |
Towards a general theory of bond markets
Finance and Stochastics | 1998-06-04 | Paper |
Bond Market Structure in the Presence of Marked Point Processes
Mathematical Finance | 1998-01-21 | Paper |
Option Pricing For Jump Diffusions: Approximations and Their Interpretation
Mathematical Finance | 1998-01-21 | Paper |
On dynamic programming for sequential decision problems under a general form of uncertainty
Mathematical Methods of Operations Research | 1997-08-26 | Paper |
Deterministic Approximation for Stochastic Control Problems
SIAM Journal on Control and Optimization | 1997-08-11 | Paper |
Connections between stochastic control and dynamic games
MCSS. Mathematics of Control, Signals, and Systems | 1997-06-09 | Paper |
| scientific article; zbMATH DE number 880600 (Why is no real title available?) | 1996-10-13 | Paper |
Nonlinear filters for linear models (a robust approach)
IEEE Transactions on Information Theory | 1996-05-14 | Paper |
Numerical aspects of monotone approximations in convex stochastic control problems
Annals of Operations Research | 1996-03-13 | Paper |
| scientific article; zbMATH DE number 796445 (Why is no real title available?) | 1996-02-20 | Paper |
| scientific article; zbMATH DE number 797367 (Why is no real title available?) | 1996-02-18 | Paper |
| scientific article; zbMATH DE number 797368 (Why is no real title available?) | 1995-11-26 | Paper |
| scientific article; zbMATH DE number 764404 (Why is no real title available?) | 1995-07-25 | Paper |
| scientific article; zbMATH DE number 729191 (Why is no real title available?) | 1995-03-02 | Paper |
Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme
Stochastics and Stochastic Reports | 1994-04-21 | Paper |
| scientific article; zbMATH DE number 480289 (Why is no real title available?) | 1994-01-03 | Paper |
| scientific article; zbMATH DE number 440557 (Why is no real title available?) | 1993-12-05 | Paper |
Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation
SIAM Journal on Control and Optimization | 1993-08-08 | Paper |
Sul ruolo delle distribuzioni di classe esponenziale nel filtraggio
Rendiconti del Seminario Matematico e Fisico di Milano | 1992-09-27 | Paper |
On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions
Stochastics and Stochastic Reports | 1992-06-27 | Paper |
| scientific article; zbMATH DE number 18469 (Why is no real title available?) | 1992-06-26 | Paper |
Approximations for discrete-time adaptive control: Construction of \(\varepsilon\)-optimal controls
MCSS. Mathematics of Control, Signals, and Systems | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4193599 (Why is no real title available?) | 1991-01-01 | Paper |
Diffusion approximation in past dependent models and applications to option pricing
The Annals of Applied Probability | 1991-01-01 | Paper |
On the construction of -optimal strategies in partially observed MDPs
Annals of Operations Research | 1991-01-01 | Paper |
On diffusion approximations for filtering
Stochastic Processes and their Applications | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4174799 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4211952 (Why is no real title available?) | 1990-01-01 | Paper |
Combined filtering and parameter estimation: Approximations and robustness
Automatica | 1990-01-01 | Paper |
On necessary conditions for the existence of finite-dimensional filters in discrete time
Systems & Control Letters | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4145818 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4141930 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4106750 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4085557 (Why is no real title available?) | 1988-01-01 | Paper |
Logarithmic transformations for discrete-time, finite-horizon stochastic control problems
Applied Mathematics and Optimization | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4035702 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4018920 (Why is no real title available?) | 1987-01-01 | Paper |
Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances
SIAM Journal on Control and Optimization | 1987-01-01 | Paper |
An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls
Acta Applicandae Mathematicae | 1987-01-01 | Paper |
Filtering and control for wide bandwidth noise driven systems
IEEE Transactions on Automatic Control | 1987-01-01 | Paper |
An Approach to Discrete-Time Stochastic Control Problems under Partial Observation
SIAM Journal on Control and Optimization | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3963694 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3963708 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4031553 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3948141 (Why is no real title available?) | 1986-01-01 | Paper |
An approximation scheme for stochastic dynamic optimization problems
Mathematical Programming Studies | 1986-01-01 | Paper |
An approximation for the nonlinear filtering problem, with error bound<sup>†</sup>
Stochastics | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3845484 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3821588 (Why is no real title available?) | 1983-01-01 | Paper |
Non-linear filtering with discontinuous observations and applications to life sciences
Bulletin of Mathematical Biology | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3871162 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3788496 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3792076 (Why is no real title available?) | 1982-01-01 | Paper |
On measure transformations for combined filtering and parameter estimation in discrete time
Systems & Control Letters | 1982-01-01 | Paper |
Approximations and bounds for a generalized optimal stopping problem
Zeitschrift für Operations Research | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3806789 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3779217 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3742447 (Why is no real title available?) | 1981-01-01 | Paper |
Continuous-time approximations for the nonlinear filtering problem
Applied Mathematics and Optimization | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3741277 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3532384 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3339001 (Why is no real title available?) | 1969-01-01 | Paper |
| scientific article; zbMATH DE number 3351347 (Why is no real title available?) | 1969-01-01 | Paper |
