| Publication | Date of Publication | Type |
|---|
| Time-consistency in the mean-variance problem: a new perspective | 2025-01-21 | Paper |
| Blackwell optimality and policy stability for long-run risk-sensitive stochastic control | 2024-12-12 | Paper |
| Nash equilibria for relative investors with (non)linear price impact | 2024-08-28 | Paper |
| Continuous-time mean field Markov decision models | 2024-08-20 | Paper |
| Optimal investment in ambiguous financial markets with learning | 2024-06-13 | Paper |
| Markov decision processes with risk-sensitive criteria: an overview | 2024-05-15 | Paper |
| OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT | 2024-01-23 | Paper |
| Continuous-time mean field Markov decision models | 2023-07-04 | Paper |
| Mean field Markov decision processes | 2023-04-27 | Paper |
| Nash equilibria for relative investors via no-arbitrage arguments | 2023-04-26 | Paper |
| Time-consistency in the mean-variance problem: A new perspective | 2023-01-26 | Paper |
| Finite Approximations for Mean Field Type Multi-Agent Control and Their Near Optimality | 2022-11-17 | Paper |
| Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures | 2022-09-26 | Paper |
| Risk-sensitive stopping problems for continuous-time Markov chains | 2022-06-30 | Paper |
| Bayesian optimal investment and reinsurance with dependent financial and insurance risks | 2022-05-09 | Paper |
| Markov decision processes with recursive risk measures | 2021-11-09 | Paper |
| Nash equilibria for relative investors via no-arbitrage arguments | 2021-11-03 | Paper |
| Minimizing spectral risk measures applied to Markov decision processes | 2021-11-02 | Paper |
| Stochastic dynamic programming with non-linear discounting | 2021-10-19 | Paper |
| Q-Learning for Distributionally Robust Markov Decision Processes | 2021-09-30 | Paper |
| CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS | 2021-06-18 | Paper |
| Mean Field Markov Decision Processes | 2021-06-16 | Paper |
| Robust optimal investment and reinsurance problems with learning | 2021-05-28 | Paper |
| Markov decision processes under ambiguity | 2021-05-20 | Paper |
| Portfolio Optimization in Fractional and Rough Heston Models | 2020-06-08 | Paper |
| Optimal retirement planning under partial information | 2020-01-31 | Paper |
| Martingale optimal transport in the discrete case via simple linear programming techniques | 2019-12-30 | Paper |
| Dividends: from refracting to ratcheting | 2018-11-19 | Paper |
| Optimal risk allocation in reinsurance networks | 2018-10-19 | Paper |
| Optimal Control of Partially Observable Piecewise Deterministic Markov Processes | 2018-04-13 | Paper |
| Stochastic optimal growth model with risk sensitive preferences | 2018-01-11 | Paper |
| Optimal dividend payout model with risk sensitive preferences | 2017-11-23 | Paper |
| EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY | 2017-09-08 | Paper |
| Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates | 2017-07-12 | Paper |
| Financial mathematics in discrete time | 2017-04-20 | Paper |
| Partially Observable Risk-Sensitive Stopping Problems in Discrete Time | 2017-03-28 | Paper |
| Zero-sum risk-sensitive stochastic games | 2016-12-27 | Paper |
| Risk-sensitive dividend problems | 2016-07-08 | Paper |
| Exact and approximate hidden Markov chain filters based on discrete observations | 2016-06-09 | Paper |
| Complete markets do not allow free cash flow streams | 2015-06-25 | Paper |
| A note on applications of stochastic ordering to control problems in insurance and finance | 2014-08-14 | Paper |
| More Risk-Sensitive Markov Decision Processes | 2014-07-11 | Paper |
| Optimal Portfolios for Financial Markets with Wishart Volatility | 2014-04-04 | Paper |
| A joint stock and bond market based on the hyperbolic Gaussian model | 2013-08-20 | Paper |
| Markov decision processes with average-value-at-risk criteria | 2013-02-20 | Paper |
| The Relaxed Investor with Partial Information | 2013-01-25 | Paper |
| Erratum to: Dependence properties of dynamic credit risk models | 2012-12-03 | Paper |
| Insights into financial mathematics: valuation of options and portfolio optimization | 2012-10-01 | Paper |
| Dependence properties of dynamic credit risk models | 2012-09-06 | Paper |
| Control improvement for jump-diffusion processes with applications to finance | 2012-07-10 | Paper |
| Optimal dividend-payout in random discrete time | 2011-12-19 | Paper |
| Optimal control and dependence modeling of insurance portfolios with Lévy dynamics | 2011-08-01 | Paper |
| The Markov-Modulated Risk Model with Investment | 2011-04-07 | Paper |
| Markov decision processes with applications to finance. | 2011-02-17 | Paper |
| Markov decision processes | 2011-01-10 | Paper |
| MDP algorithms for portfolio optimization problems in pure jump markets | 2010-04-22 | Paper |
| Dynamic mean-risk optimization in a binomial model | 2009-11-25 | Paper |
| A Bayesian approach to incorporate model ambiguity in a dynamic risk measure | 2009-05-12 | Paper |
| Multivariate risk processes with interacting intensities | 2008-08-05 | Paper |
| The periodic risk model with investment | 2008-06-25 | Paper |
| Modeling and Comparing Dependencies in Multivariate Risk Portfolios | 2008-06-25 | Paper |
| Dependence properties and comparison results for Lévy processes | 2008-04-23 | Paper |
| Markov-modulated diffusion risk models | 2007-12-16 | Paper |
| PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS | 2007-10-29 | Paper |
| On the waiting time of arriving aircrafts and the capacity of airports with one or two runways | 2006-12-07 | Paper |
| Stochastic orders and risk measures: consistency and bounds | 2006-10-05 | Paper |
| Multivariate Counting Processes: Copulas and Beyond | 2006-10-04 | Paper |
| Comparison Results for Markov-Modulated Recursive Models | 2006-09-22 | Paper |
| Traditional versus non-traditional reinsurance in a dynamic setting | 2006-05-24 | Paper |
| Benchmark and mean-variance problems for insurers | 2006-02-08 | Paper |
| Discounted Stochastic Fluid Programs | 2005-11-11 | Paper |
| Portfolio optimization with unobservable Markov-modulated drift process | 2005-10-18 | Paper |
| ROUTING OF AIRPLANES TO TWO RUNWAYS: MONOTONICITY OF OPTIMAL CONTROLS | 2005-05-09 | Paper |
| Approximation of Optimal Reinsurance and Dividend Payout Policies | 2004-05-27 | Paper |
| Risk management in credit risk portfolios with correlated assets. | 2003-11-16 | Paper |
| Asymptotic optimality of tracking policies in stochastic networks. | 2003-05-06 | Paper |
| Optimal control of queueing networks: an approach via fluid models | 2002-09-29 | Paper |
| Convex stochastic fluid programs with average cost. | 2002-04-09 | Paper |
| Bounds and performance limits of channel assignment policies in cellular networks. | 2002-01-01 | Paper |
| Conservation laws for single-server fluid networks | 2001-07-19 | Paper |
| On positive harris recurrence of stochastic fluid networks | 2001-01-01 | Paper |
| Optimal control of single-server fluid networks | 2000-11-22 | Paper |
| A monotonicity result for the workload in Markov-modulated queues | 2000-02-28 | Paper |
| Optimal scheduling in heterogeneous two-station queueing networks | 2000-01-18 | Paper |
| The advantage of small machines in a stochastic fluid production process | 1999-08-22 | Paper |
| How to improve the performance of ATM multiplexers | 1999-01-01 | Paper |
| Monotonicity results for MR/GI/1 queues | 1997-10-01 | Paper |
| Inequalities for stochastic models via supermodular orderings | 1997-04-16 | Paper |
| Some results about the expected ruin time in Markov-modulated risk models | 1997-04-09 | Paper |
