| Publication | Date of Publication | Type |
|---|
Time-consistency in the mean-variance problem: a new perspective
IEEE Transactions on Automatic Control | 2025-01-21 | Paper |
Blackwell optimality and policy stability for long-run risk-sensitive stochastic control
SIAM Journal on Control and Optimization | 2024-12-12 | Paper |
Nash equilibria for relative investors with (non)linear price impact
Mathematics and Financial Economics | 2024-08-28 | Paper |
Continuous-time mean field Markov decision models
Applied Mathematics and Optimization | 2024-08-20 | Paper |
Optimal investment in ambiguous financial markets with learning
European Journal of Operational Research | 2024-06-13 | Paper |
Markov decision processes with risk-sensitive criteria: an overview
Mathematical Methods of Operations Research | 2024-05-15 | Paper |
OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
International Journal of Theoretical and Applied Finance | 2024-01-23 | Paper |
| Continuous-time mean field Markov decision models | 2023-07-04 | Paper |
Mean field Markov decision processes
Applied Mathematics and Optimization | 2023-04-27 | Paper |
Nash equilibria for relative investors via no-arbitrage arguments
Mathematical Methods of Operations Research | 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
Mathematics of Operations Research | 2022-09-26 | Paper |
Risk-sensitive stopping problems for continuous-time Markov chains
Stochastics | 2022-06-30 | Paper |
Risk-sensitive stopping problems for continuous-time Markov chains
Stochastics | 2022-06-30 | Paper |
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
Statistics & Risk Modeling | 2022-05-09 | Paper |
Markov decision processes with recursive risk measures
European Journal of Operational Research | 2021-11-09 | Paper |
Nash equilibria for relative investors via no-arbitrage arguments
(available as arXiv preprint) | 2021-11-03 | Paper |
Minimizing spectral risk measures applied to Markov decision processes
Mathematical Methods of Operations Research | 2021-11-02 | Paper |
Stochastic dynamic programming with non-linear discounting
Applied Mathematics and Optimization | 2021-10-19 | Paper |
Q-learning for distributionally robust Markov decision processes
Modern Trends in Controlled Stochastic Processes: | 2021-09-30 | Paper |
Consistent upper price bounds for exotic options
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
Mean Field Markov Decision Processes
(available as arXiv preprint) | 2021-06-16 | Paper |
Robust optimal investment and reinsurance problems with learning
Scandinavian Actuarial Journal | 2021-05-28 | Paper |
Markov decision processes under ambiguity
Banach Center Publications | 2021-05-20 | Paper |
Portfolio Optimization in Fractional and Rough Heston Models
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Optimal retirement planning under partial information
Statistics & Risk Modeling | 2020-01-31 | Paper |
Martingale optimal transport in the discrete case via simple linear programming techniques
Mathematical Methods of Operations Research | 2019-12-30 | Paper |
Dividends: from refracting to ratcheting
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Optimal risk allocation in reinsurance networks
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Optimal control of partially observable piecewise deterministic Markov processes
SIAM Journal on Control and Optimization | 2018-04-13 | Paper |
Stochastic optimal growth model with risk sensitive preferences
Journal of Economic Theory | 2018-01-11 | Paper |
Optimal dividend payout model with risk sensitive preferences
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Extremal behavior of long-term investors with power utility
International Journal of Theoretical and Applied Finance | 2017-09-08 | Paper |
Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Financial mathematics in discrete time
Springer-Lehrbuch Masterclass | 2017-04-20 | Paper |
| Partially Observable Risk-Sensitive Stopping Problems in Discrete Time | 2017-03-28 | Paper |
Zero-sum risk-sensitive stochastic games
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Risk-sensitive dividend problems
European Journal of Operational Research | 2016-07-08 | Paper |
Exact and approximate hidden Markov chain filters based on discrete observations
Statistics & Risk Modeling | 2016-06-09 | Paper |
Complete markets do not allow free cash flow streams
Mathematical Methods of Operations Research | 2015-06-25 | Paper |
A note on applications of stochastic ordering to control problems in insurance and finance
Stochastics | 2014-08-14 | Paper |
More risk-sensitive Markov decision processes
Mathematics of Operations Research | 2014-07-11 | Paper |
Optimal portfolios for financial markets with Wishart volatility
Journal of Applied Probability | 2014-04-04 | Paper |
A joint stock and bond market based on the hyperbolic Gaussian model
European Actuarial Journal | 2013-08-20 | Paper |
Markov decision processes with average-value-at-risk criteria
Mathematical Methods of Operations Research | 2013-02-20 | Paper |
The Relaxed Investor with Partial Information
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Erratum to: Dependence properties of dynamic credit risk models
Statistics & Risk Modeling | 2012-12-03 | Paper |
Insights into financial mathematics: valuation of options and portfolio optimization
Facettenreiche Mathematik | 2012-10-01 | Paper |
Dependence properties of dynamic credit risk models
Statistics & Risk Modeling | 2012-09-06 | Paper |
Control improvement for jump-diffusion processes with applications to finance
Applied Mathematics and Optimization | 2012-07-10 | Paper |
Optimal dividend-payout in random discrete time
Statistics & Risk Modeling | 2011-12-19 | Paper |
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
Insurance Mathematics & Economics | 2011-08-01 | Paper |
The Markov-modulated risk model with investment
Operations Research Proceedings | 2011-04-07 | Paper |
Markov decision processes with applications to finance.
Universitext | 2011-02-17 | Paper |
Markov decision processes
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2011-01-10 | Paper |
MDP algorithms for portfolio optimization problems in pure jump markets
Finance and Stochastics | 2010-04-22 | Paper |
Dynamic mean-risk optimization in a binomial model
Mathematical Methods of Operations Research | 2009-11-25 | Paper |
A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
Statistics & Decisions | 2009-05-12 | Paper |
Multivariate risk processes with interacting intensities
Advances in Applied Probability | 2008-08-05 | Paper |
The periodic risk model with investment
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Modeling and Comparing Dependencies in Multivariate Risk Portfolios
ASTIN Bulletin | 2008-06-25 | Paper |
Dependence properties and comparison results for Lévy processes
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
Markov-modulated diffusion risk models
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
Mathematical Finance | 2007-10-29 | Paper |
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
European Journal of Operational Research | 2006-12-07 | Paper |
Stochastic orders and risk measures: consistency and bounds
Insurance Mathematics & Economics | 2006-10-05 | Paper |
Multivariate Counting Processes: Copulas and Beyond
ASTIN Bulletin | 2006-10-04 | Paper |
Comparison Results for Markov-Modulated Recursive Models
Probability in the Engineering and Informational Sciences | 2006-09-22 | Paper |
Traditional versus non-traditional reinsurance in a dynamic setting
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Benchmark and mean-variance problems for insurers
Mathematical Methods of Operations Research | 2006-02-08 | Paper |
Discounted Stochastic Fluid Programs
Mathematics of Operations Research | 2005-11-11 | Paper |
Portfolio optimization with unobservable Markov-modulated drift process
Journal of Applied Probability | 2005-10-18 | Paper |
ROUTING OF AIRPLANES TO TWO RUNWAYS: MONOTONICITY OF OPTIMAL CONTROLS
Probability in the Engineering and Informational Sciences | 2005-05-09 | Paper |
Approximation of Optimal Reinsurance and Dividend Payout Policies
Mathematical Finance | 2004-05-27 | Paper |
Risk management in credit risk portfolios with correlated assets.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Asymptotic optimality of tracking policies in stochastic networks.
The Annals of Applied Probability | 2003-05-06 | Paper |
Optimal control of queueing networks: an approach via fluid models
Advances in Applied Probability | 2002-09-29 | Paper |
Convex stochastic fluid programs with average cost.
Journal of Mathematical Analysis and Applications | 2002-04-09 | Paper |
Bounds and performance limits of channel assignment policies in cellular networks.
Probability in the Engineering and Informational Sciences | 2002-01-01 | Paper |
Conservation laws for single-server fluid networks
Queueing Systems | 2001-07-19 | Paper |
On positive harris recurrence of stochastic fluid networks
Stochastic Models | 2001-01-01 | Paper |
Optimal control of single-server fluid networks
Queueing Systems | 2000-11-22 | Paper |
A monotonicity result for the workload in Markov-modulated queues
Journal of Applied Probability | 2000-02-28 | Paper |
Optimal scheduling in heterogeneous two-station queueing networks
Mathematical Methods of Operations Research | 2000-01-18 | Paper |
The advantage of small machines in a stochastic fluid production process
Mathematical Methods of Operations Research | 1999-08-22 | Paper |
How to improve the performance of ATM multiplexers
Operations Research Letters | 1999-01-01 | Paper |
Monotonicity results for MR/GI/1 queues
Journal of Applied Probability | 1997-10-01 | Paper |
Inequalities for stochastic models via supermodular orderings
Communications in Statistics. Stochastic Models | 1997-04-16 | Paper |
Some results about the expected ruin time in Markov-modulated risk models
Insurance Mathematics & Economics | 1997-04-09 | Paper |
