| Publication | Date of Publication | Type |
|---|
Mean-field BSDEs with jumps and dual representation for global risk measures
Probability, Uncertainty and Quantitative Risk | 2023-04-26 | Paper |
| Stochastic Graphon Mean Field Games with Jumps and Approximate Nash Equilibria | 2023-04-08 | Paper |
| Ruin Probabilities for Risk Processes in Stochastic Networks | 2023-02-13 | Paper |
A Dynamic Contagion Risk Model with Recovery Features
Mathematics of Operations Research | 2022-06-27 | Paper |
American options in a non-linear incomplete market model with default
Stochastic Processes and their Applications | 2021-11-03 | Paper |
| Limit Theorems for Default Contagion and Systemic Risk | 2021-04-01 | Paper |
European options in a nonlinear incomplete market model with default
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
| BSDEs with default jump | 2019-03-22 | Paper |
An integral representation theorem of \(g\)-expectations
Risk and Decision Analysis | 2019-03-12 | Paper |
Applied stochastic control of jump diffusions
Universitext | 2019-02-25 | Paper |
American options in an imperfect complete market with default
ESAIM: Proceedings and Surveys | 2019-01-29 | Paper |
Stochastic control for mean-field stochastic partial differential equations with jumps
Journal of Optimization Theory and Applications | 2018-05-24 | Paper |
Stochastic control for mean-field stochastic partial differential equations with jumps
Journal of Optimization Theory and Applications | 2018-05-24 | Paper |
Game options in an imperfect market with default
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Optimal connectivity for a large financial network
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Singular mean-field control games
Stochastic Analysis and Applications | 2017-11-02 | Paper |
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Stochastics | 2017-04-11 | Paper |
Dynamic robust duality in utility maximization
Applied Mathematics and Optimization | 2017-03-31 | Paper |
Dynamic robust duality in utility maximization
Applied Mathematics and Optimization | 2017-03-31 | Paper |
A stochastic HJB equation for optimal control of forward-backward SDEs
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 2016-12-20 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 2016-12-20 | Paper |
| BSDEs with default jump | 2016-12-16 | Paper |
A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
SIAM Journal on Control and Optimization | 2016-09-06 | Paper |
Optimal control of predictive mean-field equations and applications to finance
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
A comparison theorem for backward SPDEs with jumps
Festschrift Masatoshi Fukushima | 2016-04-15 | Paper |
An anticipative stochastic calculus approach to pricing in markets driven by Lévy process
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Control of interbank contagion under partial information
SIAM Journal on Financial Mathematics | 2016-01-21 | Paper |
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Journal of Optimization Theory and Applications | 2015-10-28 | Paper |
Risk minimization in financial markets modeled by Itô-Lévy processes
Afrika Matematika | 2015-09-23 | Paper |
Market viability and martingale measures under partial information
Methodology and Computing in Applied Probability | 2015-04-16 | Paper |
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Stochastic Processes and their Applications | 2014-09-02 | Paper |
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
Mathematics of Operations Research | 2014-07-11 | Paper |
Forward-backward stochastic differential games and stochastic control under model uncertainty
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
| Singular mean-field control games with applications to optimal harvesting and investment problems | 2014-06-07 | Paper |
BSDEs with jumps, optimization and applications to dynamic risk measures
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Optimal control of interbank contagion under complete information
Statistics & Risk Modeling | 2014-03-17 | Paper |
Portfolio optimization under model uncertainty and BSDE games
Quantitative Finance | 2013-12-13 | Paper |
| Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs | 2013-06-12 | Paper |
Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes
SIAM Journal on Control and Optimization | 2012-11-29 | Paper |
Robust stochastic control and equivalent martingale measures
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
Advances in Applied Probability | 2011-07-22 | Paper |
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Risk indifference pricing in jump diffusion markets
Mathematical Finance | 2009-12-07 | Paper |
| scientific article; zbMATH DE number 5638039 (Why is no real title available?) | 2009-11-24 | Paper |
Optimal stochastic impulse control with delayed reaction
Applied Mathematics and Optimization | 2009-06-08 | Paper |
Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
A policy iteration algorithm for fixed point problems with nonexpansive operators
Mathematical Methods of Operations Research | 2009-03-25 | Paper |
Applied stochastic control of jump diffusions
Universitext | 2007-04-17 | Paper |
Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
Stochastic Processes and their Applications | 2006-10-05 | Paper |
A Large Trader-Insider Model
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
Mathematical Finance | 2006-06-12 | Paper |
Optimal risk control and dividend policies under excess of loss reinsurance
Stochastics | 2005-12-09 | Paper |
A stochastic maximum principle for processes driven by fractional Brownian motion.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
| scientific article; zbMATH DE number 2134039 (Why is no real title available?) | 2005-02-15 | Paper |
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
Journal of Optimization Theory and Applications | 2005-01-19 | Paper |
Applied stochastic control of jump diffusions.
Universitext | 2005-01-10 | Paper |
Partial observation control in an anticipating environment
Russian Mathematical Surveys | 2004-12-01 | Paper |
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-06-09 | Paper |
| scientific article; zbMATH DE number 1795855 (Why is no real title available?) | 2003-05-31 | Paper |
| scientific article; zbMATH DE number 1897413 (Why is no real title available?) | 2003-04-27 | Paper |
Some Solvable Stochastic Control Problems With Delay
Stochastics and Stochastics Reports | 2002-12-02 | Paper |
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
Time-to-build and capacity choice
Journal of Economic Dynamics and Control | 2002-03-03 | Paper |
| Optimal portfolio in a fractional Black \& Scholes market | 2001-12-16 | Paper |
Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
Mathematical Finance | 2001-11-26 | Paper |
Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
Journal of Mathematical Economics | 2001-07-29 | Paper |
| scientific article; zbMATH DE number 1642349 (Why is no real title available?) | 2001-01-01 | Paper |
| scientific article; zbMATH DE number 1069625 (Why is no real title available?) | 1997-10-01 | Paper |
On an Investment-Consumption Model with Transaction Costs
SIAM Journal on Control and Optimization | 1996-06-11 | Paper |
Explicit Solution of Inventory Problems with Delivery Lags
Mathematics of Operations Research | 1996-02-25 | Paper |
Pseudopower expansion of solutions of generalized equations and constrained optimization problems
Mathematical Programming. Series A. Series B | 1996-02-25 | Paper |
Computational aspects in applied stochastic control
Computational Economics | 1995-09-27 | Paper |
Multi-asset portfolio selection problem with transaction costs
Mathematics and Computers in Simulation | 1995-09-04 | Paper |
| scientific article; zbMATH DE number 4059265 (Why is no real title available?) | 1988-01-01 | Paper |
A Solvable One-Dimensional Model of a Diffusion Inventory System
Mathematics of Operations Research | 1986-01-01 | Paper |
Explicit Solution of a Two-Dimensional Deterministic Inventory Problem
Mathematics of Operations Research | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4114535 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3908309 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3874930 (Why is no real title available?) | 1982-01-01 | Paper |
