| Publication | Date of Publication | Type |
|---|
| Mean-field BSDEs with jumps and dual representation for global risk measures | 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 | 2022-06-27 | Paper |
| American options in a non-linear incomplete market model with default | 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 | 2020-11-07 | Paper |
| BSDEs with default jump | 2019-03-22 | Paper |
| An integral representation theorem of g-expectations | 2019-03-12 | Paper |
| Applied stochastic control of jump diffusions | 2019-02-25 | Paper |
| American options in an imperfect complete market with default | 2019-01-29 | Paper |
| Stochastic control for mean-field stochastic partial differential equations with jumps | 2018-05-24 | Paper |
| Game Options in an Imperfect Market with Default | 2018-03-12 | Paper |
| Optimal connectivity for a large financial network | 2018-03-07 | Paper |
| Singular mean-field control games | 2017-11-02 | Paper |
| Mixed generalized Dynkin game and stochastic control in a Markovian framework | 2017-04-11 | Paper |
| Dynamic robust duality in utility maximization | 2017-03-31 | Paper |
| A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs | 2017-01-16 | Paper |
| Generalized Dynkin games and doubly reflected BSDEs with jumps | 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 | 2016-09-06 | Paper |
| Optimal Control of Predictive Mean-Field Equations and Applications to Finance | 2016-04-22 | Paper |
| A comparison theorem for backward SPDEs with jumps | 2016-04-15 | Paper |
| An anticipative stochastic calculus approach to pricing in markets driven by Lévy process | 2016-03-04 | Paper |
| Control of Interbank Contagion Under Partial Information | 2016-01-21 | Paper |
| Optimal stopping for dynamic risk measures with jumps and obstacle problems | 2015-10-28 | Paper |
| Risk minimization in financial markets modeled by Itô-Lévy processes | 2015-09-23 | Paper |
| Market viability and martingale measures under partial information | 2015-04-16 | Paper |
| Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps | 2014-09-02 | Paper |
| Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection | 2014-07-11 | Paper |
| Forward-backward stochastic differential games and stochastic control under model uncertainty | 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 | 2014-04-28 | Paper |
| Optimal control of interbank contagion under complete information | 2014-03-17 | Paper |
| Portfolio optimization under model uncertainty and BSDE games | 2013-12-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925778 | 2013-06-12 | Paper |
| Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes | 2012-11-29 | Paper |
| Robust Stochastic Control and Equivalent Martingale Measures | 2012-09-07 | Paper |
| Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations | 2011-07-22 | Paper |
| Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps | 2010-10-20 | Paper |
| RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS | 2009-12-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3648013 | 2009-11-24 | Paper |
| Optimal stochastic impulse control with delayed reaction | 2009-06-08 | Paper |
| Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading | 2009-06-05 | Paper |
| A policy iteration algorithm for fixed point problems with nonexpansive operators | 2009-03-25 | Paper |
| Applied stochastic control of jump diffusions | 2007-04-17 | Paper |
| Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations | 2006-10-05 | Paper |
| A Large Trader-Insider Model | 2006-09-18 | Paper |
| UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET | 2006-06-12 | Paper |
| Optimal risk control and dividend policies under excess of loss reinsurance | 2005-12-09 | Paper |
| A stochastic maximum principle for processes driven by fractional Brownian motion. | 2005-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159178 | 2005-02-15 | Paper |
| Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance | 2005-01-19 | Paper |
| Applied stochastic control of jump diffusions. | 2005-01-10 | Paper |
| Partial observation control in an anticipating environment | 2004-12-01 | Paper |
| An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion | 2004-08-06 | Paper |
| OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION | 2004-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550922 | 2003-05-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4802408 | 2003-04-27 | Paper |
| Some Solvable Stochastic Control Problems With Delay | 2002-12-02 | Paper |
| Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs | 2002-06-23 | Paper |
| Time-to-build and capacity choice | 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. | 2001-11-26 | Paper |
| Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs | 2001-07-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741114 | 2001-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356587 | 1997-10-01 | Paper |
| On an Investment-Consumption Model with Transaction Costs | 1996-06-11 | Paper |
| Explicit Solution of Inventory Problems with Delivery Lags | 1996-02-25 | Paper |
| Pseudopower expansion of solutions of generalized equations and constrained optimization problems | 1996-02-25 | Paper |
| Computational aspects in applied stochastic control | 1995-09-27 | Paper |
| Multi-asset portfolio selection problem with transaction costs | 1995-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3794053 | 1988-01-01 | Paper |
| A Solvable One-Dimensional Model of a Diffusion Inventory System | 1986-01-01 | Paper |
| Explicit Solution of a Two-Dimensional Deterministic Inventory Problem | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4729712 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3686602 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3340471 | 1982-01-01 | Paper |
