| Publication | Date of Publication | Type |
|---|
An extension of the Clark–Haussmann formula and applications
Stochastics | 2022-07-08 | Paper |
Optimal portfolio selection and compression in an incomplete market
Quantitative Finance | 2019-01-14 | Paper |
Time consistent utility maximization
(available as arXiv preprint) | 2011-11-25 | Paper |
Equilibrium in a production economy
Applied Mathematics and Optimization | 2011-05-25 | Paper |
On a stochastic, irreversible investment problem
SIAM Journal on Control and Optimization | 2010-04-28 | Paper |
Multivariable Utility Functions
SIAM Journal on Optimization | 2009-11-27 | Paper |
Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold
Mathematics of Operations Research | 2005-11-11 | Paper |
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
Finance and Stochastics | 2005-05-20 | Paper |
| scientific article; zbMATH DE number 2159171 (Why is no real title available?) | 2005-04-19 | Paper |
| scientific article; zbMATH DE number 2133114 (Why is no real title available?) | 2005-02-09 | Paper |
A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
Mathematical Finance | 2004-10-28 | Paper |
Equilibrium in a stochastic model with consumption, wages and investment
Journal of Mathematical Economics | 2002-05-27 | Paper |
| Optimal portfolio selection with transaction costs | 2002-02-07 | Paper |
Singular Optimal Stochastic Controls I: Existence
SIAM Journal on Control and Optimization | 1999-08-29 | Paper |
Singular Optimal Stochastic Controls II: Dynamic programming
SIAM Journal on Control and Optimization | 1999-08-29 | Paper |
Optimal Control of Inflation: A Central Bank Problem
SIAM Journal on Control and Optimization | 1998-05-10 | Paper |
Existence of singular optimal control laws for stochastic differential equations
Stochastics and Stochastic Reports | 1995-10-18 | Paper |
The stochastic maximum principle for a singular control problem
Stochastics and Stochastic Reports | 1995-09-25 | Paper |
The optimal control of the cheap monotone follower
Stochastics and Stochastic Reports | 1995-09-25 | Paper |
Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control
SIAM Journal on Control and Optimization | 1995-02-06 | Paper |
The Free Boundary of the Monotone Follower
SIAM Journal on Control and Optimization | 1994-09-26 | Paper |
| scientific article; zbMATH DE number 503108 (Why is no real title available?) | 1994-05-19 | Paper |
A Probabilistic Approach to the Generalized Hessian
Mathematics of Operations Research | 1993-01-16 | Paper |
Discrete-time stochastic adaptive control with small observation noise
Applied Mathematics and Optimization | 1992-08-13 | Paper |
| scientific article; zbMATH DE number 17493 (Why is no real title available?) | 1992-06-26 | Paper |
Stochastic adaptive control with small observation noise
Stochastics and Stochastic Reports | 1992-06-25 | Paper |
On the Existence of Optimal Controls
SIAM Journal on Control and Optimization | 1990-01-01 | Paper |
Stochastic variational inequalities of parabolic type
Applied Mathematics and Optimization | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4181267 (Why is no real title available?) | 1989-01-01 | Paper |
A conditionally almost linear filtering problem with non-gaussian initial condition∗
Stochastics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4061121 (Why is no real title available?) | 1988-01-01 | Paper |
The Maximum Principle for Optimal Control of Diffusions with Partial Information
SIAM Journal on Control and Optimization | 1987-01-01 | Paper |
Examples of optimal controls for linear stochastic control systems with partial observation
Stochastics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4023182 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3972777 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3999814 (Why is no real title available?) | 1986-01-01 | Paper |
Time reversal of diffusions
The Annals of Probability | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3954798 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3883353 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3885055 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3885055 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3888637 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3878823 (Why is no real title available?) | 1984-01-01 | Paper |
On the approximation of optimal stochastic controls
Journal of Optimization Theory and Applications | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3784774 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3829773 (Why is no real title available?) | 1982-01-01 | Paper |
On the Existence of Optimal Controls for Partially Observed Diffusions
SIAM Journal on Control and Optimization | 1982-01-01 | Paper |
Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
SIAM Review | 1981-01-01 | Paper |
On the Adjoint Process for Optimal Control of Diffusion Processes
SIAM Journal on Control and Optimization | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3754508 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3748909 (Why is no real title available?) | 1980-01-01 | Paper |
On the integral representation of functionals of ltd processest
Stochastics | 1979-01-01 | Paper |
Asymptotic stability of the linear Ito equation in infinite dimensions
Journal of Mathematical Analysis and Applications | 1978-01-01 | Paper |
On the Stochastic Maximum Principle
SIAM Journal on Control and Optimization | 1978-01-01 | Paper |
Functionals of Itô Processes as Stochastic Integrals
SIAM Journal on Control and Optimization | 1978-01-01 | Paper |
A New Stochastic Time Optimal Control Problem
SIAM Journal on Control and Optimization | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3577134 (Why is no real title available?) | 1976-01-01 | Paper |
On the Existence of Moments of Stationary Linear Systems with Multiplicative Noise
SIAM Journal on Control | 1974-01-01 | Paper |
Stability of Linear Systems with Control Dependent Noise
SIAM Journal on Control | 1973-01-01 | Paper |
On the principle of competitive exclusion
Theoretical Population Biology | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3419022 (Why is no real title available?) | 1972-01-01 | Paper |
The inversion theorem and Plancherel's theorem in a Banach space
Pacific Journal of Mathematics | 1972-01-01 | Paper |
| scientific article; zbMATH DE number 3370231 (Why is no real title available?) | 1972-01-01 | Paper |
Abstract food webs in ecology
Mathematical Biosciences | 1971-01-01 | Paper |
Optimal Stationary Control with State Control Dependent Noise
SIAM Journal on Control | 1971-01-01 | Paper |
On the optimal long run control of Markov renewal processes
Journal of Mathematical Analysis and Applications | 1971-01-01 | Paper |
