| Publication | Date of Publication | Type |
|---|
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
Mathematics and Financial Economics | 2024-08-28 | Paper |
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Finance and Stochastics | 2024-04-02 | Paper |
A stochastic control approach to public debt management
Mathematics and Financial Economics | 2022-09-23 | Paper |
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Indifference pricing of pure endowments via BSDEs under partial information
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
A BSDE-based approach for the optimal reinsurance problem under partial information
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Optimal reduction of public debt under partial observation of the economic growth
Finance and Stochastics | 2020-11-11 | Paper |
Value adjustments and dynamic hedging of reinsurance counterparty risk
SIAM Journal on Financial Mathematics | 2020-09-28 | Paper |
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
Applied Mathematics and Optimization | 2020-09-09 | Paper |
Optimal proportional reinsurance and investment for stochastic factor models
Insurance Mathematics & Economics | 2019-06-17 | Paper |
The Föllmer–Schweizer decomposition under incomplete information
Stochastics | 2018-09-04 | Paper |
Unit-linked life insurance policies: optimal hedging in partially observable market models
Insurance Mathematics & Economics | 2017-09-19 | Paper |
Local risk-minimization under restricted information on asset prices
Electronic Journal of Probability | 2015-11-27 | Paper |
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Insurance Mathematics & Economics | 2015-03-13 | Paper |
A benchmark approach to risk-minimization under partial information
Insurance Mathematics & Economics | 2014-09-22 | Paper |
BSDEs under partial information and financial applications
Stochastic Processes and their Applications | 2014-08-28 | Paper |
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
Applied Mathematics and Optimization | 2014-07-01 | Paper |
GKW representation theorem under restricted information. An application to risk-minimization
Stochastics and Dynamics | 2014-05-16 | Paper |
Optimal Investment-consumption for Partially Observed Jump-diffusions
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
International Journal of Theoretical and Applied Finance | 2012-11-22 | Paper |
Nonlinear filtering for jump diffusion observations
Advances in Applied Probability | 2012-11-02 | Paper |
Optimal investment problems with marked point processes
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Utility-based hedging and pricing with a nontraded asset for jump processes
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2012-05-31 | Paper |
Utility indifference valuation for jump risky assets
Decisions in Economics and Finance | 2011-12-13 | Paper |
Wealth optimization and dual problems for jump stock dynamics with stochastic factor
Stochastics | 2011-03-11 | Paper |
PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
International Journal of Theoretical and Applied Finance | 2009-08-03 | Paper |
Risk minimizing hedging for a partially observed high frequency data model
Stochastics | 2007-03-08 | Paper |
Modelling a multitype branching Brownian motion: Filtering of a measure-valued process
Acta Applicandae Mathematicae | 2006-09-12 | Paper |
A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
International Journal of Theoretical and Applied Finance | 2006-08-14 | Paper |
Multitype branching processes observing particles of a given type
Journal of Applied Probability | 2005-10-18 | Paper |
Optimal design in nonparametric life testing
Statistical Inference for Stochastic Processes | 2005-04-07 | Paper |
Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
Stochastics and Stochastic Reports | 2004-10-21 | Paper |
Controlled partially observed jump processes: dynamics dependent on the observed history.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
Stochastics and Stochastic Reports | 2003-03-24 | Paper |
AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2003-03-16 | Paper |
Existence of optimal controls for partially observed jump processes
Acta Applicandae Mathematicae | 2003-03-11 | Paper |
Conditional law of a branching process observing a subpopulation
Journal of Applied Probability | 2002-11-05 | Paper |
Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
Stochastics and Stochastic Reports | 2002-08-08 | Paper |
An approximation method for controlled discrete jump processes under partial observations
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
Nonlinear filtering equation of a jump process with counting observations
Acta Applicandae Mathematicae | 2002-03-03 | Paper |
An Optimal Stopping Problem Arising from a Decision Model with Many Agents
Probability in the Engineering and Informational Sciences | 2002-03-03 | Paper |
Filtering of a Markov jump process with counting observations
Applied Mathematics and Optimization | 2001-06-13 | Paper |
Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Optimal control and filtering of the reproduction law of a branching process
Acta Applicandae Mathematicae | 1999-04-26 | Paper |
Filtering of a branching process given its split times
Journal of Applied Probability | 1998-04-23 | Paper |
Some Results about Stopping Timesof the Marked Tree Space
Theory of Probability & Its Applications | 1998-01-29 | Paper |
| scientific article; zbMATH DE number 756707 (Why is no real title available?) | 1995-10-15 | Paper |
| scientific article; zbMATH DE number 98168 (Why is no real title available?) | 1993-01-17 | Paper |
