| Publication | Date of Publication | Type |
|---|
An optimal stopping problem for reflecting Brownian motions
Stochastic Processes and their Applications | 2026-04-01 | Paper |
Quickest real-time detection of multiple Brownian drifts
SIAM Journal on Control and Optimization | 2024-07-09 | Paper |
Quickest detection problems for Ornstein-Uhlenbeck processes
Mathematics of Operations Research | 2024-06-27 | Paper |
Sticky Feller diffusions
Electronic Journal of Probability | 2023-07-04 | Paper |
| Quickest Real-Time Detection of Multiple Brownian Drifts | 2023-05-09 | Paper |
Quickest real-time detection of a Brownian coordinate drift
The Annals of Applied Probability | 2022-10-10 | Paper |
Sticky Bessel diffusions
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Global \(C^1\) regularity of the value function in optimal stopping problems
The Annals of Applied Probability | 2021-03-18 | Paper |
Global \(C^1\) regularity of the value function in optimal stopping problems
The Annals of Applied Probability | 2021-03-18 | Paper |
Optimal real-time detection of a drifting Brownian coordinate
The Annals of Applied Probability | 2021-03-18 | Paper |
Optimal real-time detection of a drifting Brownian coordinate
The Annals of Applied Probability | 2021-03-18 | Paper |
| Obituary: Jørgen Hoffmann-Jørgensen (1942--2017) | 2020-06-21 | Paper |
Continuity of the optimal stopping boundary for two-dimensional diffusions
The Annals of Applied Probability | 2019-03-20 | Paper |
Optimal prediction of resistance and support levels
Applied Mathematical Finance | 2018-09-06 | Paper |
Constrained dynamic optimality and binomial terminal wealth
SIAM Journal on Control and Optimization | 2018-04-11 | Paper |
Optimal mean-variance portfolio selection
Mathematics and Financial Economics | 2017-03-07 | Paper |
Stochastic differential equations for sticky Brownian motion
Stochastics | 2016-06-10 | Paper |
Optimal mean-variance selling strategies
Mathematics and Financial Economics | 2016-03-08 | Paper |
Embedding laws in diffusions by functions of time
The Annals of Probability | 2015-10-30 | Paper |
Embedding laws in diffusions by functions of time
The Annals of Probability | 2015-10-30 | Paper |
Quickest detection of a hidden target and extremal surfaces
The Annals of Applied Probability | 2014-11-21 | Paper |
Quickest detection of a hidden target and extremal surfaces
The Annals of Applied Probability | 2014-11-21 | Paper |
A probabilistic solution to the Stroock-Williams equation
The Annals of Probability | 2014-10-31 | Paper |
A probabilistic solution to the Stroock-Williams equation
The Annals of Probability | 2014-10-31 | Paper |
The British call option
Quantitative Finance | 2014-02-08 | Paper |
Three-dimensional Brownian motion and the golden ratio rule
The Annals of Applied Probability | 2013-05-10 | Paper |
Three-dimensional Brownian motion and the golden ratio rule
The Annals of Applied Probability | 2013-05-10 | Paper |
| scientific article; zbMATH DE number 6099237 (Why is no real title available?) | 2012-10-26 | Paper |
The British put option
Applied Mathematical Finance | 2012-06-08 | Paper |
Optimal detection of a hidden target: the median rule
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Predicting the ultimate supremum of a stable Lévy process with no negative jumps
The Annals of Probability | 2012-01-09 | Paper |
The British Russian Option
Stochastics | 2012-01-03 | Paper |
The British Asian option
Sequential Analysis | 2010-10-01 | Paper |
| scientific article; zbMATH DE number 5774588 (Why is no real title available?) | 2010-08-24 | Paper |
Optimal stopping games and Nash equilibrium
Theory of Probability & Its Applications | 2010-04-26 | Paper |
The law of the hitting times to points by a stable Lévy process with no negative jumps
Electronic Communications in Probability | 2009-11-20 | Paper |
The law of the hitting times to points by a stable Lévy process with no negative jumps
Electronic Communications in Probability | 2009-11-20 | Paper |
Selling a stock at the ultimate maximum
The Annals of Applied Probability | 2009-07-17 | Paper |
Optimal Stopping Games for Markov Processes
SIAM Journal on Control and Optimization | 2009-03-27 | Paper |
The law of the supremum of a stable Lévy process with no negative jumps
The Annals of Probability | 2008-10-20 | Paper |
Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
Mathematical Control Theory and Finance | 2008-10-17 | Paper |
Predicting the last zero of Brownian motion with drift
Stochastics | 2008-05-15 | Paper |
A Change-of-Variable Formula with Local Time on Surfaces
Lecture Notes in Mathematics | 2007-10-31 | Paper |
The trap of complacency in predicting the maximum
The Annals of Probability | 2007-05-08 | Paper |
Optimal stopping with applications: an editorial prelude
Stochastics | 2007-03-30 | Paper |
Principle of smooth fit and diffusions with angles
Stochastics | 2007-03-30 | Paper |
The Wiener disorder problem with finite horizon
Stochastic Processes and their Applications | 2007-01-09 | Paper |
| On the fundamental solution of the Kolmogorov-Shiryaev equation | 2006-10-23 | Paper |
The Russian option: finite horizon
Finance and Stochastics | 2006-05-24 | Paper |
| scientific article; zbMATH DE number 5016447 (Why is no real title available?) | 2006-03-30 | Paper |
A change-of-variable formula with local time on curves
Journal of Theoretical Probability | 2005-12-14 | Paper |
Maximum process problems in optimal control theory
Journal of Applied Mathematics and Stochastic Analysis | 2005-09-05 | Paper |
ON THE AMERICAN OPTION PROBLEM
Mathematical Finance | 2005-08-17 | Paper |
The Azéma-Yor embedding in non-singular diffusions.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
| scientific article; zbMATH DE number 2078181 (Why is no real title available?) | 2004-07-07 | Paper |
The Wiener Sequential Testing Problem with Finite Horizon
Stochastics and Stochastic Reports | 2004-06-22 | Paper |
On integral equations arising in the first-passage problem for Brownian motion
Journal of Integral Equations and Applications | 2004-03-17 | Paper |
| scientific article; zbMATH DE number 1983453 (Why is no real title available?) | 2004-02-20 | Paper |
On the Diffusion Coefficient: The Einstein Relation and Beyond
Stochastic Models | 2003-07-24 | Paper |
| scientific article; zbMATH DE number 1795857 (Why is no real title available?) | 2003-04-28 | Paper |
Bounding the maximal height of a diffusion by the time elapsed
Journal of Theoretical Probability | 2002-12-02 | Paper |
Limit at zero of the Brownian first-passage density
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
Sequential testing problems for Poisson processes.
The Annals of Statistics | 2002-11-14 | Paper |
| Levý-Khintchine inequalities, multiple reflection, and Brownian motion | 2002-05-05 | Paper |
A Note on the Call-Put Parity and a Call-Put Duality
Theory of Probability & Its Applications | 2002-04-25 | Paper |
Principles of optimal stopping and free-boundary problems
Lecture Notes Series. Aarhus University | 2002-04-18 | Paper |
Consistency of statistical models described by families of reversed submartingales
Probability and Mathematical Statistics | 2002-02-18 | Paper |
| Controlling the velocity of Brownian motion by its terminal value | 2002-01-24 | Paper |
MARKET FORCES AND DYNAMIC ASSET PRICING
Stochastic Analysis and Applications | 2002-01-01 | Paper |
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
Theory of Probability and its Applications | 2001-10-22 | Paper |
| scientific article; zbMATH DE number 1552488 (Why is no real title available?) | 2001-08-30 | Paper |
From uniform laws of large numbers to uniform ergodic theorems
Lecture Notes Series. Aarhus University | 2001-05-13 | Paper |
Solving non–linear optimal stopping problems by the method of time–change
Stochastic Analysis and Applications | 2001-02-06 | Paper |
Designing options given the risk: The optimal Skorokhod-embedding problem
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
Bulletin of the London Mathematical Society | 2000-11-22 | Paper |
Maximal inequalities for the Ornstein-Uhlenbeck process
Proceedings of the American Mathematical Society | 2000-09-03 | Paper |
Optimal stopping of the maximum process: The maximality principle
The Annals of Probability | 2000-05-04 | Paper |
| scientific article; zbMATH DE number 1409899 (Why is no real title available?) | 2000-03-02 | Paper |
Optimal stopping and maximal inequalities for geometric Brownian motion
Journal of Applied Probability | 2000-01-24 | Paper |
| scientific article; zbMATH DE number 1303361 (Why is no real title available?) | 1999-10-25 | Paper |
Optimal stopping inequalities for the integral of Brownian paths
Journal of Mathematical Analysis and Applications | 1999-04-08 | Paper |
On the Brownian first-passage time over a one-sided stochastic boundary
Teoriya Veroyatnostei i ee Primeneniya | 1999-01-21 | Paper |
On the Russian option: The expected waiting time
Teoriya Veroyatnostei i ee Primeneniya | 1999-01-21 | Paper |
Optimal stopping and maximal inequalities for linear diffusions
Journal of Theoretical Probability | 1999-01-14 | Paper |
On Doob's maximal inequality for Brownian motion
Stochastic Processes and their Applications | 1999-01-14 | Paper |
Maximal inequalities for Bessel processes
Journal of Inequalities and Applications | 1999-01-05 | Paper |
Computing the expectation of the Azéma-Yor stopping times
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1999-01-05 | Paper |
Computing the expectation of the Azéma-Yor stopping times
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1999-01-05 | Paper |
| scientific article; zbMATH DE number 1149773 (Why is no real title available?) | 1998-10-13 | Paper |
The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion
Mathematical Inequalities & Applications | 1998-10-11 | Paper |
The the uniform mean-square ergodic theorem for wide sense stationary processes
Stochastic Analysis and Applications | 1998-09-01 | Paper |
Extremal problems in the maximal inequalities of Khintchine
Mathematical Proceedings of the Cambridge Philosophical Society | 1998-03-04 | Paper |
Randomly Weighted Series of Contractions in Hilbert Spaces.
MATHEMATICA SCANDINAVICA | 1998-01-22 | Paper |
On wald-type optimal stopping for Brownian motion
Journal of Applied Probability | 1997-11-10 | Paper |
Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
Bulletin of the London Mathematical Society | 1997-09-15 | Paper |
| scientific article; zbMATH DE number 936392 (Why is no real title available?) | 1996-12-16 | Paper |
| scientific article; zbMATH DE number 937431 (Why is no real title available?) | 1996-11-26 | Paper |
On the exponential Orlicz norms of stopped Brownian motion
Studia Mathematica | 1996-11-07 | Paper |
The Existence of Measurable Approximating Maximums.
MATHEMATICA SCANDINAVICA | 1996-09-23 | Paper |
The Khintchine inequalities and martingale expanding sphere of their action
Russian Mathematical Surveys | 1996-09-03 | Paper |
Best Constants in Kahane-Khintchine Inequalities for Complex Steinhaus Functions
Proceedings of the American Mathematical Society | 1996-05-29 | Paper |
| scientific article; zbMATH DE number 774952 (Why is no real title available?) | 1995-10-23 | Paper |
The continuity principle in exponential type Orlicz spaces
Nagoya Mathematical Journal | 1995-09-06 | Paper |
| scientific article; zbMATH DE number 774953 (Why is no real title available?) | 1995-07-17 | Paper |
Uniform convergence of reversed martingales
Journal of Theoretical Probability | 1995-05-23 | Paper |
Maximal inequalities of Kahane–Khintchine's type in Orlicz spaces
Mathematical Proceedings of the Cambridge Philosophical Society | 1995-03-28 | Paper |
| scientific article; zbMATH DE number 699473 (Why is no real title available?) | 1994-12-07 | Paper |
| scientific article; zbMATH DE number 699469 (Why is no real title available?) | 1994-12-07 | Paper |
| scientific article; zbMATH DE number 482639 (Why is no real title available?) | 1994-11-29 | Paper |
Best constants in Kahane-Khintchine inequalities in Orlicz spaces
Journal of Multivariate Analysis | 1993-08-17 | Paper |
| scientific article; zbMATH DE number 179479 (Why is no real title available?) | 1993-08-08 | Paper |
The Gapeev-Shiryaev Conjecture
(available as arXiv preprint) | N/A | Paper |
