Peter Bank

Available identifiers

zbMath Open bank.peterDBLP50/8200WikidataQ102225635 ScholiaQ102225635MaRDI QIDQ234253

List of research outcomes

Publication	Date of Publication	Type
Optimal investment with a noisy signal of future stock prices	2024-02-08	Paper
Liquidity in competitive dealer markets	2023-09-28	Paper
Rough PDEs for local stochastic volatility models	2023-07-18	Paper
Merton's Optimal Investment Problem with Jump Signals	2022-11-04	Paper
What if we knew what the future brings? Optimal investment for a frontrunner with price impact	2022-07-18	Paper
On a stochastic representation theorem for Meyer-measurable processes	2022-02-25	Paper
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment	2021-11-04	Paper
Merton's optimal investment problem with jump signals	2021-09-28	Paper
Short Communication: A Note on Utility Indifference Pricing with Delayed Information	2021-05-17	Paper
A Note on Utility Indifference Pricing with Delayed Information	2020-11-10	Paper
Scaling limits for super-replication with transient price impact	2020-04-27	Paper
Continuous-time duality for superreplication with transient price impact	2020-02-21	Paper
Optimal Investment with Transient Price Impact	2019-11-22	Paper
Super-replication with fixed transaction costs	2019-04-24	Paper
On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping	2018-10-19	Paper
On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping	2018-10-19	Paper
Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint	2018-03-05	Paper
Convex duality for stochastic singular control problems	2017-05-03	Paper
The scaling limit of superreplication prices with small transaction costs in the multivariate case	2017-04-13	Paper
Hedging with temporary price impact	2017-03-07	Paper
Super-replication with nonlinear transaction costs and volatility uncertainty	2016-08-23	Paper
Superreplication when trading at market indifference prices	2016-03-29	Paper
A model for a large investor trading at market indifference prices. II: Continuous-time case.	2015-10-20	Paper
The stochastic field of aggregate utilities and its saddle conjugate	2015-08-20	Paper
A model for a large investor trading at market indifference prices. I: Single-period case	2015-03-30	Paper
Optimal Order Scheduling for Deterministic Liquidity Patterns	2015-01-20	Paper
On a stochastic differential equation arising in a price impact model	2013-03-06	Paper
Parameter-dependent optimal stopping problems for one-dimensional diffusions	2011-09-09	Paper
https://portal.mardi4nfdi.de/entity/Q3562500	2010-05-21	Paper
On Gittins' index theorem in continuous time	2007-08-20	Paper
Optimal Control under a Dynamic Fuel Constraint	2007-03-20	Paper
https://portal.mardi4nfdi.de/entity/Q5706100	2005-11-04	Paper
A stochastic representation theorem with applications to optimization and obstacle problems.	2004-09-15	Paper
Hedging and Portfolio Optimization in Financial Markets with a Large Trader	2004-05-27	Paper
https://portal.mardi4nfdi.de/entity/Q4429136	2003-09-24	Paper
Optimal consumption choice with intertemporal substitution	2003-05-06	Paper
Existence and structure of stochastic equilibria with intertemporal substitution	2002-03-13	Paper
Non-time additive utility optimization -- the case of certainty	2000-06-05	Paper

Research outcomes over time

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