| Publication | Date of Publication | Type |
|---|
A game-theoretic approach to modeling and risk analysis of interbank lending network
Journal of Systems Science and Complexity | 2026-08-28 | Paper |
Zero-sum mean-field Dynkin games: characterization and convergence
Mathematics of Operations Research | 2026-06-12 | Paper |
As-if-Markov reserves for reserve-dependent payments
Insurance Mathematics & Economics | 2025-10-23 | Paper |
| Mean-field-type game theory II. Applications (to appear) | 2025-10-16 | Paper |
Mean-field-type game theory I. Foundations and new directions
Static & Dynamic Game Theory: Foundations & Applications | 2025-10-16 | Paper |
A propagation of chaos result for weakly interacting nonlinear Snell envelopes
Stochastic Processes and their Applications | 2025-06-30 | Paper |
Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: hybrid PDE system solutions with financial applications
Mathematics and Computers in Simulation | 2025-04-25 | Paper |
Importance sampling for a simple Markovian intensity model using subsolutions
ACM Transactions on Modeling and Computer Simulation | 2024-11-14 | Paper |
On the value of a time-inconsistent mean-field zero-sum Dynkin game
Mathematics and Financial Economics | 2024-11-01 | Paper |
Patients transportation in surgery scheduling problem
Journal of Systems Science and Complexity | 2024-08-29 | Paper |
Time-inconsistent mean-field optimal stopping: a limit approach
Journal of Mathematical Analysis and Applications | 2023-08-10 | Paper |
Mean-field reflected backward stochastic differential equations
The Annals of Applied Probability | 2023-07-31 | Paper |
Infinite horizon stochastic impulse control with delay and random coefficients
Mathematics of Operations Research | 2022-05-17 | Paper |
Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
Stochastic Processes and their Applications | 2022-02-11 | Paper |
| Zero-sum mean-field Dynkin games: characterization and convergence | 2022-02-04 | Paper |
| Efficient learning of hidden state LTI state space models of unknown order | 2022-02-03 | Paper |
Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
Stochastics and Dynamics | 2021-12-17 | Paper |
| A propagation of chaos result for weakly interacting nonlinear Snell envelopes | 2021-11-28 | Paper |
On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
Systems & Control Letters | 2021-11-10 | Paper |
| Non asymptotic estimation lower bounds for LTI state space models with Cram\'er-Rao and van Trees | 2021-09-17 | Paper |
Finite impulse response models: a non-asymptotic analysis of the least squares estimator
Bernoulli | 2021-07-09 | Paper |
Price dynamics for electricity in smart grid via mean-field-type games
Dynamic Games and Applications | 2021-01-26 | Paper |
Credit scoring based on the set-valued identification method
Journal of Systems Science and Complexity | 2021-01-22 | Paper |
Quenched mass transport of particles toward a target
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
Quenched mass transport of particles toward a target
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
Nonlinear reserving and multiple contract modifications in life insurance
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Credit scoring by incorporating dynamic networked information
European Journal of Operational Research | 2020-06-17 | Paper |
Optimal control and zero-sum stochastic differential game problems of mean-field type
Applied Mathematics and Optimization | 2020-06-02 | Paper |
Behavior near walls in the mean-field approach to crowd dynamics
SIAM Journal on Applied Mathematics | 2020-05-21 | Paper |
Mean-field-type games with jump and regime switching
Dynamic Games and Applications | 2020-04-29 | Paper |
Hamilton-Jacobi equations for optimal control on multidimensional junctions with entry costs
NoDEA. Nonlinear Differential Equations and Applications | 2020-04-22 | Paper |
Optimal control and zero-sum games for Markov chains of mean-field type
Mathematical Control and Related Fields | 2019-12-18 | Paper |
Mean-field risk sensitive control and zero-sum games for Markov chains
Bulletin des Sciences Mathématiques | 2019-05-13 | Paper |
Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview
Springer Proceedings in Mathematics & Statistics | 2018-11-30 | Paper |
Stochastic modelling of disability insurance in a multi-period framework
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
A Mean-Field Game of Evacuation in Multilevel Building
IEEE Transactions on Automatic Control | 2018-06-27 | Paper |
A Hidden Markov Approach to Disability Insurance
North American Actuarial Journal | 2018-06-20 | Paper |
Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics
SIAM Journal on Control and Optimization | 2018-02-22 | Paper |
| Modeling tagged pedestrian motion: a mean-field type game approach | 2018-01-26 | Paper |
On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
Journal of Mathematical Analysis and Applications | 2017-08-29 | Paper |
A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
IEEE Transactions on Automatic Control | 2017-05-16 | Paper |
A functional Hodrick-Prescott filter
Journal of Inverse and Ill-posed Problems | 2017-04-20 | Paper |
| Risk-Sensitive Mean-Field-Type Control | 2017-02-04 | Paper |
Nonlinear reserving in life insurance: aggregation and mean-field approximation
Insurance Mathematics & Economics | 2016-11-21 | Paper |
| Importance sampling for a simple Markovian intensity model using subsolutions | 2016-10-20 | Paper |
A characterization of sub-game perfect equilibria for SDEs of mean-field type
Dynamic Games and Applications | 2016-06-07 | Paper |
A full balance sheet two-mode optimal switching problem
Stochastics | 2016-04-27 | Paper |
Risk-Sensitive Mean-Field Type Control Under Partial Observation
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
On the functional Hodrick-Prescott filter with non-compact operators
Random Operators and Stochastic Equations | 2016-03-08 | Paper |
Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles
Funkcialaj Ekvacioj | 2015-10-23 | Paper |
Risk aggregation and stochastic claims reserving in disability insurance
Insurance Mathematics & Economics | 2015-02-03 | Paper |
| The Principal-Agent Problem; A Stochastic Maximum Principle Approach | 2014-10-23 | Paper |
A two-mode mean-field optimal switching problem for the full balance sheet
International Journal of Stochastic Analysis | 2014-10-20 | Paper |
| Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation | 2014-06-13 | Paper |
| Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter | 2013-05-02 | Paper |
On a graduation problem involving both the Hodrick-Prescott filter and optimal spline smoothing
Far East Journal of Theoretical Statistics | 2012-06-04 | Paper |
Optimal stopping of expected profit and cost yields in an investment under uncertainty
Stochastics | 2012-01-03 | Paper |
A general stochastic maximum principle for SDEs of mean-field type
Applied Mathematics and Optimization | 2011-11-30 | Paper |
Stochastic viscosity solutions for SPDEs with continuous coefficients
Journal of Mathematical Analysis and Applications | 2011-09-12 | Paper |
Estimation of the smoothing parameters in the HPMV filter
Annals of the Alexandru Ioan Cuza University - Mathematics | 2011-06-17 | Paper |
A maximum principle for SDEs of mean-field type
Applied Mathematics and Optimization | 2011-05-25 | Paper |
Can stocks help mend the asset and liability mismatch?
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
Random Operators and Stochastic Equations | 2011-02-22 | Paper |
A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Mathematical Methods of Operations Research | 2010-11-12 | Paper |
Stochastic impulse control of non-Markovian processes
Applied Mathematics and Optimization | 2010-08-23 | Paper |
A finite horizon optimal multiple switching problem
SIAM Journal on Control and Optimization | 2010-08-16 | Paper |
Multivariate extension of the Hodrick-Prescott filter-optimality and characterization
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Mean-field backward stochastic differential equations: A limit approach
The Annals of Probability | 2009-08-21 | Paper |
ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
Optimality necessary conditions in singular stochastic control problems with nonsmooth data
Journal of Mathematical Analysis and Applications | 2009-06-10 | Paper |
Large deviations for heavy-tailed factor models
Statistics & Probability Letters | 2009-03-04 | Paper |
The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
SIAM Journal on Control and Optimization | 2008-04-03 | Paper |
On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
Applied Mathematics and Optimization | 2008-04-03 | Paper |
Standard approaches to asset & liability risk**
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Approximation and optimality necessary conditions in relaxed stochastic control problems
Journal of Applied Mathematics and Stochastic Analysis | 2007-09-10 | Paper |
| scientific article; zbMATH DE number 1850753 (Why is no real title available?) | 2003-06-26 | Paper |
On modelling and pricing weather derivatives
Applied Mathematical Finance | 2002-09-05 | Paper |
Global solution of the pressureless gas equation with viscosity
Physica D | 2002-03-13 | Paper |
On large deviations in nonlinear filtering theory
Studia Mathematica | 2002-02-21 | Paper |
Hedging options in market models modulated by the fractional Brownian motion
Stochastic Analysis and Applications | 2001-12-06 | Paper |
Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Pressureless gas equations with viscosity and nonlinear diffusion
Comptes Rendus de l'Académie des Sciences. Série I. Mathématique | 2001-01-01 | Paper |
A sample path large deviation principle for \(L^2\)-martingale measure processes
Bulletin des Sciences Mathématiques | 2000-02-01 | Paper |
A threshold limit theorem for the stochastic logistic epidemic
Journal of Applied Probability | 1999-02-02 | Paper |
Large deviations for hierarchical systems of interacting jump processes
Journal of Theoretical Probability | 1998-11-11 | Paper |
Limit theorems for the total size of a spatial epidemic
Journal of Applied Probability | 1998-01-07 | Paper |
The rate function for some measure-valued jump processes
The Annals of Probability | 1996-12-08 | Paper |
| scientific article; zbMATH DE number 841849 (Why is no real title available?) | 1996-04-09 | Paper |
Limit theorems for multitype epidemics
Stochastic Processes and their Applications | 1995-05-23 | Paper |
A Functional Limit Theorem for the Total Cost of a Multitype Standard Epidemic
Advances in Applied Probability | 1995-02-26 | Paper |
Bernstein processes and Pauli-type equations
Potential Analysis | 1994-06-20 | Paper |
A large deviation estimate for ruin probabilities
Scandinavian Actuarial Journal | 1993-12-12 | Paper |
Bernstein processes and spin-1/2 particles
Journal of Mathematical Physics | 1993-04-01 | Paper |
