| Publication | Date of Publication | Type |
|---|
| Importance sampling for a simple Markovian intensity model using subsolutions | 2024-11-14 | Paper |
| On the value of a time-inconsistent mean-field zero-sum Dynkin game | 2024-11-01 | Paper |
| Patients transportation in surgery scheduling problem | 2024-08-29 | Paper |
| Time-inconsistent mean-field optimal stopping: a limit approach | 2023-08-10 | Paper |
| Mean-field reflected backward stochastic differential equations | 2023-07-31 | Paper |
| Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients | 2022-05-17 | Paper |
| Optimal portfolio choice with path dependent benchmarked labor income: a mean field model | 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 | 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 | 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 | 2021-07-09 | Paper |
| Price dynamics for electricity in smart grid via mean-field-type games | 2021-01-26 | Paper |
| Credit scoring based on the set-valued identification method | 2021-01-22 | Paper |
| Quenched mass transport of particles toward a target | 2020-08-25 | Paper |
| Nonlinear reserving and multiple contract modifications in life insurance | 2020-08-03 | Paper |
| Credit scoring by incorporating dynamic networked information | 2020-06-17 | Paper |
| Optimal control and zero-sum stochastic differential game problems of mean-field type | 2020-06-02 | Paper |
| Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics | 2020-05-21 | Paper |
| Mean-field-type games with jump and regime switching | 2020-04-29 | Paper |
| Hamilton-Jacobi equations for optimal control on multidimensional junctions with entry costs | 2020-04-22 | Paper |
| Optimal control and zero-sum games for Markov chains of mean-field type | 2019-12-18 | Paper |
| Mean-field risk sensitive control and zero-sum games for Markov chains | 2019-05-13 | Paper |
| Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview | 2018-11-30 | Paper |
| Stochastic modelling of disability insurance in a multi-period framework | 2018-07-10 | Paper |
| A Mean-Field Game of Evacuation in Multilevel Building | 2018-06-27 | Paper |
| A Hidden Markov Approach to Disability Insurance | 2018-06-20 | Paper |
| Mean-Field Type Modeling of Nonlocal Crowd Aversion in Pedestrian Crowd Dynamics | 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 | 2017-08-29 | Paper |
| A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control | 2017-05-16 | Paper |
| A functional Hodrick-Prescott filter | 2017-04-20 | Paper |
| Risk-Sensitive Mean-Field-Type Control | 2017-02-04 | Paper |
| Nonlinear reserving in life insurance: aggregation and mean-field approximation | 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 | 2016-06-07 | Paper |
| A full balance sheet two-mode optimal switching problem | 2016-04-27 | Paper |
| Risk-Sensitive Mean-Field Type Control Under Partial Observation | 2016-04-22 | Paper |
| On the functional Hodrick-Prescott filter with non-compact operators | 2016-03-08 | Paper |
| Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles | 2015-10-23 | Paper |
| Risk aggregation and stochastic claims reserving in disability insurance | 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 | 2014-10-20 | Paper |
| Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation | 2014-06-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4917630 | 2013-05-02 | Paper |
| On a graduation problem involving both the Hodrick-Prescott filter and optimal spline smoothing | 2012-06-04 | Paper |
| Optimal stopping of expected profit and cost yields in an investment under uncertainty | 2012-01-03 | Paper |
| A general stochastic maximum principle for SDEs of mean-field type | 2011-11-30 | Paper |
| Stochastic viscosity solutions for SPDEs with continuous coefficients | 2011-09-12 | Paper |
| Estimation of the Smoothing Parameters in the HPMV Filter | 2011-06-17 | Paper |
| A maximum principle for SDEs of mean-field type | 2011-05-25 | Paper |
| The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients | 2011-02-22 | Paper |
| Can stocks help mend the asset and liability mismatch? | 2011-02-22 | Paper |
| A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization | 2010-11-12 | Paper |
| Stochastic impulse control of non-Markovian processes | 2010-08-23 | Paper |
| A Finite Horizon Optimal Multiple Switching Problem | 2010-08-16 | Paper |
| Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization | 2010-07-02 | Paper |
| Mean-field backward stochastic differential equations: A limit approach | 2009-08-21 | Paper |
| ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT | 2009-08-10 | Paper |
| Optimality necessary conditions in singular stochastic control problems with nonsmooth data | 2009-06-10 | Paper |
| Large deviations for heavy-tailed factor models | 2009-03-04 | Paper |
| On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients | 2008-04-03 | Paper |
| The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions | 2008-04-03 | Paper |
| Standard approaches to asset & liability risk** | 2007-12-16 | Paper |
| Approximation and optimality necessary conditions in relaxed stochastic control problems | 2007-09-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4787896 | 2003-06-26 | Paper |
| On modelling and pricing weather derivatives | 2002-09-05 | Paper |
| Global solution of the pressureless gas equation with viscosity | 2002-03-13 | Paper |
| On large deviations in nonlinear filtering theory | 2002-02-21 | Paper |
| Hedging options in market models modulated by the fractional Brownian motion | 2001-12-06 | Paper |
| Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space | 2001-01-17 | Paper |
| Pressureless gas equations with viscosity and nonlinear diffusion | 2001-01-01 | Paper |
| A sample path large deviation principle for \(L^2\)-martingale measure processes | 2000-02-01 | Paper |
| A threshold limit theorem for the stochastic logistic epidemic | 1999-02-02 | Paper |
| Large deviations for hierarchical systems of interacting jump processes | 1998-11-11 | Paper |
| Limit theorems for the total size of a spatial epidemic | 1998-01-07 | Paper |
| The rate function for some measure-valued jump processes | 1996-12-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4862191 | 1996-04-09 | Paper |
| Limit theorems for multitype epidemics | 1995-05-23 | Paper |
| A Functional Limit Theorem for the Total Cost of a Multitype Standard Epidemic | 1995-02-26 | Paper |
| Bernstein processes and Pauli-type equations | 1994-06-20 | Paper |
| A large deviation estimate for ruin probabilities | 1993-12-12 | Paper |
| Bernstein processes and spin-1/2 particles | 1993-04-01 | Paper |
