| Publication | Date of Publication | Type |
|---|
Singularities of Fitzpatrick and convex functions
Journal of Convex Analysis | 2024-10-17 | Paper |
Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
The Annals of Applied Probability | 2024-04-10 | Paper |
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
Finance and Stochastics | 2024-04-02 | Paper |
| Backward martingale transport maps in pseudo-Euclidean spaces | 2023-04-17 | Paper |
| Singularities of Fitzpatrick and convex functions | 2022-12-19 | Paper |
A dual representation result for value functions in stochastic control of infinite dimensional groups
Topological Methods in Nonlinear Analysis | 2021-02-22 | Paper |
Optimal investment with high-watermark fee in a multidimensional jump diffusion model
SIAM Journal on Financial Mathematics | 2020-09-28 | Paper |
Optimal investment and consumption with labor income in incomplete markets
The Annals of Applied Probability | 2020-08-17 | Paper |
Optimal investment and consumption with labor income in incomplete markets
The Annals of Applied Probability | 2020-08-17 | Paper |
| On the analyticity of the value function in optimal investment and stochastically dominant markets | 2020-02-03 | Paper |
Sensitivity analysis of the utility maximisation problem with respect to model perturbations
Finance and Stochastics | 2019-06-27 | Paper |
Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
SIAM Journal on Control and Optimization | 2018-06-15 | Paper |
Asymptotic Perron's method and simple Markov strategies in stochastic games and control
SIAM Journal on Control and Optimization | 2015-08-03 | Paper |
On martingale problems with continuous-time mixing and values of zero-sum games without the Isaacs condition
SIAM Journal on Control and Optimization | 2015-02-09 | Paper |
A note on the strong formulation of stochastic control problems with model uncertainty
Electronic Communications in Probability | 2015-02-03 | Paper |
Stochastic Perron's method and elementary strategies for zero-sum differential games
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
SIAM Journal on Control and Optimization | 2014-04-11 | Paper |
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
SIAM Journal on Control and Optimization | 2014-04-11 | Paper |
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Proceedings of the American Mathematical Society | 2014-03-13 | Paper |
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
Proceedings of the American Mathematical Society | 2013-09-03 | Paper |
A note on admissibility when the credit line is infinite
Stochastics | 2012-11-09 | Paper |
Optimal investment on finite horizon with random discrete order flow in illiquid markets
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
In which financial markets do mutual fund theorems hold true?
Finance and Stochastics | 2009-08-08 | Paper |
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
The Annals of Applied Probability | 2007-08-06 | Paper |
A Two‐Person Game for Pricing Convertible Bonds
SIAM Journal on Control and Optimization | 2007-07-25 | Paper |
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
The Annals of Applied Probability | 2007-02-05 | Paper |
| scientific article; zbMATH DE number 5017014 (Why is no real title available?) | 2006-04-04 | Paper |
Perpetual Convertible Bonds
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
| scientific article; zbMATH DE number 1779702 (Why is no real title available?) | 2003-06-22 | Paper |
Null controllability of an infinite dimensional SDE with state- and control-dependent noise
Systems & Control Letters | 2002-03-03 | Paper |
Feedback null controllability of the semilinear heat equation.
Differential and Integral Equations | 2002-01-01 | Paper |
