| Publication | Date of Publication | Type |
|---|
Representation of random variables as Lebesgue integrals
Bernoulli | 2024-07-02 | Paper |
Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
| Representation of Random Variables as Lebesgue Integrals | 2022-09-18 | Paper |
Existence and uniqueness for non-Markovian triangular quadratic BSDEs
SIAM Journal on Control and Optimization | 2022-06-17 | Paper |
| Kyle's Model with Stochastic Liquidity | 2022-04-23 | Paper |
A characterization of solutions of quadratic BSDEs and a new approach to existence
Stochastic Processes and their Applications | 2022-04-01 | Paper |
A framework for the dynamic programming principle and martingale-generated control correspondences
Applied Mathematics and Optimization | 2021-07-15 | Paper |
An incomplete equilibrium with a stochastic annuity
Finance and Stochastics | 2020-03-25 | Paper |
A class of globally solvable Markovian quadratic BSDE systems and applications
The Annals of Probability | 2018-04-27 | Paper |
Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
SIAM Journal on Control and Optimization | 2017-01-26 | Paper |
Facelifting in utility maximization
Finance and Stochastics | 2016-03-29 | Paper |
| Incomplete stochastic equilibria for dynamic monetary utility | 2015-05-27 | Paper |
Dynamic programming for controlled Markov families: abstractly and over martingale measures
SIAM Journal on Control and Optimization | 2014-09-26 | 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 |
Forward-convex convergence in probability of sequences of nonnegative random variables
Proceedings of the American Mathematical Society | 2013-03-04 | Paper |
Convex compactness and its applications
Mathematics and Financial Economics | 2013-01-20 | Paper |
An example of a stochastic equilibrium with incomplete markets
Finance and Stochastics | 2012-11-15 | Paper |
Partial equilibria with convex capital requirements: existence, uniqueness and stability
Annals of Finance | 2012-03-08 | Paper |
STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
Mathematical Finance | 2011-03-25 | Paper |
On agent's agreement and partial-equilibrium pricing in incomplete markets
Mathematical Finance | 2010-08-03 | Paper |
Maturity-Independent Risk Measures
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
A dual characterization of self-generation and exponential forward performances
The Annals of Applied Probability | 2010-01-13 | Paper |
MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
Mathematical Finance | 2009-08-28 | Paper |
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
Mathematical Finance | 2009-03-06 | Paper |
Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
Finance and Stochastics | 2006-05-24 | Paper |
Utility maximization with a stochastic clock and an unbounded random endowment
The Annals of Applied Probability | 2005-04-29 | Paper |
Optimal consumption from investment and random endowment in incomplete semimartingale markets.
The Annals of Probability | 2004-07-01 | Paper |
Optimal consumption from investment and random endowment in incomplete semimartingale markets.
The Annals of Probability | 2004-07-01 | Paper |
A filtered version of the bipolar theorem of Brannath and Schachermayer
Journal of Theoretical Probability | 2002-04-07 | Paper |
