| Publication | Date of Publication | Type |
|---|
| Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions | 2024-01-09 | Paper |
| Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing | 2023-10-09 | Paper |
| Equilibrium price in intraday electricity markets | 2023-09-28 | Paper |
| Quantitative propagation of chaos for mean field Markov decision process with common noise | 2023-08-02 | Paper |
| Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension | 2023-07-31 | Paper |
| A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection | 2023-07-26 | Paper |
| Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation | 2023-06-28 | Paper |
| Itô's formula for flows of measures on semimartingales | 2023-04-24 | Paper |
| Rate of convergence for particle approximation of PDEs in Wasserstein space | 2022-11-14 | Paper |
| Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications | 2022-06-03 | Paper |
| Mean-field Markov decision processes with common noise and open-loop controls | 2022-05-06 | Paper |
| Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs | 2022-01-13 | Paper |
| Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation | 2021-11-04 | Paper |
| Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems | 2021-05-28 | Paper |
| Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models | 2021-05-04 | Paper |
| Neural networks-based backward scheme for fully nonlinear PDEs | 2021-05-03 | Paper |
| Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis | 2021-02-23 | Paper |
| Algorithmic trading in a microstructural limit order book model | 2020-12-07 | Paper |
| It\^o's formula for flows of measures on semimartingales | 2020-10-11 | Paper |
| A Mckean-Vlasov approach to distributed electricity generation development | 2020-06-15 | Paper |
| Deep backward schemes for high-dimensional nonlinear PDEs | 2020-04-08 | Paper |
| Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications | 2020-02-17 | Paper |
| BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM | 2020-01-02 | Paper |
| Linear-quadratic McKean-Vlasov stochastic differential games | 2019-11-20 | Paper |
| Zero-sum stochastic differential games of generalized McKean-Vlasov type | 2019-09-19 | Paper |
| Neural networks-based backward scheme for fully nonlinear PDEs | 2019-07-31 | Paper |
| A class of finite-dimensional numerically solvable McKean-Vlasov control problems | 2019-07-11 | Paper |
| A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems | 2019-06-07 | Paper |
| Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix | 2019-05-08 | Paper |
| Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem | 2019-01-25 | Paper |
| Long Time Asymptotics for Optimal Investment | 2018-12-11 | Paper |
| Explicit investment rules with time-to-build and uncertainty | 2018-11-15 | Paper |
| Semi-Markov Model for Market Microstructure | 2018-09-18 | Paper |
| Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach | 2018-08-16 | Paper |
| Bellman equation and viscosity solutions for mean-field stochastic control problem | 2018-08-02 | Paper |
| Regime-switching stochastic volatility model: estimation and calibration to VIX options | 2018-04-06 | Paper |
| BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data | 2018-03-05 | Paper |
| Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics | 2018-01-09 | Paper |
| Linear-quadratic McKean-Vlasov stochastic control problems with random coefficients on finite and infinite horizon, and applications | 2017-11-26 | Paper |
| Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities | 2017-06-23 | Paper |
| Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics | 2017-05-24 | Paper |
| Discrete time McKean-Vlasov control problem: a dynamic programming approach | 2017-04-03 | Paper |
| Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions | 2016-10-05 | Paper |
| Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump | 2016-05-23 | Paper |
| Optimal switching for the pairs trading rule: a viscosity solutions approach | 2016-04-25 | Paper |
| Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach | 2016-04-20 | Paper |
| An optimal trading problem in intraday electricity markets | 2016-03-08 | Paper |
| Optimization and statistical methods for high frequency finance | 2016-01-29 | Paper |
| Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems | 2015-11-30 | Paper |
| High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model | 2015-08-28 | Paper |
| Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching | 2015-07-28 | Paper |
| Feynman-Kac representation of fully nonlinear PDEs and applications | 2015-07-28 | Paper |
| Randomized and backward SDE representation for optimal control of non-Markovian SDEs | 2015-07-27 | Paper |
| Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps | 2015-07-27 | Paper |
| OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION | 2015-07-15 | Paper |
| Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE | 2015-07-10 | Paper |
| Reflected BSDEs with nonpositive jumps, and controller-and-stopper games | 2015-01-30 | Paper |
| A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension | 2015-01-20 | Paper |
| Optimal investment with counterparty risk: a default-density model approach | 2014-12-18 | Paper |
| Optimal consumption policies in illiquid markets | 2014-12-17 | Paper |
| Characterization of the Optimal Boundaries in Reversible Investment Problems | 2014-11-21 | Paper |
| Investment/Consumption Problem in Illiquid Markets with Regime-Switching | 2014-09-26 | Paper |
| A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization | 2014-06-30 | Paper |
| Optimal high-frequency trading with limit and market orders | 2014-02-08 | Paper |
| Optimal investment under multiple defaults risk: a BSDE-decomposition approach | 2013-04-24 | Paper |
| Swing Options Valuation: A BSDE with Constrained Jumps Approach | 2012-09-28 | Paper |
| Time discretization and quantization methods for optimal multiple switching problem | 2012-06-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3015770 | 2011-07-13 | Paper |
| A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES | 2011-06-09 | Paper |
| OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS | 2011-03-30 | Paper |
| Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management | 2010-08-18 | Paper |
| On some recent aspects of stochastic control and their applications | 2010-06-29 | Paper |
| Backward SDEs with constrained jumps and quasi-variational inequalities | 2010-04-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656700 | 2010-01-13 | Paper |
| A coupled system of integrodifferential equations arising in liquidity risk model | 2009-08-06 | Paper |
| Optimal portfolio liquidation with execution cost and risk | 2009-06-14 | Paper |
| Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations | 2009-06-05 | Paper |
| Continuous-time stochastic control and optimization with financial applications | 2009-05-26 | Paper |
| Impulse control problem on finite horizon with execution delay | 2009-05-06 | Paper |
| MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES | 2008-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3512566 | 2008-07-21 | Paper |
| A mixed singular/switching control problem for a dividend policy with reversible technology investment | 2008-07-01 | Paper |
| Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case | 2008-04-03 | Paper |
| Some Applications and Methods of Large Deviations in Finance and Insurance | 2008-01-14 | Paper |
| Discretization and Simulation of the Zakai Equation | 2008-01-07 | Paper |
| A model of optimal portfolio selection under liquidity risk and price impact | 2007-12-16 | Paper |
| On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem | 2007-10-31 | Paper |
| Stochastic optimisation and control applied to finance | 2007-10-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493564 | 2006-10-23 | Paper |
| A risk-sensitive control dual approach to a large deviations control problem | 2006-09-21 | Paper |
| Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns | 2006-07-10 | Paper |
| Optimal quantization methods for nonlinear filtering with discrete-time observations | 2006-03-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374068 | 2006-03-09 | Paper |
| Optimal partially reversible investment with entry decision and general production function | 2005-08-05 | Paper |
| Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation | 2005-07-05 | Paper |
| Wealth-path dependent utility maximization in incomplete markets | 2005-05-20 | Paper |
| AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS | 2005-03-21 | Paper |
| Stochastic optimization under constraints. | 2004-11-26 | Paper |
| A large deviations approach to optimal long term investment | 2004-03-16 | Paper |
| A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment | 2004-02-23 | Paper |
| Minimizing shortfall risk and applications to finance and insurance problems | 2003-05-06 | Paper |
| Dual formulation of the utility maximization problem under transaction costs | 2003-05-06 | Paper |
| Optimal portfolio in partially observed stochastic volatility models. | 2003-05-06 | Paper |
| Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints | 2003-03-13 | Paper |
| On Super-Replication in Discrete Time under Transaction Costs | 2002-04-25 | Paper |
| Large deviations in estimation of an Ornstein-Uhlenbeck model | 2002-02-05 | Paper |
| On quadratic hedging in continuous time | 2002-01-27 | Paper |
| No Arbitrage in Discrete Time Under Portfolio Constraints | 2001-11-26 | Paper |
| Local Risk-Minimization Under Transaction Costs | 2001-11-26 | Paper |
| Mean-Variance Hedging and Numeraire | 2001-03-29 | Paper |
| Hedging in discrete time under transaction costs and continuous-time limit | 2000-06-14 | Paper |
| The fundamental theorem of asset pricing with cone constraints | 2000-05-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4951125 | 2000-05-02 | Paper |
| Super-replication in stochastic volatility models under portfolio constraints | 2000-04-10 | Paper |
| Dynamic L p-Hedging in Discrete Time under Cone Constraints | 2000-03-19 | Paper |
| Sublinear price functionals under portfolio constraints | 2000-01-01 | Paper |
| Large deviation probabilities in estimation of Poisson random measures | 1999-11-18 | Paper |
| Large deviation principle in nonparametric estimation of marked point processes | 1999-11-11 | Paper |
| A closed-form solution to the problem of super-replication under transaction costs | 1999-09-14 | Paper |
| Dynamic programming and mean-variance hedging | 1999-09-14 | Paper |
| EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1 | 1999-07-05 | Paper |
| Mean-variance hedging for continuous processes: New proofs and examples | 1998-09-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4386544 | 1998-04-29 | Paper |
| Large deviations in estimation of an Ornstein-Uhlenbeck model | 1997-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5691600 | 1997-07-14 | Paper |
| Optimal stopping, free boundary, and American option in a jump-diffusion model | 1997-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4840409 | 1995-08-15 | Paper |
