| Publication | Date of Publication | Type |
|---|
Mean-field ranking games with diffusion control
Mathematics and Financial Economics | 2024-11-01 | Paper |
Large ranking games with diffusion control
Mathematics of Operations Research | 2024-06-27 | Paper |
The role of correlation in diffusion control ranking games
SIAM Journal on Control and Optimization | 2024-05-29 | Paper |
On the joint survival probability of two collaborating firms
Journal of Applied Probability | 2024-05-10 | Paper |
Long term average cost control problems without ergodicity
Applied Mathematics and Optimization | 2022-09-23 | Paper |
A transformation method to study the solvability of fully coupled FBSDEs
Stochastics | 2022-07-08 | Paper |
First passage time density of an Ornstein-Uhlenbeck process with broken drift
Stochastic Models | 2022-04-22 | Paper |
Properties of the EMCEL scheme for approximating irregular diffusions
Journal of Mathematical Analysis and Applications | 2022-01-21 | Paper |
Gambling for resurrection and the heat equation on a triangle
Applied Mathematics and Optimization | 2021-10-19 | Paper |
A functional limit theorem for coin tossing Markov chains
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
The Skorokhod embedding problem for inhomogeneous diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-02-15 | Paper |
Wasserstein convergence rates for random bit approximations of continuous Markov processes
Journal of Mathematical Analysis and Applications | 2020-10-28 | Paper |
Bayesian sequential testing with expectation constraints
ESAIM: Control, Optimisation and Calculus of Variations | 2020-10-16 | Paper |
Optimal position targeting via decoupling fields
The Annals of Applied Probability | 2020-08-17 | Paper |
Last minute panic in zero sum games
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
Stopping with expectation constraints: 3 points suffice
Electronic Journal of Probability | 2019-08-06 | Paper |
The de Vylder-Goovaerts conjecture holds within the diffusion limit
Journal of Applied Probability | 2019-07-31 | Paper |
A verification theorem for optimal stopping problems with expectation constraints
Applied Mathematics and Optimization | 2019-03-27 | Paper |
Erratum to: ``A verification theorem for optimal stopping problems with expectation constraints
Applied Mathematics and Optimization | 2019-03-27 | Paper |
Cross-hedging minimum return guarantees: basis and liquidity risks
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Optimal control of diffusion coefficients via decoupling fields
SIAM Journal on Control and Optimization | 2018-08-16 | Paper |
Controlling the occupation time of an exponential martingale
Applied Mathematics and Optimization | 2017-11-17 | Paper |
A functional limit theorem for irregular SDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-09-15 | Paper |
WLLN for arrays of nonnegative random variables
Statistics \& Probability Letters | 2017-01-16 | Paper |
Numerical approximation of irregular SDEs via Skorokhod embeddings
Journal of Mathematical Analysis and Applications | 2016-05-30 | Paper |
Optimal portfolio liquidation with additional information
Mathematics and Financial Economics | 2016-03-08 | Paper |
Finite, integrable and bounded time embeddings for diffusions
Bernoulli | 2015-06-15 | Paper |
Optimal position targeting with stochastic linear-quadratic costs
Banach Center Publications | 2015-04-08 | Paper |
Estimating residual hedging risk with least-squares Monte Carlo
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
BSDEs with Singular Terminal Condition and a Control Problem with Constraints
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Optimal trade execution under price-sensitive risk preferences
Quantitative Finance | 2014-02-20 | Paper |
Hedging forward positions: basis risk versus liquidity costs
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Cross hedging with stochastic correlation
Finance and Stochastics | 2012-11-15 | Paper |
Hedging with residual risk: a BSDE approach
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Multiperiod mean-variance portfolio optimization via market cloning
Applied Mathematics and Optimization | 2011-11-23 | Paper |
SKOROKHOD EMBEDDINGS IN BOUNDED TIME
Stochastics and Dynamics | 2011-10-11 | Paper |
Initial enlargement of filtrations and entropy of Poisson compensators
Journal of Theoretical Probability | 2011-03-31 | Paper |
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
International Journal of Theoretical and Applied Finance | 2011-01-13 | Paper |
Information and semimartingales.
| 2010-05-21 | Paper |
Pricing and hedging of derivatives based on nontradable underlyings
Mathematical Finance | 2010-04-22 | Paper |
On measure solutions of backward stochastic differential equations
Stochastic Processes and their Applications | 2009-09-17 | Paper |
On filtration enlargements and purely discontinuous martingales
Stochastic Processes and their Applications | 2008-09-29 | Paper |
A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
Stochastics and Dynamics | 2008-08-26 | Paper |
Optimal Cross Hedging of Insurance Derivatives
Stochastic Analysis and Applications | 2008-08-07 | Paper |
Financial markets with asymmetric information: information drift, additional utility and entropy
| 2008-06-11 | Paper |
Classical and variational differentiability of BSDEs with quadratic growth
Electronic Journal of Probability | 2007-11-23 | Paper |
Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Monotone utility convergence
Journal of Applied Probability | 2007-08-23 | Paper |
Metrics on the set of semimartingale filtrations
Stochastics | 2006-09-04 | Paper |
The Shannon information of filtrations and the additional logarithmic utility of insiders
The Annals of Probability | 2006-07-26 | Paper |
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
