| Publication | Date of Publication | Type |
|---|
Weak approximation of Schrödinger-Föllmer diffusion
Statistics & Probability Letters | 2024-08-19 | Paper |
| A kernel-based method for Schr\"odinger bridges | 2023-10-22 | Paper |
Inverse stochastic optimal controls
Automatica | 2023-02-03 | Paper |
Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization
Stochastics | 2022-07-07 | Paper |
Inverse stochastic optimal controls
(available as arXiv preprint) | 2020-05-23 | Paper |
Kernel-based collocation methods for Zakai equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-03-06 | Paper |
Correction to: ``Kernel-based collocation methods for Zakai equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-03-06 | Paper |
| Convergent kernel-based methods for parabolic equations | 2018-03-26 | Paper |
Convergence of meshfree collocation methods for fully nonlinear parabolic equations
Numerische Mathematik | 2017-07-25 | Paper |
On quadratic approximations for Hamilton-Jacobi-Bellman equations
Automatica | 2016-03-08 | Paper |
Quasi-Monte Carlo methods for Choquet integrals
Journal of Computational and Applied Mathematics | 2015-06-02 | Paper |
An approximation scheme for stochastic controls in continuous time
Japan Journal of Industrial and Applied Mathematics | 2015-02-25 | Paper |
On approximating law-invariant comonotonic coherent risk measures
ASTIN Bulletin | 2013-12-12 | Paper |
Partial hedging for defaultable claims
Advances in Mathematical Economics | 2011-05-18 | Paper |
| Dynamic risk diversification and insurance premium principles | 2009-06-09 | Paper |
| Remark on optimal investment in a market with memory | 2007-12-16 | Paper |
| Optimal intertemporal risk allocation applied to insurance pricing | 2007-11-07 | Paper |
Binary market models with memory
Statistics & Probability Letters | 2007-03-15 | Paper |
Optimal long-term investment model with memory
Applied Mathematics and Optimization | 2007-03-12 | Paper |
Mean-risk optimization for index tracking
Statistics & Risk Modeling | 2007-01-30 | Paper |
Linear filtering of systems with memory and application to finance
Journal of Applied Mathematics and Stochastic Analysis | 2006-08-28 | Paper |
Linear filtering of systems with memory and application to finance
Journal of Applied Mathematics and Stochastic Analysis | 2006-08-28 | Paper |
Minimization of shortfall risk in a jump-diffusion model
Statistics & Probability Letters | 2005-10-10 | Paper |
Efficient hedging with coherent risk measure
Journal of Mathematical Analysis and Applications | 2004-08-06 | Paper |
Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
Applied Mathematical Finance | 2004-03-21 | Paper |
"Weak approximation of Schr\""odinger-F\""ollmer diffusion"
(available as arXiv preprint) | N/A | Paper |
