Mitja Stadje

Available identifiers

zbMath Open stadje.mitjaMaRDI QIDQ265657

List of research outcomes

Publication	Date of Publication	Type
The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes	2023-07-31	Paper
Robustness of Delta Hedging in a Jump-Diffusion Model	2023-07-04	Paper
On the investment strategies in occupational pension plans	2022-05-27	Paper
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting	2021-10-19	Paper
Efficient drift parameter estimation for ergodic solutions of backward SDEs	2021-09-17	Paper
https://portal.mardi4nfdi.de/entity/Q3299448	2020-07-22	Paper
Robust Multiple Stopping -- A Pathwise Duality Approach	2020-06-02	Paper
Optimal Stopping Under Uncertainty in Drift and Jump Intensity	2020-03-12	Paper
Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing	2018-11-22	Paper
Perfect hedging under endogenous permanent market impacts	2018-04-06	Paper
On dynamic deviation measures and continuous-time portfolio optimization	2018-03-08	Paper
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation	2017-10-23	Paper
A Regress-Later Algorithm for Backward Stochastic Differential Equations	2017-06-24	Paper
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver	2016-04-04	Paper
Robust Portfolio Choice and Indifference Valuation	2015-04-24	Paper
Entropy Coherent and Entropy Convex Measures of Risk	2014-07-11	Paper
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS	2014-04-23	Paper
BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness	2013-08-16	Paper
Existence, minimality and approximation of solutions to BSDEs with convex drivers	2012-06-01	Paper
Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach	2012-02-10	Paper
Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models	2008-03-07	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Mitja Stadje