Mitja Stadje

Available identifiers

zbMath Open stadje.mitjaMaRDI QIDQ265657

List of research outcomes

Publication	Date of Publication	Type
Efficient drift parameter estimation for ergodic solutions of backward SDEs	2024-09-19	Paper
On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization	2024-07-17	Paper
A gradient method for high-dimensional BSDEs	2024-06-12	Paper
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

This page was built for person: Mitja Stadje