| Publication | Date of Publication | Type |
|---|
A quickest detection problem with false negatives
Stochastic Processes and their Applications | 2026-04-01 | Paper |
On the saddle point of a zero-sum stopper vs. singular-controller game
Stochastic Processes and their Applications | 2025-04-11 | Paper |
Variational inequalities on unbounded domains for zero-sum singular controller vs. stopper games
Mathematics of Operations Research | 2025-02-21 | Paper |
Stopper vs. singular controller games with degenerate diffusions
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Zero-sum stopper versus singular-controller games with constrained control directions
SIAM Journal on Control and Optimization | 2024-07-23 | Paper |
The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
SIAM Journal on Control and Optimization | 2024-01-19 | Paper |
The American put with finite‐time maturity and stochastic interest rate
Mathematical Finance | 2023-09-28 | Paper |
Optimal dividend payout under stochastic discounting
Mathematical Finance | 2023-09-28 | Paper |
A change of variable formula with applications to multi-dimensional optimal stopping problems
Stochastic Processes and their Applications | 2023-09-15 | Paper |
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
SIAM Journal on Control and Optimization | 2023-06-22 | Paper |
Dynamic programming principle for classical and singular stochastic control with discretionary stopping
Applied Mathematics and Optimization | 2023-04-27 | Paper |
Mean-field games of finite-fuel capacity expansion with singular controls
The Annals of Applied Probability | 2022-10-31 | Paper |
A numerical scheme for stochastic differential equations with distributional drift
Stochastic Processes and their Applications | 2022-10-27 | Paper |
A class of recursive optimal stopping problems with applications to stock trading
Mathematics of Operations Research | 2022-09-26 | Paper |
On the value of non-Markovian Dynkin games with partial and asymmetric information
The Annals of Applied Probability | 2022-09-05 | Paper |
Dynkin games with incomplete and asymmetric information
Mathematics of Operations Research | 2022-05-17 | Paper |
An analytical study of participating policies with minimum rate guarantee and surrender option
Finance and Stochastics | 2022-04-01 | Paper |
| Variational inequalities on unbounded domains for zero-sum singular-controller vs. stopper games | 2022-03-11 | Paper |
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
Electronic Journal of Probability | 2022-02-22 | Paper |
Dynamic programming principle for classical and singular stochastic control with discretionary stopping
(available as arXiv preprint) | 2021-11-18 | Paper |
Optimal hedging of a perpetual American put with a single trade
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
A Dynkin game on assets with incomplete information on the return
Mathematics of Operations Research | 2021-06-03 | Paper |
A Dynkin game on assets with incomplete information on the return
Mathematics of Operations Research | 2021-06-03 | Paper |
Global C^1 regularity of the value function in optimal stopping problems
The Annals of Applied Probability | 2021-03-18 | Paper |
Global C^1 regularity of the value function in optimal stopping problems
The Annals of Applied Probability | 2021-03-18 | Paper |
Playing with ghosts in a Dynkin game
Stochastic Processes and their Applications | 2020-09-03 | Paper |
Optimal stopping for the exponential of a Brownian bridge
Journal of Applied Probability | 2020-05-12 | Paper |
Optimal stopping for the exponential of a Brownian bridge
Journal of Applied Probability | 2020-05-12 | Paper |
A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Mathematics of Operations Research | 2020-03-12 | Paper |
A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Mathematics of Operations Research | 2020-03-12 | Paper |
On the optimal exercise boundaries of swing put options
Mathematics of Operations Research | 2020-03-11 | Paper |
On the optimal exercise boundaries of swing put options
Mathematics of Operations Research | 2020-03-11 | Paper |
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Advances in Applied Probability | 2020-02-05 | Paper |
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Advances in Applied Probability | 2020-02-05 | Paper |
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
Finance and Stochastics | 2019-12-27 | Paper |
A class of recursive optimal stopping problems with applications to stock trading
(available as arXiv preprint) | 2019-05-07 | Paper |
On Lipschitz continuous optimal stopping boundaries
SIAM Journal on Control and Optimization | 2019-02-01 | Paper |
On the free boundary of an annuity purchase
Finance and Stochastics | 2019-01-18 | Paper |
Optimal prediction of resistance and support levels
Applied Mathematical Finance | 2018-09-06 | Paper |
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-29 | Paper |
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-29 | Paper |
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
The Annals of Applied Probability | 2018-05-25 | Paper |
The dividend problem with a finite horizon
The Annals of Applied Probability | 2018-03-08 | Paper |
The dividend problem with a finite horizon
The Annals of Applied Probability | 2018-03-08 | Paper |
Optimal entry to an irreversible investment plan with non convex costs
Mathematics and Financial Economics | 2017-12-29 | Paper |
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Mathematics of Operations Research | 2017-12-07 | Paper |
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Mathematics of Operations Research | 2017-12-07 | Paper |
| A note on a new existence result for reflected BSDEs with interconnected obstacles | 2017-10-06 | Paper |
Integral equations for Rost's reversed barriers: existence and uniqueness results
Stochastic Processes and their Applications | 2017-09-11 | Paper |
Integral equations for Rost's reversed barriers: existence and uniqueness results
Stochastic Processes and their Applications | 2017-09-11 | Paper |
A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
Applied Mathematics and Optimization | 2016-05-12 | Paper |
A nonconvex singular stochastic control problem and its related optimal stopping boundaries
SIAM Journal on Control and Optimization | 2015-06-10 | Paper |
Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
Stochastic Processes and their Applications | 2015-01-30 | Paper |
A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
Stochastic Processes and their Applications | 2014-10-06 | Paper |
On the saddle point of a zero-sum stopper vs. singular-controller game
(available as arXiv preprint) | N/A | Paper |
