| Publication | Date of Publication | Type |
|---|
| Optimal stopping with expectation constraints | 2024-04-10 | Paper |
| McKean-Vlasov equations involving hitting times: blow-ups and global solvability | 2024-04-10 | Paper |
| Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes | 2024-01-31 | Paper |
| Supermartingale shadow couplings: the decreasing case | 2024-01-16 | Paper |
| Graphon mean field systems | 2024-01-15 | Paper |
| A potential-based construction of the increasing supermartingale coupling | 2024-01-15 | Paper |
| Short Communication: Existence of Markov Equilibrium Control in Discrete Time | 2024-01-05 | Paper |
| A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets | 2023-11-23 | Paper |
| Equilibrium concepts for time‐inconsistent stopping problems in continuous time | 2023-09-27 | Paper |
| Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case | 2023-09-27 | Paper |
| Nonparametric Adaptive Robust Control under Model Uncertainty | 2023-09-15 | Paper |
| Comparison of viscosity solutions for a class of second order PDEs on the Wasserstein space | 2023-09-10 | Paper |
| Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality | 2023-08-29 | Paper |
| Supermartingale Brenier's theorem with full-marginals constraint | 2023-07-25 | Paper |
| Relaxed Equilibria for Time-Inconsistent Markov Decision Processes | 2023-07-09 | Paper |
| Propagation of chaos of forward-backward stochastic differential equations with graphon interactions | 2023-07-06 | Paper |
| Mean field control and finite agent approximation for regime-switching jump diffusions | 2023-07-06 | Paper |
| A smooth variational principle on Wasserstein space | 2023-06-27 | Paper |
| Data-driven nonparametric robust control under dependence uncertainty | 2023-06-26 | Paper |
| Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case | 2023-06-01 | Paper |
| Stochastic Control/Stopping Problem with Expectation Constraints | 2023-05-29 | Paper |
| Stability of Equilibria in Time-Inconsistent Stopping Problems | 2023-04-26 | Paper |
| H\"older regularity and roughness: construction and examples | 2023-04-26 | Paper |
| A central limit theorem for diffusion in sparse random graphs | 2023-03-07 | Paper |
| Quantifying dimensional change in stochastic portfolio theory | 2023-03-01 | Paper |
| Equilibrium transport with time-inconsistent costs: An application to matching problems in the job market | 2023-02-02 | Paper |
| Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games | 2023-01-09 | Paper |
| Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions | 2023-01-04 | Paper |
| Graphon particle system: uniform-in-time concentration bounds | 2023-01-02 | Paper |
| Systemic robustness: a mean-field particle system approach | 2022-12-16 | Paper |
| Arbitrage theory in a market of stochastic dimension | 2022-12-08 | Paper |
| Finite Approximations for Mean Field Type Multi-Agent Control and Their Near Optimality | 2022-11-17 | Paper |
| Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games | 2022-11-11 | Paper |
| Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit | 2022-09-29 | Paper |
| A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings | 2022-09-08 | Paper |
| Disorder detection with costly observations | 2022-07-08 | Paper |
| Stationarity and uniform in time convergence for the graphon particle system | 2022-06-20 | Paper |
| Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method | 2022-06-17 | Paper |
| On the continuity of the root barrier | 2022-06-15 | Paper |
| Stability of Equilibria in Time-inconsistent Stopping Problems | 2022-05-17 | Paper |
| Concentration of measure for Graphon particle system | 2022-05-10 | Paper |
| Optimal Investment and Consumption under a Habit-Formation Constraint | 2022-04-21 | Paper |
| Walsh Diffusions as Time Changed Multi-parameter Processes | 2022-04-14 | Paper |
| \(K_{r,s}\) graph bootstrap percolation | 2022-04-04 | Paper |
| Relative Hedging of Systematic Mortality Risk | 2022-02-11 | Paper |
| Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities | 2022-02-11 | Paper |
| Terminal Ranking Games | 2022-02-08 | Paper |
| Minimizing the Probability of Lifetime Ruin under Random Consumption | 2022-01-19 | Paper |
| Minimizing the Probability of Ruin When Consumption is Ratcheted | 2022-01-19 | Paper |
| Strong equivalence between metrics of Wasserstein type | 2022-01-06 | Paper |
| Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios | 2021-12-02 | Paper |
| On the asymptotic optimality of the comb strategy for prediction with expert advice | 2021-11-04 | Paper |
| Mean field interaction on random graphs with dynamically changing multi-color edges | 2021-11-02 | Paper |
| Transport plans with domain constraints | 2021-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4998975 | 2021-07-09 | Paper |
| Continuity of utility maximization under weak convergence | 2021-05-03 | Paper |
| Embedding of Walsh Brownian motion | 2021-04-27 | Paper |
| Finite state mean field games with Wright-Fisher common noise | 2021-03-10 | Paper |
| A Central Limit Theorem for Diffusion in Sparse Random Graphs | 2021-02-27 | Paper |
| Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction | 2021-02-22 | Paper |
| Corrigendum to “On non-uniqueness in mean field games” | 2021-02-10 | Paper |
| K-core in percolated dense graph sequences | 2020-12-17 | Paper |
| Extended weak convergence and utility maximisation with proportional transaction costs | 2020-11-11 | Paper |
| Finite-time 4-expert prediction problem | 2020-11-09 | Paper |
| Prediction against a limited adversary | 2020-10-30 | Paper |
| On the Continuity of the Root Barrier | 2020-10-27 | Paper |
| On the Adversarial Robustness of Robust Estimators | 2020-09-29 | Paper |
| On non-uniqueness in mean field games | 2020-07-21 | Paper |
| No-Arbitrage and Hedging with Liquid American Options | 2020-03-12 | Paper |
| Large tournament games | 2020-02-21 | Paper |
| Controlled reflected SDEs and Neumann problem for backward SPDEs | 2020-01-22 | Paper |
| On the quasi-sure superhedging duality with frictions | 2019-12-27 | Paper |
| Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates | 2019-11-22 | Paper |
| Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case | 2019-11-22 | Paper |
| Finite-Time 4-Expert Prediction Problem | 2019-11-21 | Paper |
| On the controller-stopper problems with controlled jumps | 2019-08-13 | Paper |
| Optimal investment with random endowments and transaction costs: duality theory and shadow prices | 2019-06-18 | Paper |
| Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case | 2019-05-28 | Paper |
| Life Insurance Purchasing to Maximize Utility of Household Consumption | 2019-05-15 | Paper |
| Distribution‐constrained optimal stopping | 2019-05-08 | Paper |
| Rate control under heavy traffic with strategic servers | 2019-03-20 | Paper |
| High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors | 2019-03-12 | Paper |
| On the asymptotic optimality of the comb strategy for prediction with expert advice | 2019-02-06 | Paper |
| On zero-sum optimal stopping games | 2018-12-10 | Paper |
| Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities | 2018-11-09 | Paper |
| A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method | 2018-11-09 | Paper |
| Analysis of a Finite State Many Player Game Using Its Master Equation | 2018-10-08 | Paper |
| Efficient Byzantine Sequential Change Detection | 2018-09-14 | Paper |
| On the market viability under proportional transaction costs | 2018-08-16 | Paper |
| Path-dependent Hamilton-Jacobi equations in infinite dimensions | 2018-08-10 | Paper |
| Recombining Tree Approximations for Optimal Stopping for Diffusions | 2018-08-10 | Paper |
| Risk sensitive control of the lifetime ruin problem | 2018-05-31 | Paper |
| Quantile hedging in a semi-static market with model uncertainty | 2018-05-18 | Paper |
| Martingale Optimal Transport with Stopping | 2018-02-22 | Paper |
| Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators | 2018-02-12 | Paper |
| Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics | 2018-01-09 | Paper |
| ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS | 2017-10-24 | Paper |
| SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY | 2017-10-13 | Paper |
| On the robust Dynkin game | 2017-09-15 | Paper |
| Dynamic Programming Principles for Optimal Stopping with Expectation Constraint | 2017-08-07 | Paper |
| Optimal stopping with random maturity under nonlinear expectations | 2017-06-30 | Paper |
| Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities | 2017-06-23 | Paper |
| Bayesian Quickest Change-Point Detection With Sampling Right Constraints | 2017-05-16 | Paper |
| On an Optimal Stopping Problem of an Insider | 2017-03-09 | Paper |
| Arbitrage, hedging and utility maximization using semi-static trading strategies with American options | 2017-02-21 | Paper |
| A rank-based mean field game in the strong formulation | 2016-12-21 | Paper |
| Optimally investing to reach a bequest goal | 2016-12-13 | Paper |
| Optimal investment to minimize the probability of drawdown | 2016-11-25 | Paper |
| Minimizing the probability of lifetime drawdown under constant consumption | 2016-11-21 | Paper |
| Stochastic Perron for stochastic target problems | 2016-10-20 | Paper |
| Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions | 2016-10-05 | Paper |
| Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty | 2016-08-10 | Paper |
| An \(\alpha\)-stable limit theorem under sublinear expectation | 2016-07-14 | Paper |
| Stochastic Perron for stochastic target games | 2016-06-09 | Paper |
| Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion | 2016-05-31 | Paper |
| Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs | 2016-05-31 | Paper |
| On a stopping game in continuous time | 2016-05-27 | Paper |
| Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming | 2016-05-20 | Paper |
| Solvability of Dirichlet problem with Integro-differential Operator | 2016-02-19 | Paper |
| Weak reflection principle for Lévy processes | 2015-11-24 | Paper |
| Doubly reflected BSDEs with integrable parameters and related Dynkin games | 2015-10-12 | Paper |
| On Hedging American Options under Model Uncertainty | 2015-06-26 | Paper |
| Byzantine Fault Tolerant Distributed Quickest Change Detection | 2015-06-02 | Paper |
| Quickest Detection with Discretely Controlled Observations | 2015-03-23 | Paper |
| On the Robust Optimal Stopping Problem | 2015-02-09 | Paper |
| Purchasing life insurance to reach a bequest goal | 2015-01-28 | Paper |
| On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options | 2015-01-20 | Paper |
| Proving regularity of the minimal probability of ruin via a game of stopping and control | 2014-12-18 | Paper |
| LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY | 2014-11-05 | Paper |
| Optimal reinsurance and investment with unobservable claim size and intensity | 2014-09-22 | Paper |
| A note on applications of stochastic ordering to control problems in insurance and finance | 2014-08-14 | Paper |
| Quickest search over Brownian channels | 2014-08-14 | Paper |
| Comparing the $G$-Normal Distribution to its Classical Counterpart | 2014-07-18 | Paper |
| Optimal dividends in the dual model under transaction costs | 2014-06-23 | Paper |
| A stochastic approximation for fully nonlinear free boundary parabolic problems | 2014-05-28 | Paper |
| On the Existence Of Consistent Price Systems | 2014-05-15 | Paper |
| Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations | 2014-04-11 | Paper |
| Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games | 2014-03-13 | Paper |
| ON OPTIMAL DIVIDENDS IN THE DUAL MODEL | 2014-02-27 | Paper |
| Robust maximization of asymptotic growth under covariance uncertainty | 2013-10-25 | Paper |
| A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls | 2013-09-26 | Paper |
| On the Impulse Control of Jump Diffusions | 2013-09-26 | Paper |
| Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case | 2013-09-03 | Paper |
| On the Multidimensional Controller-and-Stopper Games | 2013-07-17 | Paper |
| On utility maximization with derivatives under model uncertainty | 2013-07-17 | Paper |
| Stability of exponential utility maximization with respect to market perturbations | 2013-04-22 | Paper |
| Valuation Equations for Stochastic Volatility Models | 2013-01-25 | Paper |
| Optimal stopping for dynamic convex risk measures | 2013-01-04 | Paper |
| Strict local martingale deflators and valuing American call-type options | 2012-11-15 | Paper |
| Outperforming the market portfolio with a given probability | 2012-09-19 | Paper |
| Regularity of the Optimal Stopping Problem for Jump Diffusions | 2012-09-12 | Paper |
| Quadratic reflected BSDEs with unbounded obstacles | 2012-06-01 | Paper |
| No arbitrage conditions for simple trading strategies | 2012-03-08 | Paper |
| Pricing options in incomplete equity markets via the instantaneous Sharpe ratio | 2012-03-06 | Paper |
| On Zero-Sum Stochastic Differential Games | 2011-12-24 | Paper |
| OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS | 2011-11-21 | Paper |
| Minimizing the probability of lifetime ruin under stochastic volatility | 2011-08-02 | Paper |
| Optimal stopping for non-linear expectations. I | 2011-07-08 | Paper |
| Optimal stopping for non-linear expectations. II | 2011-07-08 | Paper |
| A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES | 2011-06-16 | Paper |
| On the perpetual American put options for level dependent volatility models with jumps | 2011-04-28 | Paper |
| An Analysis of Monotone Follower Problems for Diffusion Processes | 2011-04-27 | Paper |
| On the One-Dimensional Optimal Switching Problem | 2011-04-27 | Paper |
| On the Continuity of Stochastic Exit Time Control Problems | 2011-03-08 | Paper |
| PRICING ASIAN OPTIONS FOR JUMP DIFFUSION | 2011-02-02 | Paper |
| On the stickiness property | 2010-12-20 | Paper |
| Inventory management with partially observed nonstationary demand | 2010-09-20 | Paper |
| Optimal investment strategy to minimize occupation time | 2010-09-20 | Paper |
| On the uniqueness of classical solutions of Cauchy problems | 2010-06-08 | Paper |
| A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions | 2010-04-28 | Paper |
| A unified treatment of dividend payment problems under fixed cost and implementation delays | 2010-04-23 | Paper |
| Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions | 2010-04-21 | Paper |
| Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives | 2010-01-25 | Paper |
| Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions | 2009-12-11 | Paper |
| Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities | 2009-08-07 | Paper |
| Minimizing the lifetime shortfall or shortfall at death | 2009-06-10 | Paper |
| Sequential tracking of a hidden Markov chain using point process observations | 2009-06-04 | Paper |
| Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution | 2009-06-02 | Paper |
| Optimal time to change premiums | 2009-03-25 | Paper |
| Pricing Options on Defaultable Stocks* | 2008-09-05 | Paper |
| Poisson Disorder Problem with Exponential Penalty for Delay | 2008-05-27 | Paper |
| A Limit Theorem for Financial Markets with Inert Investors | 2008-05-27 | Paper |
| Optimizing venture capital investments in a jump diffusion model | 2008-04-23 | Paper |
| Quickest Detection of a Minimum of Two Poisson Disorder Times | 2008-02-25 | Paper |
| Correspondence between lifetime minimum wealth and utility of consumption | 2007-12-16 | Paper |
| Minimizing the probability of lifetime ruin under borrowing constraints | 2007-07-19 | Paper |
| Hedging life insurance with pure endowments | 2007-05-23 | Paper |
| Queueing Theoretic Approaches to Financial Price Fluctuations | 2007-03-28 | Paper |
| The effects of implementation delay on decision-making under uncertainty | 2007-02-26 | Paper |
| Adaptive Poisson disorder problem | 2007-02-05 | Paper |
| Prediction and tracking of long-range-dependent sequences | 2006-09-25 | Paper |
| PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD | 2006-09-12 | Paper |
| The standard Poisson disorder problem revisited | 2005-09-29 | Paper |
| Stochastic Differential Games in a Non-Markovian Setting | 2005-09-15 | Paper |
| Consistency Problems for Jump‐diffusion Models | 2005-09-01 | Paper |
| ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC | 2005-07-06 | Paper |
| ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS | 2005-02-28 | Paper |
