| Publication | Date of Publication | Type |
|---|
Arbitrage theory in a market of stochastic dimension
Mathematical Finance | 2024-11-20 | Paper |
Quantifying dimensional change in stochastic portfolio theory
Mathematical Finance | 2024-11-20 | Paper |
Stability and sample complexity of divergence regularized optimal transport
Bernoulli | 2024-11-05 | Paper |
Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics
Mathematics and Financial Economics | 2024-11-01 | Paper |
Infinite horizon average cost optimality criteria for mean-field control
SIAM Journal on Control and Optimization | 2024-10-22 | Paper |
Stochastic control/stopping problem with expectation constraints
Stochastic Processes and their Applications | 2024-10-08 | Paper |
Deep signature algorithm for multidimensional path-dependent options
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
Optimal stopping with expectation constraints
The Annals of Applied Probability | 2024-04-10 | Paper |
McKean-Vlasov equations involving hitting times: blow-ups and global solvability
The Annals of Applied Probability | 2024-04-10 | Paper |
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
Mathematical Finance | 2024-01-31 | Paper |
Supermartingale shadow couplings: the decreasing case
Bernoulli | 2024-01-16 | Paper |
Graphon mean field systems
The Annals of Applied Probability | 2024-01-15 | Paper |
Graphon mean field systems
The Annals of Applied Probability | 2024-01-15 | Paper |
A potential-based construction of the increasing supermartingale coupling
The Annals of Applied Probability | 2024-01-15 | Paper |
A potential-based construction of the increasing supermartingale coupling
The Annals of Applied Probability | 2024-01-15 | Paper |
Short Communication: Existence of Markov Equilibrium Control in Discrete Time
SIAM Journal on Financial Mathematics | 2024-01-05 | Paper |
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
Mathematical Finance | 2023-09-27 | Paper |
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
Mathematical Finance | 2023-09-27 | Paper |
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
Mathematical Finance | 2023-09-27 | Paper |
Nonparametric Adaptive Robust Control under Model Uncertainty
SIAM Journal on Control and Optimization | 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
SIAM Journal on Mathematics of Data Science | 2023-08-29 | Paper |
Supermartingale Brenier's theorem with full-marginals constraint
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
| Relaxed Equilibria for Time-Inconsistent Markov Decision Processes | 2023-07-09 | Paper |
Mean field control and finite agent approximation for regime-switching jump diffusions
Applied Mathematics and Optimization | 2023-07-06 | Paper |
Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
Applied Mathematics and Optimization | 2023-07-06 | Paper |
A smooth variational principle on Wasserstein space
Proceedings of the American Mathematical Society | 2023-06-27 | Paper |
Data-driven nonparametric robust control under dependence uncertainty
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
| Stochastic Control/Stopping Problem with Expectation Constraints | 2023-05-29 | Paper |
Stability of Equilibria in Time-Inconsistent Stopping Problems
SIAM Journal on Control and Optimization | 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
Journal of Statistical Physics | 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
Mathematics of Operations Research | 2023-01-09 | Paper |
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
SIAM Journal on Financial Mathematics | 2023-01-04 | Paper |
Graphon particle system: uniform-in-time concentration bounds
Stochastic Processes and their Applications | 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
Applied Mathematics and Optimization | 2022-11-11 | Paper |
Convergence of optimal investment problems in the vanishing fixed cost limit
SIAM Journal on Control and Optimization | 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
Journal of Applied Probability | 2022-07-08 | Paper |
Stationarity and uniform in time convergence for the graphon particle system
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
SIAM Journal on Control and Optimization | 2022-06-17 | Paper |
On the continuity of the Root barrier
Proceedings of the American Mathematical Society | 2022-06-15 | Paper |
Stability of Equilibria in Time-inconsistent Stopping Problems
(available as arXiv preprint) | 2022-05-17 | Paper |
| Concentration of measure for Graphon particle system | 2022-05-10 | Paper |
Optimal investment and consumption under a habit-formation constraint
SIAM Journal on Financial Mathematics | 2022-04-21 | Paper |
| Walsh Diffusions as Time Changed Multi-parameter Processes | 2022-04-14 | Paper |
\(K_{r,s}\) graph bootstrap percolation
The Electronic Journal of Combinatorics | 2022-04-04 | Paper |
Relative hedging of systematic mortality risk
North American Actuarial Journal | 2022-02-11 | Paper |
Minimizing the probability of lifetime ruin with deferred life annuities
North American Actuarial Journal | 2022-02-11 | Paper |
Terminal ranking games
Mathematics of Operations Research | 2022-02-08 | Paper |
Minimizing the probability of lifetime ruin under random consumption
North American Actuarial Journal | 2022-01-19 | Paper |
Minimizing the probability of ruin when consumption is ratcheted
North American Actuarial Journal | 2022-01-19 | Paper |
Minimizing the probability of ruin when consumption is ratcheted
North American Actuarial Journal | 2022-01-19 | Paper |
Strong equivalence between metrics of Wasserstein type
Electronic Communications in Probability | 2022-01-06 | Paper |
Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
SIAM Journal on Financial Mathematics | 2021-12-02 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
The Annals of Applied Probability | 2021-11-04 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
The Annals of Applied Probability | 2021-11-04 | Paper |
Mean field interaction on random graphs with dynamically changing multi-color edges
Stochastic Processes and their Applications | 2021-11-02 | Paper |
Transport plans with domain constraints
Applied Mathematics and Optimization | 2021-08-11 | Paper |
scientific article; zbMATH DE number 7370589 (Why is no real title available?)
(available as arXiv preprint) | 2021-07-09 | Paper |
| scientific article; zbMATH DE number 7370589 (Why is no real title available?) | 2021-07-09 | Paper |
Continuity of utility maximization under weak convergence
Mathematics and Financial Economics | 2021-05-03 | Paper |
Embedding of Walsh Brownian motion
Stochastic Processes and their Applications | 2021-04-27 | Paper |
Finite state mean field games with Wright-Fisher common noise
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2021-03-10 | Paper |
A Central Limit Theorem for Diffusion in Sparse Random Graphs
(available as arXiv preprint) | 2021-02-27 | Paper |
Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction
IEEE Transactions on Information Theory | 2021-02-22 | Paper |
Corrigendum to “On non-uniqueness in mean field games”
Proceedings of the American Mathematical Society | 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
Finance and Stochastics | 2020-11-11 | Paper |
Finite-time 4-expert prediction problem
Communications in Partial Differential Equations | 2020-11-09 | Paper |
Prediction against a limited adversary
(available as arXiv preprint) | 2020-10-30 | Paper |
On the Continuity of the Root Barrier
(available as arXiv preprint) | 2020-10-27 | Paper |
On the Adversarial Robustness of Robust Estimators
IEEE Transactions on Information Theory | 2020-09-29 | Paper |
On non-uniqueness in mean field games
Proceedings of the American Mathematical Society | 2020-07-21 | Paper |
No-arbitrage and hedging with liquid American options
Mathematics of Operations Research | 2020-03-12 | Paper |
Large tournament games
The Annals of Applied Probability | 2020-02-21 | Paper |
Large tournament games
The Annals of Applied Probability | 2020-02-21 | Paper |
Controlled reflected SDEs and Neumann problem for backward SPDEs
The Annals of Applied Probability | 2020-01-22 | Paper |
On the quasi-sure superhedging duality with frictions
Finance and Stochastics | 2019-12-27 | Paper |
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Time consistent stopping for the mean-standard deviation problem -- the discrete time case
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Time consistent stopping for the mean-standard deviation problem -- the discrete time case
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Finite-Time 4-Expert Prediction Problem
(available as arXiv preprint) | 2019-11-21 | Paper |
On the controller-stopper problems with controlled jumps
Applied Mathematics and Optimization | 2019-08-13 | Paper |
Optimal investment with random endowments and transaction costs: duality theory and shadow prices
Mathematics and Financial Economics | 2019-06-18 | Paper |
Purchasing term life insurance to reach a bequest goal: time-dependent case
North American Actuarial Journal | 2019-05-28 | Paper |
Life insurance purchasing to maximize utility of household consumption
North American Actuarial Journal | 2019-05-15 | Paper |
Distribution-constrained optimal stopping
Mathematical Finance | 2019-05-08 | Paper |
Rate control under heavy traffic with strategic servers
The Annals of Applied Probability | 2019-03-20 | Paper |
Rate control under heavy traffic with strategic servers
The Annals of Applied Probability | 2019-03-20 | Paper |
High order Bellman equations and weakly chained diagonally dominant tensors
SIAM Journal on Matrix Analysis and Applications | 2019-03-12 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
(available as arXiv preprint) | 2019-02-06 | Paper |
On zero-sum optimal stopping games
Applied Mathematics and Optimization | 2018-12-10 | Paper |
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
SIAM Journal on Control and Optimization | 2018-11-09 | Paper |
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
SIAM Journal on Control and Optimization | 2018-11-09 | Paper |
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
SIAM Journal on Control and Optimization | 2018-11-09 | Paper |
Analysis of a Finite State Many Player Game Using Its Master Equation
SIAM Journal on Control and Optimization | 2018-10-08 | Paper |
Efficient Byzantine Sequential Change Detection
IEEE Transactions on Information Theory | 2018-09-14 | Paper |
On the market viability under proportional transaction costs
Mathematical Finance | 2018-08-16 | Paper |
Recombining tree approximations for optimal stopping for diffusions
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Path-dependent Hamilton-Jacobi equations in infinite dimensions
Journal of Functional Analysis | 2018-08-10 | Paper |
Risk sensitive control of the lifetime ruin problem
Applied Mathematics and Optimization | 2018-05-31 | Paper |
Quantile hedging in a semi-static market with model uncertainty
Mathematical Methods of Operations Research | 2018-05-18 | Paper |
Martingale optimal transport with stopping
SIAM Journal on Control and Optimization | 2018-02-22 | Paper |
Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators
SIAM Journal on Control and Optimization | 2018-02-12 | Paper |
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
Transactions of the American Mathematical Society | 2018-01-09 | Paper |
On arbitrage and duality under model uncertainty and portfolio constraints
Mathematical Finance | 2017-10-24 | Paper |
On arbitrage and duality under model uncertainty and portfolio constraints
Mathematical Finance | 2017-10-24 | Paper |
Super-hedging American options with semi-static trading strategies under model uncertainty
International Journal of Theoretical and Applied Finance | 2017-10-13 | Paper |
On the robust Dynkin game
The Annals of Applied Probability | 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
Stochastic Processes and their Applications | 2017-06-30 | Paper |
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
SIAM Journal on Control and Optimization | 2017-06-23 | Paper |
Bayesian Quickest Change-Point Detection With Sampling Right Constraints
IEEE Transactions on Information Theory | 2017-05-16 | Paper |
On an optimal stopping problem of an insider
Theory of Probability & Its Applications | 2017-03-09 | Paper |
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
The Annals of Applied Probability | 2017-02-21 | Paper |
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
The Annals of Applied Probability | 2017-02-21 | Paper |
A rank-based mean field game in the strong formulation
Electronic Communications in Probability | 2016-12-21 | Paper |
A rank-based mean field game in the strong formulation
Electronic Communications in Probability | 2016-12-21 | Paper |
Optimally investing to reach a bequest goal
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal investment to minimize the probability of drawdown
Stochastics | 2016-11-25 | Paper |
Minimizing the probability of lifetime drawdown under constant consumption
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Stochastic Perron for stochastic target problems
Journal of Optimization Theory and Applications | 2016-10-20 | Paper |
Stochastic Perron for stochastic target problems
Journal of Optimization Theory and Applications | 2016-10-20 | Paper |
Robust feedback switching control: dynamic programming and viscosity solutions
SIAM Journal on Control and Optimization | 2016-10-05 | Paper |
Fundamental theorem of asset pricing under transaction costs and model uncertainty
Mathematics of Operations Research | 2016-08-10 | Paper |
An \(\alpha\)-stable limit theorem under sublinear expectation
Bernoulli | 2016-07-14 | Paper |
An \(\alpha\)-stable limit theorem under sublinear expectation
Bernoulli | 2016-07-14 | Paper |
Stochastic Perron for stochastic target games
The Annals of Applied Probability | 2016-06-09 | Paper |
Stochastic Perron for stochastic target games
The Annals of Applied Probability | 2016-06-09 | Paper |
Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
Minimizing the probability of lifetime ruin under ambiguity aversion
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
On a stopping game in continuous time
Proceedings of the American Mathematical Society | 2016-05-27 | Paper |
Purchasing term life insurance to reach a bequest goal while consuming
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
| Solvability of Dirichlet problem with Integro-differential Operator | 2016-02-19 | Paper |
Weak reflection principle for Lévy processes
The Annals of Applied Probability | 2015-11-24 | Paper |
Weak reflection principle for Lévy processes
The Annals of Applied Probability | 2015-11-24 | Paper |
Doubly reflected BSDEs with integrable parameters and related Dynkin games
Stochastic Processes and their Applications | 2015-10-12 | Paper |
On hedging American options under model uncertainty
SIAM Journal on Financial Mathematics | 2015-06-26 | Paper |
Byzantine Fault Tolerant Distributed Quickest Change Detection
SIAM Journal on Control and Optimization | 2015-06-02 | Paper |
Quickest detection with discretely controlled observations
Sequential Analysis | 2015-03-23 | Paper |
On the Robust Optimal Stopping Problem
SIAM Journal on Control and Optimization | 2015-02-09 | Paper |
Purchasing life insurance to reach a bequest goal
Insurance Mathematics & Economics | 2015-01-28 | Paper |
On controller-stopper problems with jumps and their applications to indifference pricing of American options
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Proving regularity of the minimal probability of ruin via a game of stopping and control
Finance and Stochastics | 2014-12-18 | Paper |
Liquidation in limit order books with controlled intensity
Mathematical Finance | 2014-11-05 | Paper |
Optimal reinsurance and investment with unobservable claim size and intensity
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Quickest search over Brownian channels
Stochastics | 2014-08-14 | Paper |
A note on applications of stochastic ordering to control problems in insurance and finance
Stochastics | 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
Insurance Mathematics & Economics | 2014-06-23 | Paper |
A stochastic approximation for fully nonlinear free boundary parabolic problems
Numerical Methods for Partial Differential Equations | 2014-05-28 | Paper |
A stochastic approximation for fully nonlinear free boundary parabolic problems
Numerical Methods for Partial Differential Equations | 2014-05-28 | Paper |
On the existence of consistent price systems
Stochastic Analysis and Applications | 2014-05-15 | Paper |
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
SIAM Journal on Control and Optimization | 2014-04-11 | Paper |
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Proceedings of the American Mathematical Society | 2014-03-13 | Paper |
On optimal dividends in the dual model
ASTIN Bulletin | 2014-02-27 | Paper |
Robust maximization of asymptotic growth under covariance uncertainty
The Annals of Applied Probability | 2013-10-25 | Paper |
Robust maximization of asymptotic growth under covariance uncertainty
The Annals of Applied Probability | 2013-10-25 | Paper |
On the impulse control of jump diffusions
SIAM Journal on Control and Optimization | 2013-09-26 | Paper |
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls
SIAM Journal on Control and Optimization | 2013-09-26 | Paper |
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
Proceedings of the American Mathematical Society | 2013-09-03 | Paper |
| On utility maximization with derivatives under model uncertainty | 2013-07-17 | Paper |
On the multidimensional controller-and-stopper games
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
Stability of exponential utility maximization with respect to market perturbations
Stochastic Processes and their Applications | 2013-04-22 | Paper |
Valuation equations for stochastic volatility models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Valuation equations for stochastic volatility models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Optimal stopping for dynamic convex risk measures
Illinois Journal of Mathematics | 2013-01-04 | Paper |
Optimal stopping for dynamic convex risk measures
Illinois Journal of Mathematics | 2013-01-04 | Paper |
Strict local martingale deflators and valuing American call-type options
Finance and Stochastics | 2012-11-15 | Paper |
Outperforming the market portfolio with a given probability
The Annals of Applied Probability | 2012-09-19 | Paper |
Outperforming the market portfolio with a given probability
The Annals of Applied Probability | 2012-09-19 | Paper |
Regularity of the optimal stopping problem for jump diffusions
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Quadratic reflected BSDEs with unbounded obstacles
Stochastic Processes and their Applications | 2012-06-01 | Paper |
No arbitrage conditions for simple trading strategies
Annals of Finance | 2012-03-08 | Paper |
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Annals of Finance | 2012-03-06 | Paper |
| On Zero-Sum Stochastic Differential Games | 2011-12-24 | Paper |
Optimal trade execution in illiquid markets
Mathematical Finance | 2011-11-21 | Paper |
Minimizing the probability of lifetime ruin under stochastic volatility
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Optimal stopping for non-linear expectations. I
Stochastic Processes and their Applications | 2011-07-08 | Paper |
Optimal stopping for non-linear expectations. II
Stochastic Processes and their Applications | 2011-07-08 | Paper |
A unified framework for pricing credit and equity derivatives
Mathematical Finance | 2011-06-16 | Paper |
On the perpetual American put options for level dependent volatility models with jumps
Quantitative Finance | 2011-04-28 | Paper |
On the One-Dimensional Optimal Switching Problem
Mathematics of Operations Research | 2011-04-27 | Paper |
An analysis of monotone follower problems for diffusion processes
Mathematics of Operations Research | 2011-04-27 | Paper |
On the continuity of stochastic exit time control problems
Stochastic Analysis and Applications | 2011-03-08 | Paper |
Pricing Asian options for jump diffusion
Mathematical Finance | 2011-02-02 | Paper |
On the stickiness property
Quantitative Finance | 2010-12-20 | Paper |
Inventory management with partially observed nonstationary demand
Annals of Operations Research | 2010-09-20 | Paper |
Optimal investment strategy to minimize occupation time
Annals of Operations Research | 2010-09-20 | Paper |
On the uniqueness of classical solutions of Cauchy problems
Proceedings of the American Mathematical Society | 2010-06-08 | Paper |
A proof of the smoothness of the finite time horizon American put option for jump diffusions
SIAM Journal on Control and Optimization | 2010-04-28 | Paper |
A unified treatment of dividend payment problems under fixed cost and implementation delays
Mathematical Methods of Operations Research | 2010-04-23 | Paper |
Analysis of the optimal exercise boundary of American options for jump diffusions
SIAM Journal on Mathematical Analysis | 2010-04-21 | Paper |
Multi-scale time-changed birth processes for pricing multi-name credit derivatives
Applied Mathematical Finance | 2010-01-25 | Paper |
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Mathematical Methods of Operations Research | 2009-12-11 | Paper |
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Minimizing the lifetime shortfall or shortfall at death
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Sequential tracking of a hidden Markov chain using point process observations
Stochastic Processes and their Applications | 2009-06-04 | Paper |
Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
Sequential Analysis | 2009-06-02 | Paper |
Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
Sequential Analysis | 2009-06-02 | Paper |
Optimal time to change premiums
Mathematical Methods of Operations Research | 2009-03-25 | Paper |
Pricing Options on Defaultable Stocks*
Applied Mathematical Finance | 2008-09-05 | Paper |
A Limit Theorem for Financial Markets with Inert Investors
Mathematics of Operations Research | 2008-05-27 | Paper |
Poisson Disorder Problem with Exponential Penalty for Delay
Mathematics of Operations Research | 2008-05-27 | Paper |
Optimizing venture capital investments in a jump diffusion model
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
Optimizing venture capital investments in a jump diffusion model
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
Quickest Detection of a Minimum of Two Poisson Disorder Times
SIAM Journal on Control and Optimization | 2008-02-25 | Paper |
Correspondence between lifetime minimum wealth and utility of consumption
Finance and Stochastics | 2007-12-16 | Paper |
Minimizing the probability of lifetime ruin under borrowing constraints
Insurance Mathematics & Economics | 2007-07-19 | Paper |
Hedging life insurance with pure endowments
Insurance Mathematics & Economics | 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
Stochastic Processes and their Applications | 2007-02-26 | Paper |
Adaptive Poisson disorder problem
The Annals of Applied Probability | 2007-02-05 | Paper |
Prediction and tracking of long-range-dependent sequences
Systems & Control Letters | 2006-09-25 | Paper |
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
The standard Poisson disorder problem revisited
Stochastic Processes and their Applications | 2005-09-29 | Paper |
Stochastic Differential Games in a Non-Markovian Setting
SIAM Journal on Control and Optimization | 2005-09-15 | Paper |
Consistency Problems for Jump‐diffusion Models
Applied Mathematical Finance | 2005-09-01 | Paper |
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
International Journal of Theoretical and Applied Finance | 2005-07-06 | Paper |
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
International Journal of Theoretical and Applied Finance | 2005-02-28 | Paper |
Non-parametric estimates for graphon mean-field particle systems
(available as arXiv preprint) | N/A | Paper |
Stability and Sample Complexity of Divergence Regularized Optimal Transport
(available as arXiv preprint) | N/A | Paper |
Binomial-tree approximation for time-inconsistent stopping
(available as arXiv preprint) | N/A | Paper |
