| Publication | Date of Publication | Type |
|---|
Stochastic orderings for set-valued risk measures
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
Journal of Mathematical Analysis and Applications | 2023-08-07 | Paper |
Large deviation principle for spatial economic growth model on networks
Journal of Mathematical Economics | 2022-12-06 | Paper |
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Journal of Differential Equations | 2022-11-11 | Paper |
| Dynamic capital allocation rules via BSDEs: an axiomatic approach | 2021-12-16 | Paper |
Optimal investment strategies with a minimum performance constraint
Annals of Operations Research | 2021-11-08 | Paper |
Set optimization of set-valued risk measures
Annals of Operations Research | 2021-05-05 | Paper |
Qualitative robustness of set-valued value-at-risk
Mathematical Methods of Operations Research | 2020-03-09 | Paper |
Time-consistency of risk measures: how strong is such a property?
Decisions in Economics and Finance | 2019-10-23 | Paper |
Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels
Journal of Mathematical Analysis and Applications | 2019-05-17 | Paper |
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
Computational Management Science | 2019-02-18 | Paper |
Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension
Communications in Mathematical Sciences | 2017-07-25 | Paper |
A class of Lévy driven SDEs and their explicit invariant measures
Potential Analysis | 2016-09-06 | Paper |
Portfolio optimization with quasiconvex risk measures
Mathematics of Operations Research | 2016-01-29 | Paper |
Feedback optimal control for stochastic Volterra equations with completely monotone kernels
Mathematical Control and Related Fields | 2015-11-02 | Paper |
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mathematics and Financial Economics | 2015-04-29 | Paper |
| Invariant measures for stochastic differential equations on networks | 2014-05-19 | Paper |
Small noise asymptotic expansions for stochastic PDE's driven by dissipative nonlinearity and Lévy noise
Stochastic Processes and their Applications | 2014-04-10 | Paper |
Optimal control for stochastic heat equation with memory
Evolution Equations and Control Theory | 2014-03-11 | Paper |
| Explicit invariant measures for infinite dimensional SDE driven by L\'evy noise with dissipative nonlinear drift I | 2013-12-09 | Paper |
Optimal control for stochastic Volterra equations with completely monotone kernels
SIAM Journal on Control and Optimization | 2012-08-10 | Paper |
An analytic approach to stochastic Volterra equations with completely monotone kernels
Journal of Evolution Equations | 2012-06-02 | Paper |
Small noise asymptotic expansions for stochastic PDE's. I: The case of a dissipative polynomially bounded non linearity
Tôhoku Mathematical Journal. Second Series | 2012-03-21 | Paper |
ANALYSIS OF THE STOCHASTIC FITZHUGH–NAGUMO SYSTEM
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2008-12-11 | Paper |
Optimal control of stochastic differential equations with dynamical boundary conditions
Journal of Mathematical Analysis and Applications | 2008-06-17 | Paper |
Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions
(available as arXiv preprint) | N/A | Paper |
