| Publication | Date of Publication | Type |
|---|
| Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems | 2023-12-11 | Paper |
| Multivariate systemic risk measures and computation by deep learning algorithms | 2023-11-07 | Paper |
| Optimal investment with correlated stochastic volatility factors | 2023-09-28 | Paper |
| Systemic risk models for disjoint and overlapping groups with equilibrium strategies | 2023-01-19 | Paper |
| Optimal Trading with Signals and Stochastic Price Impact | 2022-08-22 | Paper |
| Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game | 2022-07-07 | Paper |
| Unified reinforcement Q-learning for mean field game and control problems | 2022-07-05 | Paper |
| Reinforcement Learning Algorithm for Mixed Mean Field Control Games | 2022-05-04 | Paper |
| Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets | 2022-02-15 | Paper |
| Systemic optimal risk transfer equilibrium | 2021-05-05 | Paper |
| McMC estimation of multiscale stochastic volatility models with applications | 2021-02-18 | Paper |
| Probabilistic Theory of Mean Field Games, Volumes I & II | 2021-02-11 | Paper |
| Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment | 2021-02-09 | Paper |
| Linear-Quadratic Stochastic Differential Games on Random Directed Networks | 2020-11-05 | Paper |
| Directed chain stochastic differential equations | 2020-04-07 | Paper |
| On fairness of systemic risk measures | 2020-03-25 | Paper |
| Linear-Quadratic Stochastic Differential Games on Directed Chain Networks | 2020-03-19 | Paper |
| Optimal portfolio under fractional stochastic environment | 2019-10-31 | Paper |
| A unified approach to systemic risk measures via acceptance sets | 2019-05-08 | Paper |
| Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment | 2019-05-08 | Paper |
| Deep Learning Methods for Mean Field Control Problems with Delay | 2019-05-01 | Paper |
| Uncertain Volatility Models with Stochastic Bounds | 2019-03-20 | Paper |
| Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models | 2019-01-15 | Paper |
| Pricing Asian options with stochastic volatility | 2019-01-14 | Paper |
| Variance reduction for Monte Carlo simulation in a stochastic volatility environment | 2019-01-14 | Paper |
| Systemic risk and stochastic games with delay | 2018-11-27 | Paper |
| Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options | 2018-11-14 | Paper |
| Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment | 2018-08-10 | Paper |
| Mean Field Game with Delay: a Toy Model | 2018-07-12 | Paper |
| PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS | 2017-07-21 | Paper |
| Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment | 2017-06-23 | Paper |
| Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions | 2017-05-24 | Paper |
| Portfolio optimization with ambiguous correlation and stochastic volatilities | 2016-09-14 | Paper |
| Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration | 2016-09-07 | Paper |
| Mean field games and systemic risk | 2015-06-12 | Paper |
| Filtering and portfolio optimization with stochastic unobserved drift in asset returns | 2015-06-12 | Paper |
| MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES | 2015-01-21 | Paper |
| Approximation for Option Prices under Uncertain Volatility | 2015-01-20 | Paper |
| Option pricing under a stressed-beta model | 2014-11-12 | Paper |
| Option pricing under hybrid stochastic and local volatility | 2014-02-20 | Paper |
| Stability in a model of interbank lending | 2014-01-23 | Paper |
| Small-time asymptotics for fast mean-reverting stochastic volatility models | 2012-09-19 | Paper |
| Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models | 2012-04-19 | Paper |
| Time reversal super resolution in randomly layered media | 2012-02-11 | Paper |
| Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives | 2011-10-27 | Paper |
| Diversity and arbitrage in a regulatory breakup model | 2011-08-25 | Paper |
| Calibration of Stock Betas from Skews of Implied Volatilities | 2011-06-03 | Paper |
| A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model | 2011-05-02 | Paper |
| Time-reversal refocusing for point source in randomly layered media | 2010-07-01 | Paper |
| Bond markets with stochastic volatility | 2010-06-30 | Paper |
| Perturbed Gaussian copula | 2010-06-30 | Paper |
| Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model | 2010-06-01 | Paper |
| Interaction particle systems for the computation of rare credit portfolio losses | 2010-04-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656123 | 2010-01-13 | Paper |
| Multiname and Multiscale Default Modeling | 2009-12-21 | Paper |
| Asymmetric Variance Reduction for Pricing American Options | 2009-06-05 | Paper |
| Financial modeling in a fast mean-reverting stochastic volatility environment | 2009-04-15 | Paper |
| MEAN-REVERTING STOCHASTIC VOLATILITY | 2008-09-03 | Paper |
| FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES | 2008-09-03 | Paper |
| A martingale control variate method for option pricing with stochastic volatility | 2007-11-30 | Paper |
| Wave propagation and time reversal in randomly layered media. | 2007-09-20 | Paper |
| Stochastic Volatility Effects on Defaultable Bonds | 2007-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5482363 | 2006-08-28 | Paper |
| Time reversal detection in one-dimensional random media | 2006-07-13 | Paper |
| Robustness of time reversal for waves in time-dependent random media | 2005-08-05 | Paper |
| Time-reversal simulations for detection in randomly layered media | 2005-07-26 | Paper |
| Maturity cycles in implied volatility | 2005-05-20 | Paper |
| Multiscale Stochastic Volatility Asymptotics | 2005-03-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160502 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3154981 | 2005-01-14 | Paper |
| Time Reversal for Dispersive Waves in Random Media | 2004-12-13 | Paper |
| Shock structure due to stochastic forcing and the time reversal of nonlinear waves | 2004-11-23 | Paper |
| Stochastic Volatility Corrections for Interest Rate Derivatives | 2004-11-16 | Paper |
| Time-Reversal Aperture Enhancement | 2004-07-22 | Paper |
| Time-Reversed Refocusing of Surface Water Waves | 2004-03-17 | Paper |
| Singular Perturbations in Option Pricing | 2003-09-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741103 | 2001-09-09 | Paper |
| Spectral analysis of randomly scattered signals using the wavelet transform | 2001-08-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4499595 | 2000-11-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4509488 | 2000-10-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4257820 | 2000-05-10 | Paper |
| Forward and Markov approximation: the strong-intensity-fluctuations regime revisited | 1999-07-07 | Paper |
| A time-reversal method for an acoustical pulse propagating in randomly layered media | 1999-04-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4395344 | 1999-01-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4219085 | 1998-11-15 | Paper |
| Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media | 1998-09-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4341128 | 1997-07-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4718210 | 1997-05-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848505 | 1995-11-26 | Paper |
| Estimation of local power spectral densities for non-stationary signals using wavelet transform | 1995-09-04 | Paper |
| Spreading of a pulse travelling in random media | 1995-06-22 | Paper |
| Totally asymmetric attractive particle systems on \(\mathbb{Z}\): Hydrodynamic limit for general initial profiles | 1995-04-19 | Paper |
| A limit theorem for linear boundary value problems in random media | 1994-12-12 | Paper |
| A diffusion approximation result for two parameter processes | 1994-08-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3976822 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3357247 | 1991-01-01 | Paper |
| Hydrodynamical limit for the symmetric zero-range process | 1988-01-01 | Paper |
| Hydrodynamical limit for the asymmetric simple exclusion process | 1987-01-01 | Paper |
| La convergence en loi pour les processus à valeurs dans un espace nucléaire | 1984-01-01 | Paper |
| The past of a stopping point and stopping for two-parameter processes | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3924924 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3873258 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3873260 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3873261 | 1980-01-01 | Paper |
