Jan Palczewski

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Person:319241

Available identifiers

zbMath Open palczewski.janDBLP20/8806WikidataQ57134667 ScholiaQ57134667MaRDI QIDQ319241

List of research outcomes





PublicationDate of PublicationType
Stopper vs. singular controller games with degenerate diffusions2025-01-06Paper
On the solution uniqueness in portfolio optimization and risk analysis2024-12-06Paper
Zero-sum stopper versus singular-controller games with constrained control directions2024-07-23Paper
The American put with finite‐time maturity and stochastic interest rate2023-09-28Paper
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space2023-09-20Paper
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions2023-06-22Paper
Automatic model training under restrictive time constraints2022-12-20Paper
On the value of non-Markovian Dynkin games with partial and asymmetric information2022-09-05Paper
Optimal Hedging of a Perpetual American Put with a Single Trade2021-09-08Paper
Statistical learning for probability-constrained stochastic optimal control2021-06-03Paper
Book Reviews2020-02-17Paper
Black-Litterman model for continuous distributions2018-11-19Paper
Itchy feet vs cool heads: flow of funds in an agent-based financial market2018-08-10Paper
Real option valuation for reserve capacity2018-05-24Paper
Regress-Later Monte Carlo for optimal control of Markov processes2017-12-27Paper
Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case2017-05-24Paper
Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy2017-03-19Paper
https://portal.mardi4nfdi.de/entity/Q29587282017-02-03Paper
Energy imbalance market call options and the valuation of storage2016-10-17Paper
Dynamic portfolio optimization with transaction costs and state-dependent drift2016-10-06Paper
Undiscounted optimal stopping with unbounded rewards2016-07-20Paper
Theoretical and empirical estimates of mean-variance portfolio sensitivity2015-02-03Paper
Investment strategies and compensation of a mean-variance optimizing fund manager2015-02-03Paper
Infinite horizon stopping problems with (nearly) total reward criteria2014-10-06Paper
Stopping of functionals with discontinuity at the boundary of an open set2011-10-10Paper
Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay2011-03-21Paper
From discrete to continuous time evolutionary finance models2010-04-22Paper
Market selection of constant proportions investment strategies in continuous time2010-03-01Paper
Maximization of the portfolio growth rate under fixed and proportional transaction costs2008-08-14Paper
Growth-optimal portfolios under transaction costs2008-05-16Paper
Impulsive control of portfolios2007-10-10Paper
https://portal.mardi4nfdi.de/entity/Q52902202006-04-28Paper
Arbitrage and pricing in a general model with flows2004-11-29Paper

Research outcomes over time

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