| Publication | Date of Publication | Type |
|---|
Stopper vs. singular controller games with degenerate diffusions
Applied Mathematics and Optimization | 2025-01-06 | Paper |
On the solution uniqueness in portfolio optimization and risk analysis
International Journal of Theoretical and Applied Finance | 2024-12-06 | Paper |
Zero-sum stopper versus singular-controller games with constrained control directions
SIAM Journal on Control and Optimization | 2024-07-23 | Paper |
The American put with finite‐time maturity and stochastic interest rate
Mathematical Finance | 2023-09-28 | Paper |
| Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space | 2023-09-20 | Paper |
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
SIAM Journal on Control and Optimization | 2023-06-22 | Paper |
Automatic model training under restrictive time constraints
Statistics and Computing | 2022-12-20 | Paper |
On the value of non-Markovian Dynkin games with partial and asymmetric information
The Annals of Applied Probability | 2022-09-05 | Paper |
Optimal hedging of a perpetual American put with a single trade
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
Statistical learning for probability-constrained stochastic optimal control
European Journal of Operational Research | 2021-06-03 | Paper |
Book Reviews
SIAM Review | 2020-02-17 | Paper |
Black-Litterman model for continuous distributions
European Journal of Operational Research | 2018-11-19 | Paper |
Itchy feet vs cool heads: flow of funds in an agent-based financial market
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Real option valuation for reserve capacity
European Journal of Operational Research | 2018-05-24 | Paper |
| Regress-Later Monte Carlo for optimal control of Markov processes | 2017-12-27 | Paper |
Impulse control maximizing average cost per unit time: a nonuniformly ergodic case
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
| Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy | 2017-03-19 | Paper |
| Asymptotics of Monte Carlo maximum likelihood estimators | 2017-02-03 | Paper |
Asymptotics of Monte Carlo maximum likelihood estimators
(available as arXiv preprint) | 2017-02-03 | Paper |
| Energy imbalance market call options and the valuation of storage | 2016-10-17 | Paper |
Dynamic portfolio optimization with transaction costs and state-dependent drift
European Journal of Operational Research | 2016-10-06 | Paper |
| Undiscounted optimal stopping with unbounded rewards | 2016-07-20 | Paper |
Theoretical and empirical estimates of mean-variance portfolio sensitivity
European Journal of Operational Research | 2015-02-03 | Paper |
Investment strategies and compensation of a mean-variance optimizing fund manager
European Journal of Operational Research | 2015-02-03 | Paper |
Infinite horizon stopping problems with (nearly) total reward criteria
Stochastic Processes and their Applications | 2014-10-06 | Paper |
Stopping of functionals with discontinuity at the boundary of an open set
Stochastic Processes and their Applications | 2011-10-10 | Paper |
Stopping of functionals with discontinuity at the boundary of an open set
Stochastic Processes and their Applications | 2011-10-10 | Paper |
Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
SIAM Journal on Control and Optimization | 2011-03-21 | Paper |
From discrete to continuous time evolutionary finance models
Journal of Economic Dynamics and Control | 2010-04-22 | Paper |
Market selection of constant proportions investment strategies in continuous time
Journal of Mathematical Economics | 2010-03-01 | Paper |
Maximization of the portfolio growth rate under fixed and proportional transaction costs
Communications in Information and Systems | 2008-08-14 | Paper |
Growth-optimal portfolios under transaction costs
Applicationes Mathematicae | 2008-05-16 | Paper |
Impulsive control of portfolios
Applied Mathematics and Optimization | 2007-10-10 | Paper |
| Portfolio diversification with Markovian prices | 2006-04-28 | Paper |
Arbitrage and pricing in a general model with flows
Applicationes Mathematicae | 2004-11-29 | Paper |
