Jan Palczewski

Available identifiers

zbMath Open palczewski.janDBLP20/8806WikidataQ57134667 ScholiaQ57134667MaRDI QIDQ319241

List of research outcomes

Publication	Date of Publication	Type
Stopper vs. singular controller games with degenerate diffusions	2025-01-06	Paper
On the solution uniqueness in portfolio optimization and risk analysis	2024-12-06	Paper
Zero-sum stopper versus singular-controller games with constrained control directions	2024-07-23	Paper
The American put with finite‐time maturity and stochastic interest rate	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	2023-06-22	Paper
Automatic model training under restrictive time constraints	2022-12-20	Paper
On the value of non-Markovian Dynkin games with partial and asymmetric information	2022-09-05	Paper
Optimal Hedging of a Perpetual American Put with a Single Trade	2021-09-08	Paper
Statistical learning for probability-constrained stochastic optimal control	2021-06-03	Paper
Book Reviews	2020-02-17	Paper
Black-Litterman model for continuous distributions	2018-11-19	Paper
Itchy feet vs cool heads: flow of funds in an agent-based financial market	2018-08-10	Paper
Real option valuation for reserve capacity	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	2017-05-24	Paper
Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy	2017-03-19	Paper
https://portal.mardi4nfdi.de/entity/Q2958728	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	2016-10-06	Paper
Undiscounted optimal stopping with unbounded rewards	2016-07-20	Paper
Theoretical and empirical estimates of mean-variance portfolio sensitivity	2015-02-03	Paper
Investment strategies and compensation of a mean-variance optimizing fund manager	2015-02-03	Paper
Infinite horizon stopping problems with (nearly) total reward criteria	2014-10-06	Paper
Stopping of functionals with discontinuity at the boundary of an open set	2011-10-10	Paper
Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay	2011-03-21	Paper
From discrete to continuous time evolutionary finance models	2010-04-22	Paper
Market selection of constant proportions investment strategies in continuous time	2010-03-01	Paper
Maximization of the portfolio growth rate under fixed and proportional transaction costs	2008-08-14	Paper
Growth-optimal portfolios under transaction costs	2008-05-16	Paper
Impulsive control of portfolios	2007-10-10	Paper
https://portal.mardi4nfdi.de/entity/Q5290220	2006-04-28	Paper
Arbitrage and pricing in a general model with flows	2004-11-29	Paper

Research outcomes over time

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