| Publication | Date of Publication | Type |
|---|
| Pairs trading under a mean reversion model with regime switching | 2025-01-22 | Paper |
| Pairs trading under GBM with reversible positions | 2025-01-14 | Paper |
| A constrained stochastic control problem with application to an illiquid stock position build-up | 2024-07-05 | Paper |
| Pairs trading under geometric Brownian motions with regime switching | 2024-06-11 | Paper |
| Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions | 2023-10-24 | Paper |
| Deep Filtering With Adaptive Learning Rates | 2023-10-02 | Paper |
| Product of Rankin-Selberg convolutions and a new proof of Jacquet's local converse conjecture | 2023-09-19 | Paper |
| On a refined local converse theorem for SO(4) | 2023-02-13 | Paper |
| Pairs Trading under Geometric Brownian Motion Models | 2022-11-15 | Paper |
| Filtering with degenerate observation noise: a stochastic approximation approach | 2022-07-05 | Paper |
| The Dynkin game with regime switching and applications to pricing game options | 2022-07-05 | Paper |
| An optimal pricing policy under a Markov chain model | 2022-05-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5072165 | 2022-04-25 | Paper |
| Liquidation of a large block stock under a Markov chain model | 2021-12-17 | Paper |
| Deep filtering | 2021-08-06 | Paper |
| Pairs trading: an optimal selling rule under a regime switching model | 2021-05-20 | Paper |
| Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses | 2020-03-24 | Paper |
| Pollution control for switching diffusion models: approximation methods and numerical results | 2019-08-28 | Paper |
| Switching between a pair of stocks: an optimal trading rule | 2019-07-03 | Paper |
| Valuation of stock loans under a Markov chain model | 2019-05-23 | Paper |
| An optimal strategy for pairs trading under geometric Brownian motions | 2018-11-27 | Paper |
| Optimal switching under a hybrid diffusion model and applications to stock trading | 2018-10-17 | Paper |
| Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods | 2018-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3132174 | 2018-01-29 | Paper |
| Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications | 2017-11-16 | Paper |
| Continuous-time tracking algorithms involving two-time-scale Markov chains | 2017-09-20 | Paper |
| Optimal selling rules in a regime switching model | 2017-07-12 | Paper |
| An optimal mean-reversion trading rule under a Markov chain model | 2016-10-12 | Paper |
| Optimal trend following trading rules | 2016-05-19 | Paper |
| Mean-variance type controls involving a hidden Markov chain: models and numerical approximation | 2016-01-22 | Paper |
| Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation | 2015-08-20 | Paper |
| An optimal pairs-trading rule | 2015-06-25 | Paper |
| Asset allocation for regime-switching market models under partial observation | 2014-11-10 | Paper |
| Explicit solutions for an optimal stock selling problem under a Markov chain model | 2014-08-26 | Paper |
| Trading a mean-reverting asset: buy low and sell high | 2014-03-19 | Paper |
| Weak convergence methods for approximation of the evaluation of path-dependent functionals | 2014-01-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925759 | 2013-06-12 | Paper |
| Discrete-time approximation of Wonham filters | 2013-04-10 | Paper |
| Optimal trend-following trading rules under a three-state regime switching model | 2012-09-03 | Paper |
| Continuous-time Markov chains and applications. A two-time-scale approach | 2012-06-04 | Paper |
| Optimal decision for selling an illiquid stock | 2012-01-12 | Paper |
| Large Deviations for Two-Time-Scale Systems Driven by Nonhomogeneous Markov Chains and Associated Optimal Control Problems | 2011-11-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3172265 | 2011-10-05 | Paper |
| LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING | 2011-06-09 | Paper |
| A trend-following strategy: conditions for optimality | 2011-05-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3069287 | 2011-01-25 | Paper |
| A stochastic approximation algorithm for option pricing model calibration with a switchable market | 2011-01-20 | Paper |
| An optimal trading rule of a mean-reverting asset | 2011-01-17 | Paper |
| Trend Following Trading under a Regime Switching Model | 2010-11-10 | Paper |
| Stock loan valuation under a regime-switching model with mean-reverting and finite maturity | 2010-11-03 | Paper |
| A Fluid Flow Model for Empty Container Repositioning Policy with a Single Port and Stochastic Demand | 2010-10-20 | Paper |
| Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model | 2009-06-22 | Paper |
| Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies | 2009-06-17 | Paper |
| Balanced realizations of regime-switching linear systems | 2009-02-09 | Paper |
| Two-Time-Scale Approximation for Wonham Filters | 2008-12-21 | Paper |
| Option pricing in a regime-switching model using the fast Fourier transform | 2008-08-15 | Paper |
| Selling a large stock position: a stochastic control approach with state constraints | 2008-08-14 | Paper |
| A Two-Time-Scale Approach for Production Planning in Discrete Time | 2007-10-24 | Paper |
| Computational methods for pricing American put options | 2006-11-06 | Paper |
| Optimal stock liquidation in a regime switching model with finite time horizon | 2006-07-20 | Paper |
| Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers | 2006-04-06 | Paper |
| A Near-Optimal Selling Rule for a Two-Time-Scale Market Model | 2005-10-06 | Paper |
| Near optimization of stochastic dynamic systems by decomposition and aggregation | 2005-09-21 | Paper |
| Optimal production rates in a deterministic two-product manufacturing system | 2005-09-21 | Paper |
| Average-cost control of stochastic manufacturing systems. | 2005-06-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159212 | 2005-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160523 | 2005-02-09 | Paper |
| Nearly-optimal asset allocation in hybrid stock investment models. | 2005-01-11 | Paper |
| Discrete-Time Markov Chains | 2004-12-22 | Paper |
| Closed-Form Solutions for Perpetual American Put Options with Regime Switching | 2004-12-13 | Paper |
| Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. | 2004-10-27 | Paper |
| Discrete-time dynamic systems arising from singularly perturbed Markov chains. | 2004-08-26 | Paper |
| Exponential bounds for discrete-time singularly perturbed Markov chains | 2004-08-06 | Paper |
| Control of singularly perturbed Markov chains: A numerical study | 2004-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438219 | 2004-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407571 | 2004-02-20 | Paper |
| Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit | 2004-02-11 | Paper |
| Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains | 2003-10-27 | Paper |
| Stability of Markov modulated discrete-time dynamic systems. | 2003-10-14 | Paper |
| Constrained stochastic estimation algorithms for a class of hybrid stock market models | 2003-09-15 | Paper |
| NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS | 2003-06-01 | Paper |
| Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion | 2003-05-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4793188 | 2003-03-24 | Paper |
| Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach | 2003-01-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407572 | 2003-01-01 | Paper |
| Multi-time scales in singularly perturbed forward equations for continuous-time Markov chains | 2002-10-24 | Paper |
| Stochastic manufacturing systems: A hierarchical control approach | 2002-10-17 | Paper |
| Hierarchical production control in dynamic stochastic jobshops with long-run average cost | 2002-09-22 | Paper |
| Nearly optimal control of singularly perturbed Markov decision processes in discrete time | 2002-08-25 | Paper |
| Singularly perturbed Markov decision processes with inclusion of transient states. | 2002-07-30 | Paper |
| Optimal control of a marketing-production system | 2002-07-21 | Paper |
| Random-direction optimization algorithms with applications to threshold controls | 2002-04-23 | Paper |
| Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438229 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438194 | 2002-01-01 | Paper |
| Error bounds for occupation measure of singularly perturbed Markov chains including transient states | 2001-11-07 | Paper |
| Hierarchical production control in a stochastic \(N\)-machine flowshop with limited buffers | 2001-09-23 | Paper |
| Stock trading: an optimal selling rule | 2001-06-21 | Paper |
| Occupation measures of singularly perturbed Markov chains with absorbing states | 2001-03-28 | Paper |
| Singularly perturbed Markov chains: Convergence and aggregation | 2000-12-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4261578 | 2000-10-22 | Paper |
| Singularly Perturbed Discrete-Time Markov Chains | 2000-10-18 | Paper |
| Adaptive control of stochastic manufacturing systems with hidden Markovian demands and small noise | 2000-10-17 | Paper |
| On nearly optimal controls of hybrid LQG problems | 2000-10-17 | Paper |
| Hybrid filtering for linear systems with non-Gaussian disturbances | 2000-10-17 | Paper |
| Near optimization of dynamic systems by decomposition and aggregation | 2000-07-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4247176 | 2000-01-13 | Paper |
| Hierarchical production control in a stochastic \(N\)-machine flowshop with long-run average cost. | 2000-01-01 | Paper |
| MINIMUM AVERAGE COST PRODUCTION PLANNING IN STOCHASTIC MANUFACTURING SYSTEMS | 1999-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4265503 | 1999-10-18 | Paper |
| Optimal filtering of discrete-time hybrid systems | 1999-09-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227997 | 1999-04-11 | Paper |
| Structural properties of Markov chains with weak and strong interactions | 1999-01-14 | Paper |
| Asymptotically optimal controls of hybrid LQG problems: Summary of results. | 1999-01-01 | Paper |
| Risk-Sensitive Production Planning of a Stochastic Manufacturing System | 1998-09-21 | Paper |
| Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise | 1998-09-21 | Paper |
| Producing in a manufacturing system with minimum average cost | 1998-09-07 | Paper |
| Controlled Markov chains with weak and strong interactions: Asymptotic optimality and applications to manufacturing | 1998-04-19 | Paper |
| Hierarchical production control in a stochastic manufacturing system with long-run average cost | 1998-03-24 | Paper |
| Markov chains with weak and strong interactions: Structural properties | 1998-03-05 | Paper |
| Control of dynamic systems under the influence of singularly perturbed Markov chains | 1998-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4375487 | 1998-02-05 | Paper |
| A numerical method in optimal production and setup scheduling of stochastic manufacturing systems | 1997-12-04 | Paper |
| Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions | 1997-09-02 | Paper |
| Optimal production planning in a stochastic manufacturing system with long-run average cost | 1997-08-25 | Paper |
| Finite state markovian decision processes with weak and strong interactions | 1997-08-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688271 | 1997-03-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688234 | 1997-03-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4887267 | 1997-01-19 | Paper |
| A central limit theorem for singularly perturbed nonstationary finite state Markov chains | 1997-01-14 | Paper |
| Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains | 1996-11-14 | Paper |
| Turnpike sets in stochastic manufacturing systems with finite time horizon | 1996-10-13 | Paper |
| Robust production and maintenance planning in stochastic manufacturing systems | 1996-05-13 | Paper |
| Minimax production planning in failure-prone manufacturing systems | 1996-02-06 | Paper |
| Hierarchical production and setup scheduling in stochastic manufacturing systems | 1996-01-30 | Paper |
| Multilevel Hierarchical Decision Making in Stochastic Marketing–Production Systems | 1995-11-27 | Paper |
| Optimal feedback production planning in a stochastic \(N\)-machine flowshop | 1995-11-26 | Paper |
| Asymptotic optimal controls in stochastic manufacturing systems with machine failures dependent on production rates | 1995-10-18 | Paper |
| Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach | 1995-05-11 | Paper |
| An asymptotic analysis of controlled diffusions with rapidly oscillating parameters | 1995-02-06 | Paper |
| Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance | 1994-09-29 | Paper |
| Hierarchical production planning in dynamic stochastic manufacturing systems: Asymptotic optimality and error bounds | 1994-06-16 | Paper |
| Near optimality of stochastic control in systems with unknown parameter processes | 1994-05-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140712 | 1993-12-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140718 | 1993-11-28 | Paper |
| Discrete-time stochastic adaptive control with small observation noise | 1992-08-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3974814 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3973608 | 1992-06-26 | Paper |
| Stochastic adaptive control with small observation noise | 1992-06-25 | Paper |
| Controlled partially observed diffusions with correlated noise | 1990-01-01 | Paper |
| A note on a nonlinear semigroup for controlled partially observed diffusions | 1988-01-01 | Paper |
