| Publication | Date of Publication | Type |
|---|
Two sided ergodic singular control and mean-field game for diffusions
Decisions in Economics and Finance | 2025-08-25 | Paper |
Is learning in biological neural networks based on stochastic gradient descent? An analysis using stochastic processes
Neural Computation | 2025-05-21 | Paper |
Data-driven rules for multidimensional reflection problems
SIAM/ASA Journal on Uncertainty Quantification | 2024-11-28 | Paper |
Learning to reflect: a unifying approach for data-driven stochastic control strategies
Bernoulli | 2024-07-02 | Paper |
| Two sided ergodic singular control and mean field game for diffusions | 2023-06-15 | Paper |
Convergence of optimal investment problems in the vanishing fixed cost limit
SIAM Journal on Control and Optimization | 2022-09-29 | Paper |
A general method for finding the optimal threshold in discrete time
Stochastics | 2022-07-08 | Paper |
The monotone case approach for the solution of certain multidimensional optimal stopping problems
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Optimal portfolio selection under vanishing fixed transaction costs
Advances in Applied Probability | 2019-09-16 | Paper |
Impulse control and expected suprema
Advances in Applied Probability | 2019-09-16 | Paper |
On optimal stopping of multidimensional diffusions
Stochastic Processes and their Applications | 2019-06-28 | Paper |
Utility maximisation in a factor model with constant and proportional transaction costs
Finance and Stochastics | 2019-01-18 | Paper |
Multidimensional investment problem
Mathematics and Financial Economics | 2018-03-01 | Paper |
A general verification result for stochastic impulse control problems
SIAM Journal on Control and Optimization | 2017-03-17 | Paper |
Classification error in multiclass discrimination from Markov data
Statistical Inference for Stochastic Processes | 2016-10-21 | Paper |
Worst-case portfolio optimization in a market with bubbles
International Journal of Theoretical and Applied Finance | 2016-04-14 | Paper |
Convergence of switching diffusions
Stochastic Processes and their Applications | 2015-08-19 | Paper |
Resolvent-techniques for multiple exercise problems
Applied Mathematics and Optimization | 2015-04-21 | Paper |
Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci
Sequential Analysis | 2014-07-10 | Paper |
Worst-case optimal investment with a random number of crashes
Statistics & Probability Letters | 2014-06-11 | Paper |
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
Mathematical Finance | 2014-04-23 | Paper |
On the solution of general impulse control problems using superharmonic functions
Stochastic Processes and their Applications | 2014-02-06 | Paper |
On the distribution of random variables corresponding to Musielak-Orlicz norms
Studia Mathematica | 2013-12-16 | Paper |
American options with guarantee -- a class of two-sided stopping problems
Statistics & Risk Modeling | 2013-10-25 | Paper |
Optimal multiple stopping with random waiting times
Sequential Analysis | 2013-10-18 | Paper |
| Riesz representation and optimal stopping with two case studies | 2013-09-10 | Paper |
Optimal decision under ambiguity for diffusion processes
Mathematical Methods of Operations Research | 2013-08-02 | Paper |
Optimal stopping of strong Markov processes
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Generalized Fibonacci numbers and Blackwell's renewal theorem
Statistics & Probability Letters | 2012-09-18 | Paper |
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
Journal of Applied Probability | 2012-04-20 | Paper |
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
Journal of Applied Probability | 2012-04-20 | Paper |
| An Inversion Formula for Orlicz Norms and Sequences of Random Variables | 2012-04-05 | Paper |
A harmonic function technique for the optimal stopping of diffusions
Stochastics | 2012-01-03 | Paper |
An elementary approach to optimal stopping problems for AR(1) sequences
Sequential Analysis | 2011-03-21 | Paper |
A note on pasting conditions for the American perpetual optimal stopping problem
Statistics & Probability Letters | 2009-03-04 | Paper |
