| Publication | Date of Publication | Type |
|---|
Hiring and firing -- a signaling game
Journal of Applied Probability | 2026-01-02 | Paper |
A detection problem with a monotone observation rate
Stochastic Processes and their Applications | 2024-05-06 | Paper |
Monotonicity of implied volatility for perpetual put options
Journal of Applied Probability | 2024-02-23 | Paper |
The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
SIAM Journal on Control and Optimization | 2024-01-19 | Paper |
The de Finetti Problem with Uncertain Competition
SIAM Journal on Control and Optimization | 2023-10-26 | Paper |
| scientific article; zbMATH DE number 7703284 (Why is no real title available?) | 2023-06-27 | Paper |
De Finetti's control problem with competition
Applied Mathematics and Optimization | 2023-01-31 | Paper |
A sequential estimation problem with control and discretionary stopping
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
Multi-dimensional sequential testing and detection
Stochastics | 2022-08-03 | Paper |
Disorder detection with costly observations
Journal of Applied Probability | 2022-07-08 | Paper |
| Stopping problems with an unknown state | 2022-06-22 | Paper |
Bayesian sequential composite hypothesis testing in discrete time
ESAIM: Probability and Statistics | 2022-05-27 | Paper |
Dynkin games with incomplete and asymmetric information
Mathematics of Operations Research | 2022-05-17 | Paper |
| The de Finetti problem with unknown competition | 2022-04-14 | Paper |
How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition
SIAM Journal on Control and Optimization | 2022-03-01 | Paper |
Bayesian sequential least-squares estimation for the drift of a Wiener process
Stochastic Processes and their Applications | 2022-02-11 | Paper |
Auctions with an Invitation Cost
International Game Theory Review | 2021-11-30 | Paper |
De Finetti's control problem with competition
(available as arXiv preprint) | 2021-06-09 | Paper |
Playing with ghosts in a Dynkin game
Stochastic Processes and their Applications | 2020-09-03 | Paper |
A renewal theory approach to two-state switching problems with infinite values
Journal of Applied Probability | 2020-05-12 | Paper |
Optimal stopping of a Brownian bridge with an unknown pinning point
Stochastic Processes and their Applications | 2020-01-24 | Paper |
American options and incomplete information
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
Monotonicity and robustness in Wiener disorder detection
Sequential Analysis | 2019-05-28 | Paper |
Density symmetries for a class of 2-D diffusions with applications to finance
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Density symmetries for a class of 2-D diffusions with applications to finance
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Dynkin games with heterogeneous beliefs
Journal of Applied Probability | 2018-09-26 | Paper |
Sequential testing of a Wiener process with costly observations
Sequential Analysis | 2018-05-03 | Paper |
The dividend problem with a finite horizon
The Annals of Applied Probability | 2018-03-08 | Paper |
The dividend problem with a finite horizon
The Annals of Applied Probability | 2018-03-08 | Paper |
Comparison of two methods for superreplication
Applied Mathematical Finance | 2017-10-05 | Paper |
The inverse first-passage problem and optimal stopping
The Annals of Applied Probability | 2016-12-09 | Paper |
Momentum liquidation under partial information
Journal of Applied Probability | 2016-08-11 | Paper |
Momentum liquidation under partial information
Journal of Applied Probability | 2016-08-11 | Paper |
Optimal liquidation of an asset under drift uncertainty
SIAM Journal on Financial Mathematics | 2016-06-15 | Paper |
Bayesian sequential testing of the drift of a Brownian motion
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2016-02-12 | Paper |
Feynman-Kac theorems for generalized diffusions
Transactions of the American Mathematical Society | 2015-09-08 | Paper |
Short-time implied volatility in exponential Lévy models
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
The optimal dividend problem in the dual model
Advances in Applied Probability | 2014-09-25 | Paper |
Pricing equations in jump-to-default models
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Numerical option pricing in the presence of bubbles
Quantitative Finance | 2013-06-27 | Paper |
Optimal closing of a momentum trade
Journal of Applied Probability | 2013-06-26 | Paper |
Can time-homogeneous diffusions produce any distribution?
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-05-13 | Paper |
Dupire's equation for bubbles
International Journal of Theoretical and Applied Finance | 2012-11-22 | Paper |
Optimal selling of an asset under incomplete information
International Journal of Stochastic Analysis | 2012-01-03 | Paper |
Optimal liquidation of a pairs trade
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Recovering a time-homogeneous stock price process from perpetual option prices
The Annals of Applied Probability | 2011-07-19 | Paper |
Boundary conditions for the single-factor term structure equation
The Annals of Applied Probability | 2011-02-21 | Paper |
Optimal liquidation of a call spread
Journal of Applied Probability | 2010-07-20 | Paper |
The Black-Scholes equation in stochastic volatility models
Journal of Mathematical Analysis and Applications | 2010-05-26 | Paper |
Boundary values and finite difference methods for the single factor term structure equation
Applied Mathematical Finance | 2009-12-16 | Paper |
Bubbles, convexity and the Black-Scholes equation
The Annals of Applied Probability | 2009-08-27 | Paper |
Optimal Stopping of a Brownian Bridge
Journal of Applied Probability | 2009-04-14 | Paper |
Optimal Stopping Games for Markov Processes
SIAM Journal on Control and Optimization | 2009-03-27 | Paper |
A boundary point lemma for Black-Scholes type operators
Communications on Pure and Applied Analysis | 2008-03-06 | Paper |
PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
Mathematical Finance | 2007-11-21 | Paper |
Bounds for perpetual American option prices in a jump diffusion model
Journal of Applied Probability | 2007-08-23 | Paper |
Properties of game options
Mathematical Methods of Operations Research | 2007-05-31 | Paper |
Convexity preserving jump-diffusion models for option pricing
Journal of Mathematical Analysis and Applications | 2007-04-10 | Paper |
On the value of optimal stopping games
The Annals of Applied Probability | 2007-02-05 | Paper |
The American put is log-concave in the log-price
Journal of Mathematical Analysis and Applications | 2006-01-10 | Paper |
Superreplication of Options on Several Underlying Assets
Journal of Applied Probability | 2005-08-25 | Paper |
Properties of American option prices
Stochastic Processes and their Applications | 2005-08-05 | Paper |
OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS
International Journal of Theoretical and Applied Finance | 2005-03-30 | Paper |
Convexity of the optimal stopping boundary for the American put option
Journal of Mathematical Analysis and Applications | 2005-03-08 | Paper |
Russian options with a finite time horizon
Journal of Applied Probability | 2004-09-24 | Paper |
Perpetual American put options in a level-dependent volatility model
Journal of Applied Probability | 2004-05-18 | Paper |
