| Publication | Date of Publication | Type |
|---|
Optimal transport and Wasserstein distances for causal models
Bernoulli | 2025-02-25 | Paper |
Gradient descent provably escapes saddle points in the training of shallow ReLU networks
Journal of Optimization Theory and Applications | 2024-12-27 | Paper |
An efficient Monte Carlo scheme for Zakai equations
Communications in Nonlinear Science and Numerical Simulation | 2023-11-01 | Paper |
| Efficient Sobolev approximation of linear parabolic PDEs in high dimensions | 2023-06-29 | Paper |
Computation of conditional expectations with guarantees
Journal of Scientific Computing | 2023-06-20 | Paper |
Landscape analysis for shallow neural networks: complete classification of critical points for affine target functions
Journal of Nonlinear Science | 2022-07-18 | Paper |
A proof of convergence for gradient descent in the training of artificial neural networks for constant target functions
Journal of Complexity | 2022-06-17 | Paper |
| Deep neural network approximation theory for high-dimensional functions | 2021-12-29 | Paper |
Solving high-dimensional optimal stopping problems using deep learning
European Journal of Applied Mathematics | 2021-12-08 | Paper |
Representation of increasing convex functionals with countably additive measures
Studia Mathematica | 2021-09-20 | Paper |
Deep splitting method for parabolic PDEs
SIAM Journal on Scientific Computing | 2021-09-15 | Paper |
Non-convergence of stochastic gradient descent in the training of deep neural networks
Journal of Complexity | 2021-06-22 | Paper |
Martingale optimal transport duality
Mathematische Annalen | 2021-04-20 | Paper |
On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
Journal de l’École polytechnique — Mathématiques | 2021-02-26 | Paper |
| High-dimensional approximation spaces of artificial neural networks and applications to partial differential equations | 2020-12-08 | Paper |
| Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems | 2020-12-02 | Paper |
| Efficient approximation of high-dimensional functions with neural networks | 2019-12-09 | Paper |
| Deep optimal stopping | 2019-06-07 | Paper |
Deep optimal stopping
(available as arXiv preprint) | 2019-06-07 | Paper |
Robust expected utility maximization with medial limits
Journal of Mathematical Analysis and Applications | 2018-12-20 | Paper |
Optimal trade execution under stochastic volatility and liquidity
Applied Mathematical Finance | 2018-09-11 | Paper |
Duality Formulas for Robust Pricing and Hedging in Discrete Time
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
BSE's, BSDE's and fixed-point problems
The Annals of Probability | 2018-02-14 | Paper |
BSE's, BSDE's and fixed-point problems
The Annals of Probability | 2018-02-14 | Paper |
| BSDE formulation of combined regular and singular stochastic control problems | 2018-01-10 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
Banach Journal of Mathematical Analysis | 2016-12-21 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
Banach Journal of Mathematical Analysis | 2016-12-21 | Paper |
Conditional analysis on \(\mathbb R^d\)
Springer Proceedings in Mathematics & Statistics | 2016-05-13 | Paper |
Multidimensional quadratic and subquadratic BSDEs with special structure
Stochastics | 2016-04-27 | Paper |
Equilibrium pricing in incomplete markets under translation invariant preferences
Mathematics of Operations Research | 2016-04-15 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
(available as arXiv preprint) | 2015-09-29 | Paper |
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Economics Letters | 2014-08-07 | Paper |
BSDEs with terminal conditions that have bounded Malliavin derivative
Journal of Functional Analysis | 2014-06-03 | Paper |
BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
Bernoulli | 2013-08-16 | Paper |
BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
Bernoulli | 2013-08-16 | Paper |
Weak closedness of monotone sets of lotteries and robust representation of risk preferences
EAA Series | 2013-07-30 | Paper |
Processes of class Sigma, last passage times, and drawdowns
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Pricing and hedging in affine models with possibility of default
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Recursiveness of indifference prices and translation-invariant preferences
Mathematics and Financial Economics | 2013-01-20 | Paper |
Existence, minimality and approximation of solutions to BSDEs with convex drivers
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Optimal consumption and investment in incomplete markets with general constraints
Stochastics and Dynamics | 2011-10-11 | Paper |
Composition of time-consistent dynamic monetary risk measures in discrete time
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
A note on the Dai-Singleton canonical representation of affine term structure models
Mathematical Finance | 2010-08-03 | Paper |
Dual characterization of properties of risk measures on Orlicz hearts
Mathematics and Financial Economics | 2009-09-18 | Paper |
RISK MEASURES ON ORLICZ HEARTS
Mathematical Finance | 2009-08-28 | Paper |
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
Communications on Pure and Applied Mathematics | 2007-06-11 | Paper |
Erratum: Coherent and convex risk measures for unbounded càdlàg processes
Finance and Stochastics | 2006-12-08 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
Small time path behavior of double stochastic integrals and applications to stochastic control
The Annals of Applied Probability | 2006-07-10 | Paper |
Coherent and convex monetary risk measures for unbounded càdlàg processes.
Finance and Stochastics | 2006-05-24 | Paper |
Utility maximization under increasing risk aversion in one-period models
Finance and Stochastics | 2006-05-24 | Paper |
The multi-dimensional super-replication problem under gamma constraints
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2005-12-07 | Paper |
The multi-dimensional super-replication problem under gamma constraints
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2005-12-07 | Paper |
The multi-dimensional super-replication problem under gamma constraints
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2005-12-07 | Paper |
Gaussian moving averages, semimartingales and option pricing.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-11-22 | Paper |
Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-11-22 | Paper |
Equivalent and absolutely continuous measure changes for jump-diffusion processes
The Annals of Applied Probability | 2005-11-08 | Paper |
Coherent and convex monetary risk measures for bounded càdlàg processes
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Fractional {O}rnstein-{U}hlenbeck processes
Electronic Journal of Probability | 2005-03-08 | Paper |
Fractional {O}rnstein-{U}hlenbeck processes
Electronic Journal of Probability | 2005-03-08 | Paper |
Arbitrage in fractional Brownian motion models
Finance and Stochastics | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 2050984 (Why is no real title available?) | 2004-03-07 | Paper |
| scientific article; zbMATH DE number 1897420 (Why is no real title available?) | 2003-04-27 | Paper |
Mixed fractional Brownian motion
Bernoulli | 2003-02-19 | Paper |
