| Publication | Date of Publication | Type |
|---|
Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion
Stochastics | 2024-12-03 | Paper |
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem
MCSS. Mathematics of Control, Signals, and Systems | 2023-10-12 | Paper |
An Alexandrov-Bakelman-Pucci estimate for an anisotropic Laplacian with positive drift in unbounded domains
Journal of Differential Equations | 2021-10-08 | Paper |
Ruin probability in a two-dimensional model with correlated Brownian motions
Scandinavian Actuarial Journal | 2021-07-21 | Paper |
Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
Bernoulli | 2021-07-09 | Paper |
On the gain of collaboration in a two dimensional ruin problem
European Actuarial Journal | 2020-03-06 | Paper |
A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant
Theory of Probability & Its Applications | 2020-02-17 | Paper |
Optimal control and the value of information for a stochastic epidemiological SIS-model
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Some notes on Sonine-Gegenbauer integrals
Integral Transforms and Special Functions | 2018-12-18 | Paper |
A two-dimensional dividend problem for collaborating companies and an optimal stopping problem
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Optimal consumption until ruin for an endowment described by an autonomous ODE for an infinite time horizon
Mathematics of Operations Research | 2016-08-10 | Paper |
An optimal consumption problem in finite time with a constraint on the ruin probability
Finance and Stochastics | 2015-11-09 | Paper |
Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
Applied Mathematics and Optimization | 2014-09-18 | Paper |
Optimal consumption under deterministic income
Journal of Optimization Theory and Applications | 2014-07-04 | Paper |
Optimal consumption in a Brownian model with absorption and finite time horizon
Applied Mathematics and Optimization | 2013-08-09 | Paper |
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
Finance and Stochastics | 2011-11-27 | Paper |
Risk averse asymptotics in a Black--Scholes market on a finite time horizon
Mathematical Methods of Operations Research | 2011-09-20 | Paper |
On the impact of hidden trends for a compound Poisson model with Pareto-type claims
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
Optimal expected exponential utility of dividend payments in a Brownian risk model
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
A regularity theorem for a Volterra integral equation of the second kind
Journal of Integral Equations and Applications | 2009-02-19 | Paper |
Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Risk Averse Asymptotics and the Optional Decomposition
Theory of Probability & Its Applications | 2007-09-17 | Paper |
A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
Insurance Mathematics & Economics | 2007-03-02 | Paper |
Ruin probabilities and investment under interest force in the presence of regularly varying tails
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
An analogue of the Cramér-Lundberg approximation in the optimal investment case
Applied Mathematics and Optimization | 2004-10-28 | Paper |
Asymptotic ruin probabilities and optimal investment
The Annals of Applied Probability | 2004-03-21 | Paper |
Ruin probabilities in the presence of regularly varying tails and optimal investment.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
On the minimal entropy martingale measure.
The Annals of Probability | 2003-05-06 | Paper |
Exponential Hedging and Entropic Penalties
Mathematical Finance | 2002-10-28 | Paper |
Embedding in Brownian motion with drift and the Azéma-Yor construction
Stochastic Processes and their Applications | 2002-08-29 | Paper |
Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE
SIAM Journal on Applied Mathematics | 2002-04-17 | Paper |
On non-supersymmetric finite quantum field theories
International Journal of Modern Physics A | 2002-02-26 | Paper |
Leland's approach to option pricing: The evolution of a discontinuity
Mathematical Finance | 2001-11-26 | Paper |
Towards a classification of finite field theories
Modern Physics Letters A | 2001-07-31 | Paper |
No-go theorems for nonsupersymmetric finite quantum field theories
Modern Physics Letters A | 2001-07-31 | Paper |
scientific article; zbMATH DE number 1405945 (Why is no real title available?)
| 2001-02-01 | Paper |
On Martingale Measures for Stochastic Processes with Independent Increments
Theory of Probability & Its Applications | 2000-10-19 | Paper |
The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
Bernoulli | 1999-10-17 | Paper |
scientific article; zbMATH DE number 1210397 (Why is no real title available?)
| 1998-11-25 | Paper |
scientific article; zbMATH DE number 926746 (Why is no real title available?)
| 1997-03-23 | Paper |
A mixed bvp for flow in strongly anisotropic media
Applicable Analysis | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4185731 (Why is no real title available?)
| 1990-01-01 | Paper |
