| Publication | Date of Publication | Type |
|---|
Abstract polynomial processes
Electronic Journal of Probability | 2024-10-16 | Paper |
Maximizing with-profit pensions without guarantees
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Regime-switching affine term structures
Quantitative Finance | 2024-04-12 | Paper |
Measuring the suboptimality of dividend controls in a Brownian risk model
Advances in Applied Probability | 2024-02-20 | Paper |
Stochastic Models for Prices Dynamics in Energy and Commodity Markets
Springer Finance | 2023-12-18 | Paper |
| A sharp upper bound for the expected occupation density of It\^o processes with bounded irregular drift and diffusion coefficients | 2023-10-19 | Paper |
| Explicit Local density bounds for It\^o-processes with irregular drift | 2023-08-04 | Paper |
Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
Stochastics | 2022-12-08 | Paper |
Independent increment processes: a multilinearity preserving property
Stochastics | 2022-07-07 | Paper |
Independent increment processes: a multilinearity preserving property
Stochastics | 2022-07-07 | Paper |
On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions
Statistics & Probability Letters | 2022-03-04 | Paper |
A new approach for satisfactory pensions with no guarantees
European Actuarial Journal | 2020-11-04 | Paper |
Authors' reply on the discussion of Krafft and Pankratz
European Actuarial Journal | 2020-11-04 | Paper |
| Abstract polynomial processes | 2020-10-06 | Paper |
On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
Electronic Journal of Probability | 2020-09-29 | Paper |
On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
Electronic Journal of Probability | 2020-09-29 | Paper |
The impact of negative interest rates on optimal capital injections
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Dynamic trading under integer constraints
Finance and Stochastics | 2018-10-08 | Paper |
| Suboptimal Control of Dividends under Exponential Utility | 2018-09-06 | Paper |
Affine processes with compact state space
Electronic Journal of Probability | 2018-05-15 | Paper |
Affine processes with compact state space
Electronic Journal of Probability | 2018-05-15 | Paper |
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Finance and Stochastics | 2018-04-06 | Paper |
Time change equations for Lévy-type processes
Stochastic Processes and their Applications | 2018-02-13 | Paper |
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
Stochastic Processes and their Applications | 2017-06-22 | Paper |
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria
(available as arXiv preprint) | 2016-07-11 | Paper |
Derivatives pricing in energy markets: an infinite-dimensional approach
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
On a Heath-Jarrow-Morton approach for stock options
Finance and Stochastics | 2015-08-04 | Paper |
Integrability of multivariate subordinated Lévy processes in Hilbert space
Stochastics | 2015-07-29 | Paper |
Representation of infinite-dimensional forward price models in commodity markets
Communications in Mathematics and Statistics | 2014-08-29 | Paper |
| Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients | 2014-08-11 | Paper |
