| Publication | Date of Publication | Type |
|---|
Optimal consumption-investment under partial information in conditionally log-Gaussian models
Probability, Uncertainty and Quantitative Risk | 2023-04-26 | Paper |
Down-side risk minimization under prescribed consumption level
Risk and Decision Analysis | 2019-03-12 | Paper |
Large deviation estimates for controlled semi-martingales
Festschrift Masatoshi Fukushima | 2016-04-15 | Paper |
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Banach Center Publications | 2015-07-28 | Paper |
H-J-B equations of optimal consumption-investment and verification theorems
Applied Mathematics and Optimization | 2015-06-15 | Paper |
Expected log-utility maximization under incomplete information and with Cox-process observations
Asia-Pacific Financial Markets | 2015-02-04 | Paper |
Expected power-utility maximization under incomplete information and with Cox-process observations
Applied Mathematics and Optimization | 2013-04-15 | Paper |
Downside risk minimization via a large deviations approach
The Annals of Applied Probability | 2012-05-13 | Paper |
Asymptotics of the probability of minimizing ``down-side risk under partial information
Quantitative Finance | 2011-06-07 | Paper |
PDE approach to utility maximization for market models with hidden Markov factors
| 2008-07-01 | Paper |
scientific article; zbMATH DE number 5287160 (Why is no real title available?)
| 2008-06-11 | Paper |
Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
| 2008-03-06 | Paper |
Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
Applied Mathematics and Optimization | 2007-09-11 | Paper |
Risky fraction processes and problems with transaction costs
| 2006-09-11 | Paper |
scientific article; zbMATH DE number 2134082 (Why is no real title available?)
| 2005-02-15 | Paper |
scientific article; zbMATH DE number 2131683 (Why is no real title available?)
| 2005-02-01 | Paper |
Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
The Annals of Applied Probability | 2003-05-06 | Paper |
Risk-sensitive portfolio optimization on infinite time horizon
Stochastics and Stochastic Reports | 2002-01-01 | Paper |
scientific article; zbMATH DE number 1867093 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 2015381 (Why is no real title available?)
| 2002-01-01 | Paper |
Conditions for no breakdown and Bellman equations of risk-sensitive control
Applied Mathematics and Optimization | 2001-02-28 | Paper |
scientific article; zbMATH DE number 1494212 (Why is no real title available?)
| 2000-11-22 | Paper |
scientific article; zbMATH DE number 1384306 (Why is no real title available?)
| 2000-03-03 | Paper |
scientific article; zbMATH DE number 1355270 (Why is no real title available?)
| 2000-03-03 | Paper |
scientific article; zbMATH DE number 1254162 (Why is no real title available?)
| 1999-02-23 | Paper |
Some results on risk-sensitive control with full observation
Applied Mathematics and Optimization | 1998-10-06 | Paper |
Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
SIAM Journal on Control and Optimization | 1998-02-09 | Paper |
Degenerative convergence of diffusion process toward a submanifold by strong drift
Stochastics and Stochastic Reports | 1994-05-31 | Paper |
Ergodic control problems on the whole Euclidean space and convergence of symmetric diffusions
Forum Mathematicum | 1992-06-28 | Paper |
An ergodic control problem arising from the principal eigenfunction of an elliptic operator
Journal of the Mathematical Society of Japan | 1992-06-25 | Paper |
scientific article; zbMATH DE number 4131115 (Why is no real title available?)
| 1989-01-01 | Paper |
Non zero-sum stopping games of symmetric Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
scientific article; zbMATH DE number 3934122 (Why is no real title available?)
| 1986-01-01 | Paper |
Stochastic control of symmetric markov processes and nonlinear variational inequalities
Stochastics | 1986-01-01 | Paper |
Stochastic Control of One-Dimensional Diffusions Whose Generators Have Discontinuous Coefficients
SIAM Journal on Control and Optimization | 1985-01-01 | Paper |
Impulsive control of symmetric Markov processes and quasi-variational inequalities
Osaka Journal of Mathematics | 1983-01-01 | Paper |
On an impulsive control of additive processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
On an optimal stopping problem and a variational inequality
Journal of the Mathematical Society of Japan | 1978-01-01 | Paper |
On an exponential character of the spectral distribution function of a random difference operator
Osaka Journal of Mathematics | 1977-01-01 | Paper |
A remark on the Minlos-Povzner Tauberian theorem
Osaka Journal of Mathematics | 1977-01-01 | Paper |
On an asymptotic property of spectra of a random difference operator
Proceedings of the Japan Academy, Series A, Mathematical Sciences | 1975-01-01 | Paper |
System-theoretical approach to model reduction and system-order determination
International Journal of Control | 1975-01-01 | Paper |
