| Publication | Date of Publication | Type |
|---|
| Arbitrage-Free Neural-SDE Market Models | 2023-11-23 | Paper |
| Optimal adaptive control with separable drift uncertainty | 2023-09-13 | Paper |
| Hyperbolic contractivity and the Hilbert metric on probability measures | 2023-09-05 | Paper |
| Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation | 2023-09-01 | Paper |
| Hedging Option Books Using Neural-SDE Market Models | 2023-08-07 | Paper |
| Nowcasting with signature methods | 2023-05-17 | Paper |
| Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations | 2023-05-10 | Paper |
| Exponential contractions and robustness for approximate Wonham filters | 2023-05-03 | Paper |
| European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty | 2022-09-30 | Paper |
| Neural Q-learning for solving PDEs | 2022-03-31 | Paper |
| Gittins' theorem under uncertainty | 2022-02-22 | Paper |
| Estimating risks of option books using neural-SDE market models | 2022-02-14 | Paper |
| Detecting and Repairing Arbitrage in Traded Option Prices | 2021-06-21 | Paper |
| Pathwise stochastic control with applications to robust filtering | 2021-03-18 | Paper |
| Parameter Uncertainty in the Kalman--Bucy Filter | 2019-08-30 | Paper |
| Bounding quantiles of Wasserstein distance between true and empirical measure | 2019-07-03 | Paper |
| Malliavin calculus in a binomial framework | 2019-03-07 | Paper |
| Switching cost models as hypothesis tests | 2019-01-31 | Paper |
| Nash equilibria for nonzero-sum ergodic stochastic differential games | 2018-09-26 | Paper |
| Data and uncertainty in extreme risks - a nonlinear expectations approach | 2017-05-23 | Paper |
| Data-driven nonlinear expectations for statistical uncertainty in decisions | 2017-05-16 | Paper |
| Ergodic backward stochastic difference equations | 2016-11-25 | Paper |
| Solutions of backward stochastic differential equations on Markov chains | 2016-03-04 | Paper |
| Chaos representations for marked point processes | 2016-03-04 | Paper |
| Classical Adjoints for Ergodic Stochastic Control | 2015-11-13 | Paper |
| Backward stochastic difference equations for dynamic convex risk measures on a binomial tree | 2015-10-30 | Paper |
| Stochastic Calculus and Applications | 2015-06-11 | Paper |
| Undiscounted Markov Chain BSDEs to Stopping Times | 2014-05-14 | Paper |
| A generalized Girsanov transformation of finite state stochastic processes in discrete time | 2014-04-09 | Paper |
| Ergodic BSDEs driven by Markov chains | 2014-01-27 | Paper |
| Filters and smoothers for self-exciting Markov modulated counting processes | 2013-11-25 | Paper |
| A martingale representation theorem for a class of jump processes | 2013-10-23 | Paper |
| A limit order book model for latency arbitrage | 2013-02-26 | Paper |
| Existence, uniqueness and comparisons for BSDEs in general spaces | 2012-11-29 | Paper |
| Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces | 2012-10-23 | Paper |
| On Markovian solutions to Markov chain BSDEs | 2012-09-14 | Paper |
| Backward Stochastic Difference Equations with Finite States | 2012-09-07 | Paper |
| Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces | 2012-06-01 | Paper |
| Comparison Theorems for Finite State Backward Stochastic Differential Equations | 2011-05-31 | Paper |
| Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations | 2011-05-17 | Paper |
| Sublinear Expectations and Martingales in discrete time | 2011-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3062243 | 2011-01-03 | Paper |
| A general comparison theorem for backward stochastic differential equations | 2010-11-26 | Paper |
| What risk measures are time consistent for all filtrations? | 2010-07-04 | Paper |
| A general theory of finite state backward stochastic difference equations | 2010-04-08 | Paper |
| Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions | 2010-03-08 | Paper |
| A Ring Isomorphism and corresponding Pseudoinverses | 2008-10-01 | Paper |
