| Publication | Date of Publication | Type |
|---|
Optimal adaptive control with separable drift uncertainty
SIAM Journal on Control and Optimization | 2025-06-05 | Paper |
Arbitrage-Free Neural-SDE Market Models
Applied Mathematical Finance | 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
Electronic Journal of Probability | 2023-09-01 | Paper |
Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
Electronic Journal of Probability | 2023-09-01 | Paper |
Hedging Option Books Using Neural-SDE Market Models
Applied Mathematical Finance | 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
Springer Proceedings in Mathematics & Statistics | 2022-09-30 | Paper |
| Neural Q-learning for solving PDEs | 2022-03-31 | Paper |
Gittins' theorem under uncertainty
Electronic Journal of Probability | 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
Applied Mathematical Finance | 2021-06-21 | Paper |
Pathwise stochastic control with applications to robust filtering
The Annals of Applied Probability | 2021-03-18 | Paper |
Pathwise stochastic control with applications to robust filtering
The Annals of Applied Probability | 2021-03-18 | Paper |
Parameter uncertainty in the Kalman-Bucy filter
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
| Bounding quantiles of Wasserstein distance between true and empirical measure | 2019-07-03 | Paper |
Malliavin calculus in a binomial framework
Applied Stochastic Models in Business and Industry | 2019-03-07 | Paper |
Switching cost models as hypothesis tests
Economics Letters | 2019-01-31 | Paper |
Switching cost models as hypothesis tests
Economics Letters | 2019-01-31 | Paper |
Nash equilibria for nonzero-sum ergodic stochastic differential games
Journal of Applied Probability | 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
Electronic Journal of Statistics | 2017-05-16 | Paper |
Data-driven nonlinear expectations for statistical uncertainty in decisions
Electronic Journal of Statistics | 2017-05-16 | Paper |
Ergodic backward stochastic difference equations
Stochastics | 2016-11-25 | Paper |
Solutions of backward stochastic differential equations on Markov chains
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Chaos representations for marked point processes
Communications on Stochastic Analysis | 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
Journal of Applied Probability | 2015-10-30 | Paper |
Stochastic calculus and applications
Probability and Its Applications | 2015-06-11 | Paper |
Undiscounted Markov chain BSDEs to stopping times
Journal of Applied Probability | 2014-05-14 | Paper |
Undiscounted Markov chain BSDEs to stopping times
Journal of Applied Probability | 2014-05-14 | Paper |
A generalized Girsanov transformation of finite state stochastic processes in discrete time
Statistics & Probability Letters | 2014-04-09 | Paper |
Ergodic BSDEs driven by Markov chains
SIAM Journal on Control and Optimization | 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
Mathematics and Financial Economics | 2013-02-26 | Paper |
Existence, uniqueness and comparisons for BSDEs in general spaces
The Annals of Probability | 2012-11-29 | Paper |
Existence, uniqueness and comparisons for BSDEs in general spaces
The Annals of Probability | 2012-11-29 | Paper |
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
Electronic Journal of Probability | 2012-10-23 | Paper |
On Markovian solutions to Markov chain BSDEs
Numerical Algebra, Control and Optimization | 2012-09-14 | Paper |
Backward stochastic difference equations with finite states
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Comparison theorems for finite state backward stochastic differential equations
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Backward stochastic difference equations and nearly time-consistent nonlinear expectations
SIAM Journal on Control and Optimization | 2011-05-17 | Paper |
| Sublinear Expectations and Martingales in discrete time | 2011-04-28 | Paper |
| scientific article; zbMATH DE number 5831586 (Why is no real title available?) | 2011-01-03 | Paper |
A general comparison theorem for backward stochastic differential equations
Advances in Applied Probability | 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
Stochastic Processes and their Applications | 2010-04-08 | Paper |
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
The Annals of Applied Probability | 2010-03-08 | Paper |
| A Ring Isomorphism and corresponding Pseudoinverses | 2008-10-01 | Paper |
