| Publication | Date of Publication | Type |
|---|
Non-linear non-zero-sum Dynkin games with Bermudan strategies
Journal of Optimization Theory and Applications | 2025-05-19 | Paper |
Optimal stopping: Bermudan strategies meet non-linear evaluations
Electronic Journal of Probability | 2024-08-30 | Paper |
| Optimal stopping: Bermudan strategies meet non-linear evaluations | 2023-01-26 | Paper |
American options in a non-linear incomplete market model with default
Stochastic Processes and their Applications | 2021-11-03 | Paper |
European options in a nonlinear incomplete market model with default
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
On the strict value of the non-linear optimal stopping problem
Electronic Communications in Probability | 2020-09-29 | Paper |
Optimal stopping with f-expectations: the irregular case
Stochastic Processes and their Applications | 2020-02-24 | Paper |
| BSDEs with default jump | 2019-03-22 | Paper |
Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
Electronic Journal of Probability | 2019-02-14 | Paper |
Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
Electronic Journal of Probability | 2019-02-14 | Paper |
American options in an imperfect complete market with default
ESAIM: Proceedings and Surveys | 2019-01-29 | Paper |
Game options in an imperfect market with default
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
The Annals of Applied Probability | 2018-01-04 | Paper |
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
The Annals of Applied Probability | 2018-01-04 | Paper |
Portfolio optimization in a default model under full/partial information
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Stochastics | 2017-04-11 | Paper |
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
Stochastics | 2017-04-11 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 2016-12-20 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 2016-12-20 | Paper |
| BSDEs with default jump | 2016-12-16 | Paper |
A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
SIAM Journal on Control and Optimization | 2016-09-06 | Paper |
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Journal of Optimization Theory and Applications | 2015-10-28 | Paper |
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Stochastic Processes and their Applications | 2014-09-02 | Paper |
Dynkin games in a general framework
Stochastics | 2014-08-14 | Paper |
Dynkin games in a general framework
Stochastics | 2014-08-14 | Paper |
BSDEs with jumps, optimization and applications to dynamic risk measures
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Optimal stopping time problem in a general framework
Electronic Journal of Probability | 2012-10-23 | Paper |
Exponential utility maximization in an incomplete market with defaults
Electronic Journal of Probability | 2012-06-22 | Paper |
Optimal multiple stopping time problem
The Annals of Applied Probability | 2011-10-12 | Paper |
Optimal double stopping time problem
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2010-02-12 | Paper |
| Optimal double stopping time | 2009-09-18 | Paper |
INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
A Generalized Stochastic Differential Utility
Mathematics of Operations Research | 2005-11-11 | Paper |
| scientific article; zbMATH DE number 2127976 (Why is no real title available?) | 2005-01-14 | Paper |
A dynamic maximum principle for the optimization of recursive utilities under constraints.
The Annals of Applied Probability | 2003-05-06 | Paper |
Optimal portfolio in partially observed stochastic volatility models.
The Annals of Applied Probability | 2003-05-06 | Paper |
| scientific article; zbMATH DE number 1069627 (Why is no real title available?) | 1998-11-01 | Paper |
| scientific article; zbMATH DE number 1069626 (Why is no real title available?) | 1998-11-01 | Paper |
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
The Annals of Probability | 1998-10-28 | Paper |
Backward Stochastic Differential Equations in Finance
Mathematical Finance | 1998-04-05 | Paper |
| scientific article; zbMATH DE number 1066453 (Why is no real title available?) | 1997-11-25 | Paper |
| scientific article; zbMATH DE number 1066316 (Why is no real title available?) | 1997-09-25 | Paper |
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
SIAM Journal on Control and Optimization | 1995-05-17 | Paper |
| scientific article; zbMATH DE number 27698 (Why is no real title available?) | 1992-06-27 | Paper |
