| Publication | Date of Publication | Type |
|---|
| Path-dependent zero-sum deterministic games with intermediate Hamiltonians | 2025-01-22 | Paper |
| Drawdown constraint for long-term investments under partial information | 2024-06-11 | Paper |
| Conditional McKean-Vlasov Differential Equations with Common Poissonian Noise: Propagation of Chaos | 2023-08-22 | Paper |
| Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models | 2023-07-21 | Paper |
| Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior | 2023-06-01 | Paper |
| Portfolio management under drawdown constraint in discrete-time financial markets | 2023-03-09 | Paper |
| Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model | 2022-12-08 | Paper |
| Worst portfolios for dynamic monetary utility processes | 2022-06-30 | Paper |
| On the minimax theorem for the space of probability measures on metric spaces | 2021-05-20 | Paper |
| Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion | 2020-02-05 | Paper |
| Periodic strategies in optimal execution with multiplicative price impact | 2019-12-05 | Paper |
| A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index | 2019-11-20 | Paper |
| The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion | 2019-01-18 | Paper |
| Variance-optimal martingale measures for diffusion processes with stochastic coefficients | 2019-01-16 | Paper |
| Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians | 2018-06-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4593593 | 2017-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4593594 | 2017-11-22 | Paper |
| Local Poisson equations associated with discrete-time Markov control processes | 2017-09-01 | Paper |
| Optimality of refraction strategies for spectrally negative Lévy processes | 2016-05-20 | Paper |
| A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function | 2016-04-15 | Paper |
| Local Poisson equations associated with the Varadhan functional | 2016-04-15 | Paper |
| On the value of stochastic differential games | 2016-03-04 | Paper |
| Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption | 2015-09-30 | Paper |
| A zero-sum game between a singular stochastic controller and a discretionary stopper | 2015-02-26 | Paper |
| Games of singular control and stopping driven by spectrally one-sided Lévy processes | 2014-11-07 | Paper |
| Characterization of the value process in robust efficient hedging | 2014-06-30 | Paper |
| Quantile portfolio optimization under risk measure constraints | 2014-03-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925741 | 2013-06-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4915367 | 2013-04-10 | Paper |
| Contractive mappings and existence of cycle times for a monotone and homogeneous function | 2012-09-06 | Paper |
| Utility maximization in markets with bid–ask spreads | 2011-07-20 | Paper |
| Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space | 2011-04-27 | Paper |
| EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA | 2011-02-02 | Paper |
| Poisson equations associated with a homogeneous and monotone function: necessary and sufficient conditions for a solution in a weakly convex case | 2010-03-01 | Paper |
| A central limit theorem for normalized products of random matrices | 2009-07-20 | Paper |
| Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space | 2009-04-30 | Paper |
| An optimal investment strategy with maximal risk aversion and its ruin probability | 2009-03-25 | Paper |
| Contractive Approximations for the Varadhan's Function on a Finite Markov Chain | 2008-08-21 | Paper |
| A control approach to robust utility maximization with logarithmic utility and time-consistent penalties | 2007-07-27 | Paper |
| Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients | 2007-03-20 | Paper |
| Robust utility maximization in a stochastic factor model | 2007-01-30 | Paper |
| A system of Poisson equations for a nonconstant Varadhan functional on a finite state space | 2006-06-15 | Paper |
| The tradeoff between consumption and investment in incomplete financial markets | 2006-06-12 | Paper |
| Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion | 2006-01-31 | Paper |
| A characterization of exponential functionals in finite Markov chains | 2005-08-22 | Paper |
| A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains | 2005-04-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160498 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4811452 | 2004-09-06 | Paper |
| An optimal consumption model with stochastic volatility | 2004-03-16 | Paper |
| Large Deviations for a Random Walk Model with State-Dependent Noise | 2004-01-08 | Paper |
| Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach | 2003-06-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792530 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4438201 | 2002-01-01 | Paper |
| Analysis of a risk-sensitive control problem for hidden Markov chains | 2000-10-17 | Paper |
| Existence of risk-sensitive optimal stationary policies for controlled Markov processes | 2000-06-15 | Paper |
| Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management | 2000-05-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227195 | 1999-08-19 | Paper |
| Risk-Sensitive Control of Finite State Machines on an Infinite Horizon II | 1999-06-24 | Paper |
| Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I | 1998-02-09 | Paper |
| The linear programming approach to deterministic optimal control problems | 1997-09-01 | Paper |
| Risk sensitive control of Markov processes in countable state space | 1997-02-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5284147 | 1997-01-01 | Paper |
| Linear programming and infinite horizon problems of deterministic control theory | 1996-10-28 | Paper |
| Discounted cost Markov decision processes on Borel spaces: The linear programming formulation | 1995-09-26 | Paper |
| Coupled forward-backward stochastic differential equations with jumps in random environments | N/A | Paper |
| Mean-Field Games with common Poissonian noise: a Maximum Principle approach | N/A | Paper |
