| Publication | Date of Publication | Type |
|---|
Duality in convex stochastic optimization
Mathematical Programming. Series A. Series B | 2026-01-16 | Paper |
Dual solutions in convex stochastic optimization
Mathematics of Operations Research | 2025-09-30 | Paper |
Optimal stopping without Snell envelopes
Proceedings of the American Mathematical Society | 2025-02-11 | Paper |
Convex integral functionals of càdlàg processes
Stochastic Processes and their Applications | 2025-02-05 | Paper |
Convex stochastic optimization. Dynamic programming and duality in discrete time
Probability Theory and Stochastic Modelling | 2024-10-02 | Paper |
scientific article; zbMATH DE number 7733457 (Why is no real title available?)
(available as arXiv preprint) | 2023-09-01 | Paper |
| scientific article; zbMATH DE number 7733457 (Why is no real title available?) | 2023-09-01 | Paper |
Convex duality for partial hedging of American options: continuous price processes
Positivity | 2023-07-06 | Paper |
Michael selections and Castaing representations with càdlàg functions
Set-Valued and Variational Analysis | 2023-04-19 | Paper |
Optional projection under equivalent local martingale measures
Finance and Stochastics | 2023-04-12 | Paper |
Dual spaces of cadlag processes
Stochastic Processes and their Applications | 2023-02-23 | Paper |
| Dual solutions in convex stochastic optimization | 2022-05-31 | Paper |
| Duality in convex stochastic optimization | 2022-05-04 | Paper |
Michael selections and Castaing representations with cadlag functions
(available as arXiv preprint) | 2022-04-10 | Paper |
Topological duals of locally convex function spaces
Positivity | 2022-03-15 | Paper |
| Topological duals of Banach function spaces | 2020-08-20 | Paper |
Convex duality in nonlinear optimal transport
Journal of Functional Analysis | 2019-06-17 | Paper |
| Convex integral functionals of cadlag processes | 2018-12-10 | Paper |
| Optimal stopping without Snell envelopes | 2018-12-10 | Paper |
Convex duality in optimal investment and contingent claim valuation in illiquid markets
Finance and Stochastics | 2018-10-08 | Paper |
| Duality and optimality conditions in stochastic optimization and mathematical finance | 2018-05-23 | Paper |
Duality and optimality conditions in stochastic optimization and mathematical finance
(available as arXiv preprint) | 2018-05-23 | Paper |
Convex integral functionals of regular processes
Stochastic Processes and their Applications | 2018-04-27 | Paper |
Shadow price of information in discrete time stochastic optimization
Mathematical Programming. Series A. Series B | 2018-04-06 | Paper |
| Convex integral functionals of processes of bounded variation | 2018-03-27 | Paper |
Convex integral functionals of processes of bounded variation
(available as arXiv preprint) | 2018-03-27 | Paper |
Dual spaces of cadlag processes
(available as arXiv preprint) | 2018-03-02 | Paper |
Conjugates of integral functionals on continuous functions
Journal of Mathematical Analysis and Applications | 2017-12-12 | Paper |
Optional and predictable projections of normal integrands and convex-valued processes
Set-Valued and Variational Analysis | 2017-06-27 | Paper |
The scaling limit of superreplication prices with small transaction costs in the multivariate case
Finance and Stochastics | 2017-04-13 | Paper |
Existence of solutions in non-convex dynamic programming and optimal investment
Mathematics and Financial Economics | 2017-03-07 | Paper |
Existence of solutions in non-convex dynamic programming and optimal investment
Mathematics and Financial Economics | 2017-03-07 | Paper |
Duality in convex problems of Bolza over functions of bounded variation
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Duality in convex problems of Bolza over functions of bounded variation
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Continuous essential selections and integral functionals
Set-Valued and Variational Analysis | 2014-09-26 | Paper |
| Stochastic programs without duality gaps for objectives without a lower bound | 2014-08-22 | Paper |
Stochastic programs without duality gaps
Mathematical Programming. Series A. Series B | 2012-12-19 | Paper |
