| Publication | Date of Publication | Type |
|---|
Controlled measure-valued martingales: a viscosity solution approach
The Annals of Applied Probability | 2024-08-21 | Paper |
| Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem | 2023-12-07 | Paper |
SDEs with no strong solution arising from a problem of stochastic control
Electronic Journal of Probability | 2023-09-01 | Paper |
SDEs with no strong solution arising from a problem of stochastic control
Electronic Journal of Probability | 2023-09-01 | Paper |
Optimal control of martingales in a radially symmetric environment
Stochastic Processes and their Applications | 2023-04-24 | Paper |
Monte Carlo Methods for the Neutron Transport Equation
SIAM/ASA Journal on Uncertainty Quantification | 2022-09-01 | Paper |
Model-independent pricing with insider information: a Skorokhod embedding approach
Advances in Applied Probability | 2022-01-18 | Paper |
Optimal control of martingales in a radially symmetric environment
(available as arXiv preprint) | 2021-08-10 | Paper |
Stochastic methods for neutron transport equation. III: Generational many-to-one and \(k_{\text{\texttt{eff}}}\)
SIAM Journal on Applied Mathematics | 2021-06-02 | Paper |
| Using Echo State Networks to Approximate Value Functions for Control | 2021-02-11 | Paper |
The geometry of multi-marginal Skorokhod embedding
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2020-04-21 | Paper |
| Switching Identities by Probabilistic Means | 2020-02-28 | Paper |
Multi-species neutron transport equation
Journal of Statistical Physics | 2019-08-01 | Paper |
Discretisation and duality of optimal Skorokhod embedding problems
Stochastic Processes and their Applications | 2019-06-28 | Paper |
Robust hedging of options on a leveraged exchange traded fund
The Annals of Applied Probability | 2019-03-20 | Paper |
Robust hedging of options on a leveraged exchange traded fund
The Annals of Applied Probability | 2019-03-20 | Paper |
| The structure of non-linear martingale optimal transport problems | 2019-03-15 | Paper |
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-02-28 | Paper |
Martingale optimal transport with stopping
SIAM Journal on Control and Optimization | 2018-02-22 | Paper |
Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
SIAM Journal on Control and Optimization | 2017-11-13 | Paper |
Pathwise superreplication via Vovk's outer measure
Finance and Stochastics | 2017-10-23 | Paper |
| Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem | 2017-08-23 | Paper |
Optimal transport and Skorokhod embedding
Inventiones Mathematicae | 2017-06-07 | Paper |
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Finance and Stochastics | 2016-09-07 | Paper |
Model-independent no-arbitrage conditions on American put options
Mathematical Finance | 2016-04-14 | Paper |
Embedding laws in diffusions by functions of time
The Annals of Probability | 2015-10-30 | Paper |
Embedding laws in diffusions by functions of time
The Annals of Probability | 2015-10-30 | Paper |
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Robust pricing and hedging of double no-touch options
Finance and Stochastics | 2014-12-17 | Paper |
From minimal embeddings to minimal diffusions
Electronic Communications in Probability | 2014-09-29 | Paper |
UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Root's barrier: construction, optimality and applications to variance options
The Annals of Applied Probability | 2013-05-10 | Paper |
Root's barrier: construction, optimality and applications to variance options
The Annals of Applied Probability | 2013-05-10 | Paper |
Robust hedging of double touch barrier options
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
Robust hedging of double touch barrier options
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
| Time-Homogeneous Diffusions with a Given Marginal at a Random Time | 2009-12-09 | Paper |
Classes of measures which can be embedded in the simple symmetric random walk
Electronic Journal of Probability | 2009-11-20 | Paper |
Classes of measures which can be embedded in the simple symmetric random walk
Electronic Journal of Probability | 2009-11-20 | Paper |
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
The Annals of Applied Probability | 2008-11-27 | Paper |
Extending Chacon-Walsh: minimality and generalised starting distributions
(available as arXiv preprint) | 2008-09-25 | Paper |
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
Bernoulli | 2007-05-15 | Paper |
| Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk | 2006-09-12 | Paper |
Skorokhod embeddings, minimality and non-centred target distributions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2006-06-26 | Paper |
Local martingales, bubbles and option prices
Finance and Stochastics | 2006-05-24 | Paper |
An optimal Skorokhod embedding for diffusions
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Binary branching processes with Moran type interactions
(available as arXiv preprint) | N/A | Paper |
