| Publication | Date of Publication | Type |
|---|
| On the ergodicity of certain Markov chains in random environments | 2023-11-21 | Paper |
| Young, timid, and risk takers | 2023-09-28 | Paper |
| Super‐replication with transaction costs under model uncertainty for continuous processes | 2023-09-28 | Paper |
| On utility maximization under model uncertainty in discrete‐time markets | 2023-09-27 | Paper |
| Functional central limit theorem and strong law of large numbers for stochastic gradient Langevin dynamics | 2023-09-18 | Paper |
| Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms | 2023-06-28 | Paper |
| Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities | 2023-05-05 | Paper |
| Invariant measures for multidimensional fractional stochastic volatility models | 2022-11-07 | Paper |
| What if we knew what the future brings? Optimal investment for a frontrunner with price impact | 2022-07-18 | Paper |
| On utility maximization without passing by the dual problem | 2022-07-05 | Paper |
| Stochastic gradient Hamiltonian Monte Carlo for non-convex learning | 2022-05-16 | Paper |
| On the stability of the stochastic gradient Langevin algorithm with dependent data stream | 2022-01-24 | Paper |
| Optimal long-term investment in illiquid markets when prices have negative memory | 2022-01-06 | Paper |
| Ergodic theorems for queuing systems with dependent inter-arrival times | 2021-12-13 | Paper |
| Ergodic aspects of trading with threshold strategies | 2021-11-29 | Paper |
| On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case | 2021-11-03 | Paper |
| Markov chains in random environment with applications in queuing theory and machine learning | 2021-06-04 | Paper |
| From small markets to big markets | 2021-05-20 | Paper |
| High-frequency trading with fractional Brownian motion | 2021-04-29 | Paper |
| On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case | 2020-12-07 | Paper |
| Behavioral Investors in Conic Market Models | 2020-09-16 | Paper |
| Risk-neutral pricing for arbitrage pricing theory | 2020-07-14 | Paper |
| Ergodic theorems for queuing systems with dependent inter-arrival times | 2020-04-03 | Paper |
| Trading Fractional Brownian Motion | 2019-11-22 | Paper |
| On fixed gain recursive estimators with discontinuity in the parameters | 2019-07-11 | Paper |
| Robust utility maximisation in markets with transaction costs | 2019-06-27 | Paper |
| Poisson Equations, Lipschitz Continuity and Controlled Queues | 2019-06-22 | Paper |
| On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case | 2019-05-30 | Paper |
| Log-Optimal Portfolios with Memory Effect | 2019-05-15 | Paper |
| No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach | 2018-11-07 | Paper |
| On optimal investment with processes of long or negative memory | 2018-04-13 | Paper |
| Sticky processes, local and true martingales | 2018-03-27 | Paper |
| Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions | 2017-11-24 | Paper |
| Maximizing expected utility in the arbitrage pricing model | 2017-06-09 | Paper |
| Existence of solutions in non-convex dynamic programming and optimal investment | 2017-03-07 | Paper |
| ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL | 2016-12-08 | Paper |
| Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models | 2016-12-07 | Paper |
| On the identification of random variables from quantized observations | 2016-08-16 | Paper |
| Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models | 2016-04-15 | Paper |
| An explicit solution for optimal investment problems with autoregressive prices and exponential utility | 2016-02-24 | Paper |
| Non-concave utility maximisation on the positive real axis in discrete time | 2015-09-22 | Paper |
| Optimal Investment with Nonconcave Utilities in Discrete-Time Markets | 2015-08-28 | Paper |
| Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets | 2015-07-28 | Paper |
| Hedging, arbitrage and optimality with superlinear frictions | 2015-07-27 | Paper |
| Optimal investment under behavioural criteria –- a dual approach | 2015-04-08 | Paper |
| Fragility of arbitrage and bubbles in local martingale diffusion models | 2015-03-30 | Paper |
| ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS | 2015-02-20 | Paper |
| Optimal portfolio choice for a behavioural investor in continuous-time markets | 2014-11-12 | Paper |
| Diversity and No Arbitrage | 2014-11-12 | Paper |
| Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains | 2014-09-29 | Paper |
| On long-term arbitrage opportunities in Markovian models of financial markets | 2013-01-15 | Paper |
| The fundamental theorem of asset pricing under transaction costs | 2012-12-07 | Paper |
| The fundamental theorem of asset pricing for continuous processes under small transaction costs | 2012-03-08 | Paper |
| A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients | 2011-10-10 | Paper |
| Risk-averse asymptotics for reservation prices | 2011-08-25 | Paper |
| Local and True Martingales in Discrete Time | 2011-08-09 | Paper |
| Hiding a constant drift | 2011-05-19 | Paper |
| On the statistical analysis of quantized Gaussian AR(1) processes | 2010-08-03 | Paper |
| Hiding a drift | 2010-05-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3400717 | 2010-02-05 | Paper |
| Erratum to: New methods in the arbitrage theory of financial markets with transaction costs, in Seminaire XLI | 2009-12-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3526649 | 2008-09-25 | Paper |
| A note on arbitrage in term structure | 2008-09-04 | Paper |
| Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do | 2008-05-27 | Paper |
| Consistent price systems and face-lifting pricing under transaction costs | 2008-04-23 | Paper |
| Convergence of utility indifference prices to the superreplication price: the whole real line case | 2007-07-19 | Paper |
| Convergence of utility indifference prices to the superreplication price | 2007-01-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493566 | 2006-10-23 | Paper |
| On utility maximization in discrete-time financial market models | 2005-07-13 | Paper |
| On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property | 2005-05-20 | Paper |
| Arbitrage pricing theory and risk-neutral measures | 2005-04-11 | Paper |
| Equivalent martingale measures for large financial markets in discrete time | 2004-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4453271 | 2004-03-07 | Paper |
| Non-arbitrage criteria for financial markets with efficient friction | 2003-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4802412 | 2003-04-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741122 | 2002-03-25 | Paper |
