| Publication | Date of Publication | Type |
|---|
Short communication: utility-based acceptability indices
SIAM Journal on Financial Mathematics | 2024-06-18 | Paper |
On the ergodicity of certain Markov chains in random environments
Journal of Theoretical Probability | 2023-11-21 | Paper |
Super‐replication with transaction costs under model uncertainty for continuous processes
Mathematical Finance | 2023-09-28 | Paper |
Young, timid, and risk takers
Mathematical Finance | 2023-09-28 | Paper |
On utility maximization under model uncertainty in discrete‐time markets
Mathematical Finance | 2023-09-27 | Paper |
Functional central limit theorem and strong law of large numbers for stochastic gradient Langevin dynamics
Applied Mathematics and Optimization | 2023-09-18 | Paper |
Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms
SIAM Journal on Mathematics of Data Science | 2023-06-28 | Paper |
Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
Advances in Applied Probability | 2023-05-05 | Paper |
Invariant measures for multidimensional fractional stochastic volatility models
Stochastic and Partial Differential Equations. Analysis and Computations | 2022-11-07 | Paper |
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Applied Mathematics and Optimization | 2022-07-18 | Paper |
On utility maximization without passing by the dual problem
Stochastics | 2022-07-05 | Paper |
On utility maximization without passing by the dual problem
Stochastics | 2022-07-05 | Paper |
Stochastic gradient Hamiltonian Monte Carlo for non-convex learning
Stochastic Processes and their Applications | 2022-05-16 | Paper |
On the stability of the stochastic gradient Langevin algorithm with dependent data stream
Statistics & Probability Letters | 2022-01-24 | Paper |
Optimal long-term investment in illiquid markets when prices have negative memory
Electronic Communications in Probability | 2022-01-06 | Paper |
Ergodic theorems for queuing systems with dependent inter-arrival times
Operations Research Letters | 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
SIAM Journal on Mathematics of Data Science | 2021-11-03 | Paper |
Markov chains in random environment with applications in queuing theory and machine learning
Stochastic Processes and their Applications | 2021-06-04 | Paper |
From small markets to big markets
Banach Center Publications | 2021-05-20 | Paper |
High-frequency trading with fractional Brownian motion
Finance and Stochastics | 2021-04-29 | Paper |
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
Bernoulli | 2020-12-07 | Paper |
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
Bernoulli | 2020-12-07 | Paper |
Behavioral investors in conic market models
Theory of Probability & Its Applications | 2020-09-16 | Paper |
Risk-neutral pricing for arbitrage pricing theory
Journal of Optimization Theory and Applications | 2020-07-14 | Paper |
Ergodic theorems for queuing systems with dependent inter-arrival times
(available as arXiv preprint) | 2020-04-03 | Paper |
Trading fractional Brownian motion
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
On fixed gain recursive estimators with discontinuity in the parameters
ESAIM: Probability and Statistics | 2019-07-11 | Paper |
Robust utility maximisation in markets with transaction costs
Finance and Stochastics | 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
(available as arXiv preprint) | 2019-05-30 | Paper |
Log-optimal portfolios with memory effect
Applied Mathematical Finance | 2019-05-15 | Paper |
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach
Mathematical Methods of Operations Research | 2018-11-07 | Paper |
On optimal investment with processes of long or negative memory
Stochastic Processes and their Applications | 2018-04-13 | Paper |
On optimal investment with processes of long or negative memory
Stochastic Processes and their Applications | 2018-04-13 | Paper |
Sticky processes, local and true martingales
Bernoulli | 2018-03-27 | Paper |
Sticky processes, local and true martingales
Bernoulli | 2018-03-27 | Paper |
Skorohod's representation theorem and optimal strategies for markets with frictions
SIAM Journal on Control and Optimization | 2017-11-24 | Paper |
Maximizing expected utility in the arbitrage pricing model
Journal of Mathematical Analysis and Applications | 2017-06-09 | Paper |
Maximizing expected utility in the arbitrage pricing model
Journal of Mathematical Analysis and Applications | 2017-06-09 | 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 |
On optimal strategies for utility maximizers in the arbitrage pricing model
International Journal of Theoretical and Applied Finance | 2016-12-08 | Paper |
Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
Theory of Probability & Its Applications | 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
Mathematics of Operations Research | 2016-04-15 | Paper |
Maximization of nonconcave utility functions in discrete-time financial market models
Mathematics of Operations Research | 2016-04-15 | Paper |
An explicit solution for optimal investment problems with autoregressive prices and exponential utility
Applicationes Mathematicae | 2016-02-24 | Paper |
Non-concave utility maximisation on the positive real axis in discrete time
Mathematics and Financial Economics | 2015-09-22 | Paper |
Non-concave utility maximisation on the positive real axis in discrete time
Mathematics and Financial Economics | 2015-09-22 | Paper |
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
Acta Applicandae Mathematicae | 2015-07-28 | Paper |
Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
Acta Applicandae Mathematicae | 2015-07-28 | Paper |
Hedging, arbitrage and optimality with superlinear frictions
The Annals of Applied Probability | 2015-07-27 | Paper |
Hedging, arbitrage and optimality with superlinear frictions
The Annals of Applied Probability | 2015-07-27 | Paper |
Optimal investment under behavioural criteria -- a dual approach
Banach Center Publications | 2015-04-08 | Paper |
Fragility of arbitrage and bubbles in local martingale diffusion models
Finance and Stochastics | 2015-03-30 | Paper |
On optimal investment for a behavioral investor in multiperiod incomplete market models
Mathematical Finance | 2015-02-20 | Paper |
On optimal investment for a behavioral investor in multiperiod incomplete market models
Mathematical Finance | 2015-02-20 | Paper |
Optimal portfolio choice for a behavioural investor in continuous-time markets
Annals of Finance | 2014-11-12 | Paper |
Diversity and no arbitrage
Stochastic Analysis and Applications | 2014-11-12 | Paper |
Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
Electronic Communications in Probability | 2014-09-29 | Paper |
On long-term arbitrage opportunities in Markovian models of financial markets
Annals of Operations Research | 2013-01-15 | Paper |
The fundamental theorem of asset pricing under transaction costs
Finance and Stochastics | 2012-12-07 | Paper |
The fundamental theorem of asset pricing for continuous processes under small transaction costs
Annals of Finance | 2012-03-08 | Paper |
A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
Stochastic Processes and their Applications | 2011-10-10 | Paper |
Risk-averse asymptotics for reservation prices
Annals of Finance | 2011-08-25 | Paper |
Local and True Martingales in Discrete Time
Theory of Probability & Its Applications | 2011-08-09 | Paper |
Hiding a constant drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
On the statistical analysis of quantized Gaussian AR(1) processes
International Journal of Adaptive Control and Signal Processing | 2010-08-03 | Paper |
Hiding a drift
The Annals of Probability | 2010-05-17 | Paper |
| Arbitrage under transaction costs revisited | 2010-02-05 | Paper |
Erratum to: New methods in the arbitrage theory of financial markets with transaction costs, in Seminaire XLI
Lecture Notes in Mathematics | 2009-12-18 | Paper |
| New methods in the arbitrage theory of financial markets with transaction costs | 2008-09-25 | Paper |
A note on arbitrage in term structure
Decisions in Economics and Finance | 2008-09-04 | Paper |
Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
Mathematics of Operations Research | 2008-05-27 | Paper |
Consistent price systems and face-lifting pricing under transaction costs
The Annals of Applied Probability | 2008-04-23 | Paper |
Convergence of utility indifference prices to the superreplication price: the whole real line case
Acta Applicandae Mathematicae | 2007-07-19 | Paper |
Convergence of utility indifference prices to the superreplication price
Mathematical Methods of Operations Research | 2007-01-05 | Paper |
| On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models | 2006-10-23 | Paper |
On utility maximization in discrete-time financial market models
The Annals of Applied Probability | 2005-07-13 | Paper |
On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
Finance and Stochastics | 2005-05-20 | Paper |
Arbitrage pricing theory and risk-neutral measures
Decisions in Economics and Finance | 2005-04-11 | Paper |
Equivalent martingale measures for large financial markets in discrete time
Mathematical Methods of Operations Research | 2004-09-22 | Paper |
| scientific article; zbMATH DE number 2050998 (Why is no real title available?) | 2004-03-07 | Paper |
Non-arbitrage criteria for financial markets with efficient friction
Finance and Stochastics | 2003-10-22 | Paper |
| scientific article; zbMATH DE number 1897417 (Why is no real title available?) | 2003-04-27 | Paper |
| scientific article; zbMATH DE number 1642355 (Why is no real title available?) | 2002-03-25 | Paper |
On the strong stability of ergodic iterations
(available as arXiv preprint) | N/A | Paper |
