| Publication | Date of Publication | Type |
|---|
Optimal stopping with nonlinear expectation: geometric and algorithmic solutions
The Annals of Applied Probability | 2025-11-01 | Paper |
Optimal stopping for multidimensional Brownian motion
(available as arXiv preprint) | 2025-01-01 | Paper |
The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
(available as arXiv preprint) | 2024-01-01 | Paper |
| Optimal stopping with nonlinear expectation: geometric and algorithmic solutions | 2023-06-30 | Paper |
Markov risk mappings and risk-sensitive optimal prediction
Mathematical Methods of Operations Research | 2023-04-26 | Paper |
Hopping between distant basins
Journal of Global Optimization | 2022-09-30 | Paper |
Discrete-time risk-aware optimal switching with non-adapted costs
Advances in Applied Probability | 2022-06-28 | Paper |
A Metropolis-class sampler for targets with non-convex support
Statistics and Computing | 2021-12-10 | Paper |
Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
SIAM Journal on Control and Optimization | 2021-04-16 | Paper |
A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Mathematics of Operations Research | 2020-03-12 | Paper |
A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
Mathematics of Operations Research | 2020-03-12 | Paper |
Markov risk mappings and risk-sensitive optimal prediction
(available as arXiv preprint) | 2020-01-19 | Paper |
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Advances in Applied Probability | 2019-12-09 | Paper |
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Advances in Applied Probability | 2019-12-09 | Paper |
Procuring load curtailment from local customers under uncertainty
Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2018-12-13 | Paper |
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
The Annals of Applied Probability | 2018-05-25 | Paper |
Real option valuation for reserve capacity
European Journal of Operational Research | 2018-05-24 | Paper |
Optimal entry to an irreversible investment plan with non convex costs
Mathematics and Financial Economics | 2017-12-29 | Paper |
| Nonzero-sum games of optimal stopping and generalised Nash equilibrium | 2017-09-06 | Paper |
Energy imbalance market call options and the valuation of storage
(available as arXiv preprint) | 2016-01-01 | Paper |
A nonconvex singular stochastic control problem and its related optimal stopping boundaries
SIAM Journal on Control and Optimization | 2015-06-10 | Paper |
A geometric answer to an open question of singular control with stopping
(available as arXiv preprint) | 2015-01-01 | Paper |
Exit problems associated with affine reflection groups
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2009-09-25 | Paper |
