Sigrid Källblad

MaRDI QIDQ522055zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A measure-valued HJB perspective on Bayesian optimal adaptive control SIAM Journal on Control and Optimization	2026-08-28	Paper
Adapted Wasserstein distance between the laws of SDEs Stochastic Processes and their Applications	2025-10-02	Paper
Computation of robust option prices via structured multimarginal martingale optimal transport SIAM Journal on Financial Mathematics	2025-09-17	Paper
Controlled measure-valued martingales: a viscosity solution approach The Annals of Applied Probability	2024-08-21	Paper
Adapted Wasserstein distance between the laws of SDEs	2022-09-07	Paper
A dynamic programming approach to distribution-constrained optimal stopping The Annals of Applied Probability	2022-09-05	Paper
Black's inverse investment problem and forward criteria with consumption SIAM Journal on Financial Mathematics	2020-06-08	Paper
Dynamically consistent investment under model uncertainty: the robust forward criteria Finance and Stochastics	2018-10-08	Paper
Model-Independent Bounds for Asian Options: A Dynamic Programming Approach SIAM Journal on Control and Optimization	2017-11-13	Paper
Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem	2017-08-23	Paper
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks The Annals of Applied Probability	2017-08-08	Paper
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks The Annals of Applied Probability	2017-08-08	Paper
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals Finance and Stochastics	2017-04-13	Paper
Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem (available as arXiv preprint)	2017-01-01	Paper

Research outcomes over time

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