| Publication | Date of Publication | Type |
|---|
Functional equations for the stochastic exponential
Stochastics and Dynamics | 2023-11-30 | Paper |
Martingale transformations of Brownian motion with application to functional equations
Stochastics | 2023-07-13 | Paper |
| scientific article; zbMATH DE number 7563975 (Why is no real title available?) | 2022-07-26 | Paper |
| scientific article; zbMATH DE number 7564046 (Why is no real title available?) | 2022-07-26 | Paper |
Functional equations and martingales
Aequationes Mathematicae | 2022-03-22 | Paper |
On martingale transformations of multidimensional Brownian motion
Statistics & Probability Letters | 2021-11-12 | Paper |
A probabilistic method of solving Lobachevsky's functional equation
Aequationes Mathematicae | 2021-04-15 | Paper |
Change of variable formulas for non-anticipative functionals
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2020-07-14 | Paper |
Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem
Transactions of A. Razmadze Mathematical Institute | 2019-08-08 | Paper |
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
SIAM Journal on Financial Mathematics | 2017-07-20 | Paper |
| scientific article; zbMATH DE number 6682997 (Why is no real title available?) | 2017-02-09 | Paper |
| On regularity of dynamic value function related to the utility maximization problem | 2016-01-20 | Paper |
On the properties of dynamic value functions in the problem of optimal investment in incomplete markets
Georgian Mathematical Journal | 2015-03-10 | Paper |
Backward stochastic partial differential equations related to utility maximization and hedging
Journal of Mathematical Sciences (New York) | 2015-02-18 | Paper |
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
The Annals of Applied Probability | 2013-01-25 | Paper |
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
The Annals of Applied Probability | 2013-01-25 | Paper |
| New proofs of some results on BMO martingales using BSDEs | 2012-05-06 | Paper |
Exponential utility maximization under partial information
Finance and Stochastics | 2011-11-27 | Paper |
Backward stochastic PDEs related to the utility maximization problem
gmj | 2011-01-13 | Paper |
\(L^{2}\)-approximating pricing under restricted information
Applied Mathematics and Optimization | 2010-08-06 | Paper |
| L^2-hedging under partial observation | 2010-02-05 | Paper |
Mean-Variance Hedging Under Partial Information
SIAM Journal on Control and Optimization | 2009-09-29 | Paper |
| scientific article; zbMATH DE number 5375477 (Why is no real title available?) | 2008-12-01 | Paper |
| The change-point problem for continuous martingales | 2008-12-01 | Paper |
A Bayesian-martingale approach to the general disorder problem
Stochastic Processes and their Applications | 2007-07-27 | Paper |
An exponential martingale equation
Electronic Communications in Probability | 2006-11-03 | Paper |
| scientific article; zbMATH DE number 5066276 (Why is no real title available?) | 2006-10-23 | Paper |
Dynamic exponential utility indifference valuation
The Annals of Applied Probability | 2005-11-08 | Paper |
A semimartingale BSDE related to the minimal entropy martingale measure
Finance and Stochastics | 2005-05-20 | Paper |
| scientific article; zbMATH DE number 2140639 (Why is no real title available?) | 2005-03-04 | Paper |
| scientific article; zbMATH DE number 2113405 (Why is no real title available?) | 2004-11-01 | Paper |
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Backward Stochastic PDE and Imperfect Hedging
International Journal of Theoretical and Applied Finance | 2004-09-07 | Paper |
| scientific article; zbMATH DE number 2062295 (Why is no real title available?) | 2004-03-25 | Paper |
A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
A semimartingale Bellman equation and the variance-optimal martingale measure
Georgian Mathematical Journal | 2001-11-27 | Paper |
| scientific article; zbMATH DE number 1210646 (Why is no real title available?) | 2001-11-25 | Paper |
Semimartingale functions of a class of diffusion processes
Theory of Probability and its Applications | 2001-10-22 | Paper |
| scientific article; zbMATH DE number 1423786 (Why is no real title available?) | 2001-01-29 | Paper |
| scientific article; zbMATH DE number 1494201 (Why is no real title available?) | 2000-11-22 | Paper |
| scientific article; zbMATH DE number 1246360 (Why is no real title available?) | 1999-08-29 | Paper |
| scientific article; zbMATH DE number 1246360 (Why is no real title available?) | 1999-08-29 | Paper |
| scientific article; zbMATH DE number 1210652 (Why is no real title available?) | 1999-05-18 | Paper |
Semimartingale characterization of generalized derivatives
Stochastics and Stochastic Reports | 1998-04-19 | Paper |
| scientific article; zbMATH DE number 968627 (Why is no real title available?) | 1997-10-12 | Paper |
| scientific article; zbMATH DE number 968627 (Why is no real title available?) | 1997-10-12 | Paper |
On functions transforming a Wiener process into a semimartingale
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1997-09-09 | Paper |
| scientific article; zbMATH DE number 953302 (Why is no real title available?) | 1997-01-07 | Paper |
| scientific article; zbMATH DE number 219304 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 23002 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 4064171 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4042963 (Why is no real title available?) | 1987-01-01 | Paper |
Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
Stochastics | 1987-01-01 | Paper |
Optimal locally absolutely continuous change of measure. finite set of decisions. part i
Stochastics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3678852 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3586281 (Why is no real title available?) | 1977-01-01 | Paper |
