| Publication | Date of Publication | Type |
|---|
Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
International Series in Operations Research & Management Science | 2017-11-30 | Paper |
Stochastic optimization for the ruin probability
PAMM | 2017-01-25 | Paper |
Numeraire portfolios and utility-based price systems under proportional transaction costs
Decisions in Economics and Finance | 2015-05-04 | Paper |
| scientific article; zbMATH DE number 5657867 (Why is no real title available?) | 2010-01-13 | Paper |
On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Control of ruin probabilities by discrete-time investments
Mathematical Methods of Operations Research | 2006-02-08 | Paper |
Piecewise deterministic Markov control processes with feedback controls and unbounded costs
Acta Applicandae Mathematicae | 2004-08-16 | Paper |
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
Decisions in Economics and Finance | 2004-01-08 | Paper |
| scientific article; zbMATH DE number 1786127 (Why is no real title available?) | 2002-08-21 | Paper |
| scientific article; zbMATH DE number 1642356 (Why is no real title available?) | 2002-07-07 | Paper |
Martingale measures and hedging for discrete-time financial markets
Mathematics of Operations Research | 2001-11-26 | Paper |
Portfolio optimization and martingale measures
Mathematical Finance | 2001-03-29 | Paper |
On value preserving and growth optimal portfolios
Mathematical Methods of Operations Research | 2000-05-17 | Paper |
Price systems constructed by optimal dynamic portfolios.
Mathematical Methods of Operations Research | 2000-01-01 | Paper |
| scientific article; zbMATH DE number 1355115 (Why is no real title available?) | 1999-10-31 | Paper |
On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
Insurance Mathematics & Economics | 1998-01-01 | Paper |
On Quadratic Cost Criteria for Option Hedging
Mathematics of Operations Research | 1994-05-18 | Paper |
On hitting times for jump-diffusion processes with past dependent local characteristics
Stochastic Processes and their Applications | 1993-12-09 | Paper |
Average Optimality in Dynamic Programming with General State Space
Mathematics of Operations Research | 1993-06-29 | Paper |
On the Second Optimality Equation for Semi-Markov Decision Models
Mathematics of Operations Research | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 45269 (Why is no real title available?) | 1992-09-17 | Paper |
On the chance to visit a goal set infinitely often
Optimization | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4135719 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4074842 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4062278 (Why is no real title available?) | 1988-01-01 | Paper |
Estimation and control in discounted stochastic dynamic programming
Stochastics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4012347 (Why is no real title available?) | 1986-01-01 | Paper |
Stationary policies and Markov policies in Borel dynamic programming
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3916050 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3898636 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3849001 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3841639 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3847226 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3833846 (Why is no real title available?) | 1983-01-01 | Paper |
Stationary Policies in Dynamic Programming Models Under Compactness Assumptions
Mathematics of Operations Research | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3800740 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3829658 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3731785 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3746827 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3679582 (Why is no real title available?) | 1980-01-01 | Paper |
On dynamic programming and statistical decision theory
The Annals of Statistics | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3624586 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3722444 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3604707 (Why is no real title available?) | 1977-01-01 | Paper |
On the Optimality of $(s,S)$-Policies in Dynamic Inventory Models with Finite Horizon
SIAM Journal on Applied Mathematics | 1976-01-01 | Paper |
Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1975-01-01 | Paper |
On dynamic programming: Compactness of the space of policies
Stochastic Processes and their Applications | 1975-01-01 | Paper |
A selection theorem for optimization problems
Archiv der Mathematik | 1974-01-01 | Paper |
On continuous dynamic programming with discrete time-parameter
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1972-01-01 | Paper |
The analysis of queues by state-dependent parameters by Markov renewal processes
Advances in Applied Probability | 1971-01-01 | Paper |
Über Lösungen einer Erneuerungsgleichung
Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3349650 (Why is no real title available?) | 1970-01-01 | Paper |
Markov Renewal Processes with Auxiliary Paths
Annals of Mathematical Statistics | 1970-01-01 | Paper |
Rates of convergence in markov renewal processes with auxiliary paths
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3366280 (Why is no real title available?) | 1968-01-01 | Paper |
