| Publication | Date of Publication | Type |
|---|
Nonlinear semimartingales and Markov processes with jumps
Journal of Evolution Equations | 2025-01-20 | Paper |
A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
NoDEA. Nonlinear Differential Equations and Applications | 2024-08-15 | Paper |
Nonlinear continuous semimartingales
Electronic Journal of Probability | 2024-01-17 | Paper |
| Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs | 2023-12-13 | Paper |
On the relation of one-dimensional diffusions on natural scale and their speed measures
Journal of Theoretical Probability | 2023-11-21 | Paper |
| A stochastic representation theorem for sublinear semigroups with non-local generators | 2023-11-06 | Paper |
| Nonlinear Semimartingales and Markov Processes with Jumps | 2023-10-16 | Paper |
| A limit theory for controlled McKean-Vlasov SPDEs | 2023-10-02 | Paper |
Robust utility maximization with nonlinear continuous semimartingales
Mathematics and Financial Economics | 2023-09-20 | Paper |
On the Feller-Dynkin and the martingale property of one-dimensional diffusions
Electronic Communications in Probability | 2023-08-02 | Paper |
Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations
Journal of Statistical Physics | 2023-07-24 | Paper |
| Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets | 2023-06-20 | Paper |
| A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs | 2023-04-18 | Paper |
| Separating Times for One-Dimensional Diffusions | 2022-11-11 | Paper |
On a theorem by A.S. Cherny for semilinear stochastic partial differential equations
Journal of Theoretical Probability | 2022-09-29 | Paper |
| Stochastic Processes under Parameter Uncertainty | 2022-09-21 | Paper |
A parabolic Harnack principle for balanced difference equations in random environments
Archive for Rational Mechanics and Analysis | 2022-07-15 | Paper |
On the existence of semimartingales with continuous characteristics
Stochastics | 2022-07-05 | Paper |
| A class of multidimensional nonlinear diffusions with the Feller property | 2022-05-31 | Paper |
| Markov selections and Feller properties of nonlinear diffusions | 2022-05-30 | Paper |
A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
Electronic Communications in Probability | 2022-01-06 | Paper |
On absolute continuity and singularity of multidimensional diffusions
Electronic Journal of Probability | 2021-07-21 | Paper |
Correction to: ``Cylindrical martingale problems associated with Lévy generators
Journal of Theoretical Probability | 2020-08-06 | Paper |
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
International Journal of Theoretical and Applied Finance | 2020-08-05 | Paper |
No arbitrage in continuous financial markets
Mathematics and Financial Economics | 2020-06-18 | Paper |
Limit theorems for cylindrical martingale problems associated with Lévy generators
Journal of Theoretical Probability | 2020-05-19 | Paper |
Lyapunov criteria for the Feller-Dynkin property of martingale problems
Stochastic Processes and their Applications | 2020-04-01 | Paper |
Cylindrical martingale problems associated with Lévy generators
Journal of Theoretical Probability | 2019-07-18 | Paper |
Couplings for processes with independent increments
Statistics & Probability Letters | 2019-02-20 | Paper |
Absolute continuity of semimartingales
Electronic Journal of Probability | 2019-02-14 | Paper |
Absolute continuity of semimartingales
Electronic Journal of Probability | 2019-02-14 | Paper |
Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models
Journal of Applied Probability | 2018-09-26 | Paper |
A note on the monotone stochastic order for processes with independent increments
Statistics & Probability Letters | 2018-07-03 | Paper |
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
Applied Mathematical Finance | 2018-04-06 | Paper |
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
International Journal of Theoretical and Applied Finance | 2018-03-15 | Paper |
| Monotone and Convex Stochastic Orders for Processes with Independent Increments | 2016-06-15 | Paper |
| Martingale Property in Terms of Semimartingale Problems | 2016-05-27 | Paper |
Robust Market Approximations: From Discrete to Continuous Time
(available as arXiv preprint) | N/A | Paper |
Stochastic solutions to Hamilton-Jacobi-Bellman Dirichlet problems
(available as arXiv preprint) | N/A | Paper |
