| Publication | Date of Publication | Type |
|---|
| Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems | 2024-07-02 | Paper |
| A Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes | 2023-08-04 | Paper |
| Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets | 2023-06-20 | Paper |
| Separating Times for One-Dimensional Diffusions | 2022-11-11 | Paper |
| Properties of the EMCEL scheme for approximating irregular diffusions | 2022-01-21 | Paper |
| Self-exciting price impact via negative resilience in stochastic order books | 2021-12-07 | Paper |
| Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models | 2021-11-02 | Paper |
| Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters | 2021-09-08 | Paper |
| A functional limit theorem for coin tossing Markov chains | 2021-06-03 | Paper |
| Sequential tracking of an unobservable two-state Markov process under Brownian noise | 2021-04-29 | Paper |
| Wasserstein convergence rates for random bit approximations of continuous Markov processes | 2020-10-28 | Paper |
| Approximating exit times of continuous Markov processes | 2020-08-03 | Paper |
| Minimal embeddings of integrable processes in a Brownian motion | 2020-03-11 | Paper |
| Optimal trade execution in order books with stochastic liquidity | 2019-05-23 | Paper |
| Regression-Based Complexity Reduction of the Nested Monte Carlo Methods | 2018-08-10 | Paper |
| Regression-based variance reduction approach for strong approximation schemes | 2018-03-08 | Paper |
| Truncated control variates for weak approximation schemes | 2018-03-07 | Paper |
| Variance reduction for discretised diffusions via regression | 2017-11-02 | Paper |
| A functional limit theorem for irregular SDEs | 2017-09-15 | Paper |
| Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales | 2017-02-07 | Paper |
| WLLN for arrays of nonnegative random variables | 2017-01-16 | Paper |
| Processes that can be embedded in a geometric Brownian motion | 2016-06-08 | Paper |
| Numerical approximation of irregular SDEs via Skorokhod embeddings | 2016-05-30 | Paper |
| On the loss of the semimartingale property at the hitting time of a level | 2015-12-07 | Paper |
| On the submartingale/supermartingale property of diffusions in natural scale | 2015-08-20 | Paper |
| Optimal trade execution and price manipulation in order books with time-varying liquidity | 2014-11-05 | Paper |
| Convergence of integral functionals of one-dimensional diffusions | 2014-09-24 | Paper |
| A note on delta hedging in markets with jumps | 2014-05-30 | Paper |
| Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models | 2012-11-15 | Paper |
| Martingale Property of Generalized Stochastic Exponentials | 2012-08-29 | Paper |
| On the martingale property of certain local martingales | 2012-03-01 | Paper |
| A Note on a Paper by Wong and Heyde | 2011-10-25 | Paper |
| On Minimax Duality in Optimal Stopping | 2010-10-01 | Paper |
| Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation | 2010-08-16 | Paper |
| On a class of optimal stopping problems for diffusions with discontinuous coefficients | 2008-07-01 | Paper |
| Optimal stopping via measure transformation: the Beibel–Lerche approach | 2007-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493541 | 2006-10-23 | Paper |
| On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems | 2005-10-28 | Paper |
| Separating Times for Measures on Filtered Spaces | 2004-12-16 | Paper |
| The use of separating times in proving singularity of Gaussian measures | 2004-11-29 | Paper |
| Optimal forecasting of the time of attaining the maximum by Brownian motion | 2004-06-22 | Paper |
| No-arbitrage conditions in discrete financial models | 2002-03-05 | Paper |
