| Publication | Date of Publication | Type |
|---|
Reflected Brownian motion with drift in a wedge
Queueing Systems | 2024-03-14 | Paper |
Optimal cash management using impulse control
Indagationes Mathematicae. New Series | 2023-08-28 | Paper |
On the optimality of the earliest due date rule in stochastic scheduling and in queueing
European Journal of Operational Research | 2022-02-22 | Paper |
On the roughness of the paths of RBM in a wedge
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-11-20 | Paper |
Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
Stochastic Systems | 2018-03-14 | Paper |
Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
Stochastic Systems | 2018-03-14 | Paper |
| A Dirichlet Process Characterization of RBM in a Wedge | 2016-05-06 | Paper |
A Dirichlet Process Characterization of RBM in a Wedge
(available as arXiv preprint) | 2016-01-01 | Paper |
Optimal production management when demand depends on the business cycle
Operations Research | 2014-06-26 | Paper |
Optimal production management when demand depends on the business cycle
Operations Research | 2014-06-26 | Paper |
Optimal control of a mean-reverting inventory
Operations Research | 2011-11-17 | Paper |
Optimal investment in a defaultable bond
Mathematics and Financial Economics | 2008-09-04 | Paper |
PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
Mathematical Finance | 2006-09-25 | Paper |
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
Mathematics of Operations Research | 2005-11-11 | Paper |
Perpetual cell options with non-tradability
Optimal Control Applications & Methods | 2005-01-01 | Paper |
Maximum likelihood estimation of hidden Markov processes
The Annals of Applied Probability | 2004-03-30 | Paper |
Optimal trading strategy for an investor: the case of partial information
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Martingale Measures For A Class of Right‐Continuous Processes
Mathematical Finance | 1998-04-05 | Paper |
| scientific article; zbMATH DE number 852305 (Why is no real title available?) | 1996-07-24 | Paper |
Almost sure characterization of Martingales
Stochastics and Stochastic Reports | 1995-10-29 | Paper |
Utility maximization with partial information
Stochastic Processes and their Applications | 1995-05-23 | Paper |
| scientific article; zbMATH DE number 16920 (Why is no real title available?) | 1992-06-26 | Paper |
Optimal Consumption by a Bond Investor: The Case of Random Interest Rate Adapted to a Point Process
SIAM Journal on Control and Optimization | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4104661 (Why is no real title available?) | 1988-01-01 | Paper |
