| Publication | Date of Publication | Type |
|---|
Limits of Limit-Order Books
Lecture Notes in Mathematics | 2023-12-03 | Paper |
Diffusion Limit of Poisson Limit-Order Book Models
| 2020-08-03 | Paper |
Utility maximization trading two futures with transaction costs
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Mimicking an Itō process by a solution of a stochastic differential equation
The Annals of Applied Probability | 2013-09-05 | Paper |
Futures trading with transaction costs
Illinois Journal of Mathematics | 2013-01-04 | Paper |
Heavy traffic analysis for EDF queues with reneging
The Annals of Applied Probability | 2011-05-11 | Paper |
Optimal Execution in a General One-Sided Limit-Order Book
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
Double Skorokhod Map and Reneging Real-Time Queues
Institute of Mathematical Statistics Collections | 2009-05-22 | Paper |
An explicit formula for the Skorokhod map on \([0,a\)]
The Annals of Probability | 2007-10-17 | Paper |
Accuracy of state space collapse for earliest-deadline-first queues
The Annals of Applied Probability | 2007-08-08 | Paper |
A Two‐Person Game for Pricing Convertible Bonds
SIAM Journal on Control and Optimization | 2007-07-25 | Paper |
A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
Mathematical Finance | 2005-05-09 | Paper |
Perpetual Convertible Bonds
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
Asymptotic analysis of optimal investment and consumption with transaction costs.
Finance and Stochastics | 2004-11-24 | Paper |
Stochastic calculus for finance. II: Continuous-time models.
Springer Finance | 2004-10-12 | Paper |
Stochastic calculus for finance. I: The binomial asset pricing model.
Springer Finance | 2004-10-12 | Paper |
Earliest-deadline-first service in heavy-traffic acyclic networks.
The Annals of Applied Probability | 2004-09-15 | Paper |
scientific article; zbMATH DE number 1487967 (Why is no real title available?)
| 2004-03-11 | Paper |
Real-time queues in heavy traffic with earliest-deadline-first queue discipline
The Annals of Applied Probability | 2003-05-06 | Paper |
Multiple-input heavy-traffic real-time queues.
The Annals of Applied Probability | 2003-05-06 | Paper |
Valuation of exotic options under shortselling constraints
Finance and Stochastics | 2002-12-01 | Paper |
Options on a traded account: Vacation calls, vacation puts and passport options
Finance and Stochastics | 2001-03-01 | Paper |
Robustness of the Black and Scholes Formula
Mathematical Finance | 1998-12-02 | Paper |
scientific article; zbMATH DE number 1095739 (Why is no real title available?)
| 1997-12-10 | Paper |
Equilibrium Models With Singular Asset Prices
Mathematical Finance | 1997-08-31 | Paper |
Optimal Investment and Consumption With Two Bonds and Transaction Costs1
Mathematical Finance | 1997-08-31 | Paper |
scientific article; zbMATH DE number 852307 (Why is no real title available?)
| 1996-07-24 | Paper |
There is no nontrivial hedging portfolio for option pricing with transaction costs
The Annals of Applied Probability | 1996-05-12 | Paper |
scientific article; zbMATH DE number 433051 (Why is no real title available?)
| 1994-12-12 | Paper |
Optimal investment and consumption with transaction costs
The Annals of Applied Probability | 1994-11-22 | Paper |
A Tribute to Wendell H. Fleming
SIAM Journal on Control and Optimization | 1993-09-13 | Paper |
scientific article; zbMATH DE number 192908 (Why is no real title available?)
| 1993-06-05 | Paper |
A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
The Annals of Applied Probability | 1993-01-16 | Paper |
scientific article; zbMATH DE number 51724 (Why is no real title available?)
| 1992-09-18 | Paper |
A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
The Annals of Applied Probability | 1992-06-28 | Paper |
scientific article; zbMATH DE number 16920 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 14970 (Why is no real title available?)
| 1992-06-25 | Paper |
A free boundary problem related to singular stochastic control: the parabolic case
Communications in Partial Differential Equations | 1992-06-25 | Paper |
Martingale and Duality Methods for Utility Maximization in an Incomplete Market
SIAM Journal on Control and Optimization | 1991-01-01 | Paper |
Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
Mathematics of Operations Research | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4213895 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4207175 (Why is no real title available?)
| 1990-01-01 | Paper |
Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
SIAM Journal on Control and Optimization | 1989-01-01 | Paper |
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
SIAM Journal on Control and Optimization | 1987-01-01 | Paper |
A decomposition of the Brownian path
Statistics & Probability Letters | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4010171 (Why is no real title available?)
| 1986-01-01 | Paper |
Equivalent models for finite-fuel stochastic control
Stochastics | 1986-01-01 | Paper |
Absolutely continuous and singular stochastic control†
Stochastics | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3943498 (Why is no real title available?)
| 1986-01-01 | Paper |
Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
SIAM Journal on Control and Optimization | 1985-01-01 | Paper |
scientific article; zbMATH DE number 4012262 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 4031479 (Why is no real title available?)
| 1985-01-01 | Paper |
Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
SIAM Journal on Control and Optimization | 1984-01-01 | Paper |
Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
SIAM Journal on Control and Optimization | 1984-01-01 | Paper |
Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
The Annals of Probability | 1984-01-01 | Paper |
Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
Mathematics of Operations Research | 1983-01-01 | Paper |
Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
SIAM Journal on Control and Optimization | 1981-01-01 | Paper |
Borel-approachable functions
Fundamenta Mathematicae | 1981-01-01 | Paper |
A note on optimal switching between two activities
Naval Research Logistics Quarterly | 1981-01-01 | Paper |
Strong consistency of a modified maximum likelihood estimator for controlled Markov chains
Journal of Applied Probability | 1980-01-01 | Paper |
Universally Measurable Policies in Dynamic Programming
Mathematics of Operations Research | 1979-01-01 | Paper |
Existence of optimal stationary policies in deterministic optimal control
Journal of Mathematical Analysis and Applications | 1979-01-01 | Paper |
Probability measures and the C-sets of Selivanovskij
Pacific Journal of Mathematics | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3633227 (Why is no real title available?)
| 1979-01-01 | Paper |
Stochastic optimal control. The discrete time case
Mathematics in Science and Engineering | 1978-01-01 | Paper |
Alternative Theoretical Frameworks for Finite Horizon Discrete-Time Stochastic Optimal Control
SIAM Journal on Control and Optimization | 1978-01-01 | Paper |
scientific article; zbMATH DE number 3718879 (Why is no real title available?)
| 1978-01-01 | Paper |
