| Publication | Date of Publication | Type |
|---|
Partial information in a mean-variance portfolio selection game
Mathematical Finance | 2026-03-06 | Paper |
Relaxed equilibria for time-inconsistent Markov decision processes
Mathematics of Operations Research | 2025-11-26 | Paper |
Convergence of policy iteration for entropy-regularized stochastic control problems
SIAM Journal on Control and Optimization | 2025-03-19 | Paper |
Epstein‐Zin utility maximization on a random horizon
Mathematical Finance | 2024-01-31 | Paper |
| Relaxed Equilibria for Time-Inconsistent Markov Decision Processes | 2023-07-09 | Paper |
| Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems | 2022-09-15 | Paper |
Minimizing the repayment cost of federal student loans
SIAM Review | 2022-08-05 | Paper |
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
Finance and Stochastics | 2022-04-01 | Paper |
Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
SIAM Journal on Control and Optimization | 2021-11-05 | Paper |
Asymptotic Optimality in Byzantine Distributed Quickest Change Detection
IEEE Transactions on Information Theory | 2021-09-07 | Paper |
Strong and weak equilibria for time-inconsistent stochastic control in continuous time
Mathematics of Operations Research | 2021-07-15 | Paper |
Optimal equilibria for multidimensional time-inconsistent stopping problems
SIAM Journal on Control and Optimization | 2021-05-28 | Paper |
Short communication: American student loans: repayment and valuation
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Optimal equilibria for time-inconsistent stopping problems in continuous time
Mathematical Finance | 2021-03-23 | Paper |
| Generalized Duality for Model-Free Superhedging given Marginals | 2019-09-13 | Paper |
Consumption, investment and healthcare with aging
Finance and Stochastics | 2019-04-24 | Paper |
Optimal consumption in the stochastic Ramsey problem without boundedness constraints
SIAM Journal on Control and Optimization | 2019-03-11 | Paper |
The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
SIAM Journal on Control and Optimization | 2019-02-19 | Paper |
Time-consistent stopping under decreasing impatience
Finance and Stochastics | 2018-01-16 | Paper |
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
(available as arXiv preprint) | 2017-12-21 | Paper |
The stochastic solution to a Cauchy problem for degenerate parabolic equations
Journal of Mathematical Analysis and Applications | 2017-03-28 | Paper |
Model-independent superhedging under portfolio constraints
Finance and Stochastics | 2016-03-29 | Paper |
On hedging American options under model uncertainty
SIAM Journal on Financial Mathematics | 2015-06-26 | Paper |
Robust maximization of asymptotic growth under covariance uncertainty
The Annals of Applied Probability | 2013-10-25 | Paper |
Robust maximization of asymptotic growth under covariance uncertainty
The Annals of Applied Probability | 2013-10-25 | Paper |
On the multidimensional controller-and-stopper games
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
Outperforming the market portfolio with a given probability
The Annals of Applied Probability | 2012-09-19 | Paper |
Outperforming the market portfolio with a given probability
The Annals of Applied Probability | 2012-09-19 | Paper |
