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Rate of convergence for particle approximation of PDEs in Wasserstein space.
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- Journal of Applied Probability, 2022, v. 59, n. 4, p. 992, doi. 10.1017/jpr.2021.102
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Optimal consumption with reference to past spending maximum.
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- Finance & Stochastics, 2022, v. 26, n. 2, p. 217, doi. 10.1007/s00780-022-00475-w
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- Article
Equilibrium price in intraday electricity markets.
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- Mathematical Finance, 2022, v. 32, n. 2, p. 517, doi. 10.1111/mafi.12340
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Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 1, p. 143, doi. 10.1007/s11009-019-09767-9
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- Article
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach.
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- Mathematical Finance, 2022, v. 32, n. 1, p. 349, doi. 10.1111/mafi.12320
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Mean-Variance Portfolio Selection with Tracking Error Penalization.
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- Mathematics (2227-7390), 2020, v. 8, n. 11, p. 1915, doi. 10.3390/math8111915
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A McKean–Vlasov approach to distributed electricity generation development.
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- Mathematical Methods of Operations Research, 2020, v. 91, n. 2, p. 269, doi. 10.1007/s00186-019-00692-8
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- Article
BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM.
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- International Journal of Theoretical & Applied Finance, 2019, v. 22, n. 7, p. N.PAG, doi. 10.1142/S0219024919500377
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A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems.
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- Journal of Optimization Theory & Applications, 2019, v. 181, n. 2, p. 347, doi. 10.1007/s10957-018-01453-z
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- Article
Dealing with Drift Uncertainty: A Bayesian Learning Approach.
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- Risks, 2019, v. 7, n. 1, p. 5, doi. 10.3390/risks7010005
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- Article
Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix.
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- Mathematical Finance, 2019, v. 29, n. 1, p. 174, doi. 10.1111/mafi.12169
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- Article
BELLMAN EQUATION AND VISCOSITY SOLUTIONS FOR MEAN-FIELD STOCHASTIC CONTROL PROBLEM.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2018, v. 24, n. 1, p. 437, doi. 10.1051/cocv/2017019
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Discrete Time McKean-Vlasov Control Problem: A Dynamic Programming Approach.
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- Applied Mathematics & Optimization, 2016, v. 74, n. 3, p. 487, doi. 10.1007/s00245-016-9386-9
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OPTIMAL HIGH-FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION.
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- Mathematical Finance, 2015, v. 25, n. 3, p. 545, doi. 10.1111/mafi.12042
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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 145, doi. 10.1515/mcma-2013-0024
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- Article
Optimal investment with counterparty risk: a default-density model approach.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 725, doi. 10.1007/s00780-010-0140-x
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- Article
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 1, p. 17, doi. 10.1142/S0219024911006243
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Optimal consumption policies in illiquid markets.
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- Finance & Stochastics, 2011, v. 15, n. 1, p. 85, doi. 10.1007/s00780-010-0123-y
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- Article
A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model.
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- Applied Mathematics & Optimization, 2009, v. 59, n. 2, p. 147, doi. 10.1007/s00245-008-9046-9
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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES.
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- Mathematical Finance, 2008, v. 18, n. 4, p. 613, doi. 10.1111/j.1467-9965.2008.00350.x
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A model of optimal portfolio selection under liquidity risk and price impact.
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- Finance & Stochastics, 2007, v. 11, n. 1, p. 51, doi. 10.1007/s00780-006-0025-1
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Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation.
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- Monte Carlo Methods & Applications, 2005, v. 11, n. 1, p. 57, doi. 10.1515/1569396054027283
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Wealth-path dependent utility maximization in incomplete markets.
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- Finance & Stochastics, 2004, v. 8, n. 4, p. 579, doi. 10.1007/s00780-004-0125-8
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A large deviations approach to optimal long term investment.
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- Finance & Stochastics, 2003, v. 7, n. 2, p. 169, doi. 10.1007/s007800200082
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Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints.
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- Applied Mathematics & Optimization, 2002, v. 46, n. 1, p. 55, doi. 10.1007/s00245-002-0735-5
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NO ARBITRAGE IN DISCRETE TIME UNDER PORTFOLIO CONSTRAINTS.
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- Mathematical Finance, 2001, v. 11, n. 3, p. 315, doi. 10.1111/1467-9965.00117
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- Article
Mean-Variance Hedging for Partially Observed Drift Processes.
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- International Journal of Theoretical & Applied Finance, 2001, v. 4, n. 2, p. 263, doi. 10.1142/S0219024901000985
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On quadratic hedging in continuous time.
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- Mathematical Methods of Operations Research, 2000, v. 51, n. 2, p. 315, doi. 10.1007/s001860050091
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A closed-form solution to the problem of super-replication under transaction costs.
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- Finance & Stochastics, 1999, v. 3, n. 1, p. 35
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Dynamic programming and mean-variance hedging.
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- Finance & Stochastics, 1999, v. 3, n. 1, p. 83, doi. 10.1007/s007800050053
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Mean-variance hedging for continuous processes: New proofs and examples.
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- Finance & Stochastics, 1998, v. 2, n. 2, p. 173, doi. 10.1007/s007800050037
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Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model.
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- Applied Mathematics & Optimization, 1997, v. 35, n. 2, p. 145, doi. 10.1007/s002459900042
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EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL.
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- Mathematical Finance, 1996, v. 6, n. 2, p. 215, doi. 10.1111/j.1467-9965.1996.tb00078.x
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- Article