UB Paderborn / Katalog / Suche / in CDI

OPTIMAL TRANSPORTATION UNDER CONTROLLED STOCHASTIC DYNAMICS

The Annals of probability, 2013-09, Vol.41 (5), p.3201-3240

2013

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VISCOSITY SOLUTIONS OF FULLY NONLINEAR PARABOLIC PATH DEPENDENT PDES: PART I

The Annals of probability, 2016-03, Vol.44 (2), p.1212-1253

2016

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VISCOSITY SOLUTIONS OF FULLY NONLINEAR PARABOLIC PATH DEPENDENT PDES: PART II

The Annals of probability, 2016-07, Vol.44 (4), p.2507-2553

2016

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ON VISCOSITY SOLUTIONS OF PATH DEPENDENT PDES

The Annals of probability, 2014-01, Vol.42 (1), p.204-236

2014

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Wellposedness of second order backward SDEs

Probability theory and related fields, 2012-06, Vol.153 (1-2), p.149-190

2012

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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Touzi, Nizar

1. Aufl., 2013

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Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

SIAM journal on mathematical analysis, 2017-01, Vol.49 (5), p.4093-4116

2017

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A numerical algorithm for a class of BSDEs via the branching process

Stochastic processes and their applications, 2014-02, Vol.124 (2), p.1112-1140

2014

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Wellposedness of second order backward SDEs

Probability theory and related fields, 2012-06, Vol.153 (1-2), p.149-190

2012

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A PROBABILISTIC NUMERICAL METHOD FOR FULLY NONLINEAR PARABOLIC PDES

The Annals of applied probability, 2011-08, Vol.21 (4), p.1322-1364

2011

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OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

Mathematical finance, 2008-04, Vol.18 (2), p.239-268

2008

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Optimal make–take fees for market making regulation

Mathematical finance, 2021-01, Vol.31 (1), p.109-148

2021

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Stochastic processes and their applications, 2004-06, Vol.111 (2), p.175-206

2004

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UNBIASED SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

The Annals of applied probability, 2017-12, Vol.27 (6), p.3305-3341

2017

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Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

Communications in partial differential equations, 2015-11, Vol.40 (11), p.2005-2046

2015

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

Communications on pure and applied mathematics, 2007-07, Vol.60 (7), p.1081-1110

2007

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WEAK DYNAMIC PROGRAMMING PRINCIPLE FOR VISCOSITY SOLUTIONS

SIAM journal on control and optimization, 2011-01, Vol.49 (3), p.948-962

2011

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Optimal lifetime consumption and investment under a drawdown constraint

Finance and stochastics, 2008-07, Vol.12 (3), p.299-330

2008

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Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging

ESAIM. Proceedings and surveys, 2014-09, Vol.45, p.32-47

2014

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Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship

Operations research, 2024-05, Vol.72 (3), p.903-915

2024

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COMPLETE DUALITY FOR MARTINGALE OPTIMAL TRANSPORT ON THE LINE

The Annals of probability, 2017-09, Vol.45 (5), p.3038-3074

2017

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IRREDUCIBLE CONVEX PAVING FOR DECOMPOSITION OF MULTIDIMENSIONAL MARTINGALE TRANSPORT PLANS

The Annals of probability, 2019-05, Vol.47 (3), p.1726-1774

2019

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Is There a Golden Parachute in Sannikov’s Principal–Agent Problem?

Mathematics of operations research, 2024-05

2024

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Moral Hazard in Dynamic Risk Management

Management science, 2017-10, Vol.63 (10), p.3328-3346

2017

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A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS

The Annals of applied probability, 2014-02, Vol.24 (1), p.312-336

2014

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OPTIMAL TRANSPORTATION UNDER CONTROLLED STOCHASTIC DYNAMICS

VISCOSITY SOLUTIONS OF FULLY NONLINEAR PARABOLIC PATH DEPENDENT PDES: PART I

VISCOSITY SOLUTIONS OF FULLY NONLINEAR PARABOLIC PATH DEPENDENT PDES: PART II

ON VISCOSITY SOLUTIONS OF PATH DEPENDENT PDES

Wellposedness of second order backward SDEs

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

A numerical algorithm for a class of BSDEs via the branching process

Wellposedness of second order backward SDEs

A PROBABILISTIC NUMERICAL METHOD FOR FULLY NONLINEAR PARABOLIC PDES

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

Optimal make–take fees for market making regulation

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

UNBIASED SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

WEAK DYNAMIC PROGRAMMING PRINCIPLE FOR VISCOSITY SOLUTIONS

Optimal lifetime consumption and investment under a drawdown constraint

Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging

Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship

COMPLETE DUALITY FOR MARTINGALE OPTIMAL TRANSPORT ON THE LINE

IRREDUCIBLE CONVEX PAVING FOR DECOMPOSITION OF MULTIDIMENSIONAL MARTINGALE TRANSPORT PLANS

Is There a Golden Parachute in Sannikov’s Principal–Agent Problem?

Moral Hazard in Dynamic Risk Management

A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS

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