| Publication | Date of Publication | Type |
|---|
| De Finetti's Control Problem with Poisson Observations under Spectrally Positive Markov Additive Process | 2023-11-08 | Paper |
| Higher-order stochastic partial differential equations with branching noises | 2023-11-02 | Paper |
| A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant | 2023-06-14 | Paper |
| On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model | 2022-10-14 | Paper |
| Approximating Nash equilibrium for optimal consumption in stochastic growth model with jumps | 2022-10-13 | Paper |
| Large Sample Mean-Field Stochastic Optimization | 2022-08-23 | Paper |
| Probabilistic analysis of replicator–mutator equations | 2022-03-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5063047 | 2022-03-17 | Paper |
| Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing | 2021-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3380824 | 2021-09-29 | Paper |
| Mean Field Game of Optimal Relative Investment with Jump Risk | 2021-08-02 | Paper |
| Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives | 2020-09-09 | Paper |
| Risk-Sensitive Asset Management and Cascading Defaults | 2020-03-11 | Paper |
| Portfolio optimization of credit swap under funding costs | 2020-02-17 | Paper |
| Optimal credit investment and risk control for an insurer with regime-switching | 2019-05-08 | Paper |
| Credit portfolio selection with decaying contagion intensities | 2019-05-08 | Paper |
| The pricing of basket options: a weak convergence approach | 2019-02-22 | Paper |
| Optimal investment and risk control for an insurer with stochastic factor | 2019-02-22 | Paper |
| Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors | 2018-11-28 | Paper |
| Portfolio Choice with Market--Credit-Risk Dependencies | 2018-08-24 | Paper |
| Optimal investment of variance-swaps in jump-diffusion market with regime-switching | 2018-08-09 | Paper |
| Dynamic investment and counterparty risk | 2018-03-14 | Paper |
| Optimal Credit Investment with Borrowing Costs | 2017-06-02 | Paper |
| Optimal Investment Under Information Driven Contagious Distress | 2017-05-24 | Paper |
| Robust Optimization of Credit Portfolios | 2017-04-13 | Paper |
| Stochastic delay differential equations with jump reflection: invariant measure | 2016-11-25 | Paper |
| OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK | 2016-11-01 | Paper |
| Stability in distribution of Markov-modulated stochastic differential delay equations with reflection | 2016-08-08 | Paper |
| Systemic Risk in Interbanking Networks | 2015-06-26 | Paper |
| Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling | 2014-12-02 | Paper |
| Bilateral credit valuation adjustment for large credit derivatives portfolios | 2014-11-07 | Paper |
| Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy | 2014-07-16 | Paper |
| Credit Derivatives Pricing Based on Lévy Field Driven Term Structure | 2014-05-02 | Paper |
| On the default probability in a regime-switching regulated market | 2014-04-14 | Paper |
| On the conditional default probability in a regulated market with jump risk | 2014-03-04 | Paper |
| On the conditional default probability in a regulated market: a structural approach | 2013-12-13 | Paper |
| Kernel-correlated Lévy field driven forward rate and application to derivative pricing | 2013-10-21 | Paper |
| Optimal investment and consumption with default risk: HARA utility | 2013-09-20 | Paper |
| Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE | 2013-04-22 | Paper |
| Optimal portfolio and consumption selection with default risk | 2013-04-10 | Paper |
| FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES | 2013-03-05 | Paper |
| First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps | 2013-01-28 | Paper |
| First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers | 2013-01-19 | Paper |
| Stochastic portfolio optimization with default risk | 2012-11-22 | Paper |
| Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes | 2012-08-30 | Paper |
| Lévy risk model with two-sided jumps and a barrier dividend strategy | 2012-04-18 | Paper |
| Markov-modulated jump-diffusions for currency option pricing | 2012-02-10 | Paper |
| DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT | 2011-11-22 | Paper |
| First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries | 2011-10-25 | Paper |
| A note on stability in distribution of Markov-modulated stochastic differential equations with reflection | 2011-10-18 | Paper |
| Support theorem for a stochastic Cahn-Hilliard equation | 2011-09-09 | Paper |
| Exponential change of measure applied to term structures of interest rates and exchange rates | 2011-08-02 | Paper |
| Mean first passage times of two-dimensional processes with jumps | 2011-07-26 | Paper |
| On a stochastic interacting model with stepping-stone noises | 2011-07-26 | Paper |
| Some integral functionals of reflected SDEs and their applications in finance | 2011-04-28 | Paper |
| An optimal portfolio problem in a defaultable market | 2010-11-26 | Paper |
| Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes | 2010-10-22 | Paper |
| Variational solutions of dissipative jump-type stochastic evolution equations | 2010-10-22 | Paper |
| Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients | 2010-09-22 | Paper |
| On a stochastic wave equation driven by a non-Gaussian Lévy process | 2010-04-23 | Paper |
| Large deviations for perturbed reflected diffusion processes | 2010-03-18 | Paper |
| Jump type Cahn-Hilliard equations with fractional noises | 2009-12-15 | Paper |
| Approximating solutions of neutral stochastic evolution equations with jumps | 2009-12-02 | Paper |
| From Markov jump systems to two species competitive Lotka-Volterra equations with diffusion | 2009-11-11 | Paper |
| STOCHASTIC CAHN–HILLIARD EQUATION WITH FRACTIONAL NOISE | 2009-02-09 | Paper |
| Lyapunov exponent estimates of a class of higher-order stochastic Anderson models | 2008-10-28 | Paper |
| ON A NONLOCAL STOCHASTIC KURAMOTO–SIVASHINSKY EQUATION WITH JUMPS | 2008-05-20 | Paper |
| On a Class of Stochastic Anderson Models with Fractional Noises | 2008-04-29 | Paper |
| Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces | 2008-03-11 | Paper |
| Explosive solutions of stochastic wave equations with damping on \(\mathbb R^d\) | 2008-01-15 | Paper |
| On the first passage times of reflected O-U processes with two-sided barriers | 2007-01-04 | Paper |
| STOCHASTIC CAHN–HILLIARD PARTIAL DIFFERENTIAL EQUATIONS WITH LÉVY SPACETIME WHITE NOISES | 2006-08-14 | Paper |
