178 results on '"Ankirchner, Stefan"'
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2. Wasserstein convergence rates for random bit approximations of continuous Markov processes
3. A functional limit theorem for coin tossing Markov chains
4. The Skorokhod embedding problem for inhomogeneous diffusions
5. Long Term Average Cost Control Problems Without Ergodicity
6. Gambling for Resurrection and the Heat Equation on a Triangle
7. OPTIMAL POSITION TARGETING VIA DECOUPLING FIELDS
8. On the joint survival probability of two collaborating firms.
9. THE ROLE OF CORRELATION IN DIFFUSION CONTROL RANKING GAMES.
10. Large Ranking Games with Diffusion Control.
11. A functional limit theorem for irregular SDEs
12. THE DE VYLDER-GOOVAERTS CONJECTURE HOLDS WITHIN THE DIFFUSION LIMIT
13. Finite, integrable and bounded time embeddings for diffusions
14. BSDEs with singular terminal condition and control problems with constraints
15. Credit risk premia and quadratic BSDEs with a single jump
16. On the joint survival probability of two collaborating firms
17. Pricing and hedging of derivatives based on non-tradable underlyings
18. On measure solutions of backward stochastic differential equations
19. Optimal cross hedging for insurance derivatives
20. Classical and Variational Differentiability of BSDEs with quadratic growth
21. The Shannon information of filtrations and the additional logarithmic utility of insiders
22. A Verification Theorem for Optimal Stopping Problems with Expectation Constraints
23. Large Ranking Games with Diffusion Control
24. Controlling the Occupation Time of an Exponential Martingale
25. Numerical approximation of irregular SDEs via Skorokhod embeddings
26. First passage time density of an Ornstein–Uhlenbeck process with broken drift
27. Finite, integrable and bounded time embeddings for diffusions
28. On the joint survival probability of two collaborating firms
29. Hedging with Residual Risk: A BSDE Approach
30. Cross-hedging minimum return guarantees: Basis and liquidity risks
31. Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints
32. Approximating stochastic gradient descent with diffusions: error expansions and impact of learning rate schedules
33. Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
34. Optimal portfolio liquidation with additional information
35. Properties of the EMCEL scheme for approximating irregular diffusions
36. A simple random walk game
37. Futures Cross-Hedging with a Stationary Basis
38. Large ranking games with non-observable diffusion control
39. A sharp upper bound for the expected interval occupation time of Brownian martingales
40. Monotone Utility Convergence
41. The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders
42. On measure solutions of backward stochastic differential equations
43. A transformation method to study the solvability of fully coupled FBSDEs
44. Cross hedging with stochastic correlation
45. Multiperiod Mean-Variance Portfolio Optimization via Market Cloning
46. Initial Enlargement of Filtrations and Entropy of Poisson Compensators
47. On filtration enlargements and purely discontinuous martingales
48. Wasserstein convergence rates for random bit approximations of continuous Markov processes
49. Solving fully coupled FBSDEs by minimizing a directly calculable error functional
50. A functional limit theorem for coin tossing Markov chains
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