(with
J. Choi, G. Žitković)
Publications:
Stochastic
Perron's method and verification without smoothness using
viscosity comparison: obstacle problems and Dynkin games (with E.
Bayraktar)
to appear in Proceedings of the American Mathematical Society
Stochastic
Perron's method and
verification without smoothness using viscosity comparison: the linear
case (with E. Bayraktar)
to appear in Proceedings of the American Mathematical Society
Optimal
investment
with high-watermark performance fee
(with K. Janeček)
SIAM Jounral on Control and Optimization, Vol. 50, No. 2 (2012), 790-819
A note
on
admissibility when the
credit line is infinite (with S. Biagini)
Stochastics, Vol.
84, No. 2-3
(2012), 157-169
Optimal
investment on
finite horizon with random discrete order flow in
illiquid markets (with
P. Gassiat
and P. Pham)
the International Journal of Theoretical and Applied
Finance, Vol
14, No. 1 (2011),
17-40
In Which
Models do Mutual Fund Theorems Hold
True? (with W. Schachermayer and E. Taflin)
Finance and Stochastics, Vol
13 (2009),
49-77
Asymptotic
Analysis of Utility-Based
Hedging Strategies for Small Number of Contingent Claims
(with D. Kramkov)
Stochastic Processes and their Applications, Vol
117, No. 11 (2007), 1606-1620
Sensitivity Analysis of
Utility-Based
Prices and Risk-Tolerance Wealth Processes (with D. Kramkov)
Annals of Applied Probability, Vol.
16, No. 4 (2006), 2140-2194
A Two-Person Game for
Pricing Convertible
Bonds (with S.E. Shreve)
SIAM Journal on Control and Optimization Vol.
45, No. 4 (2006), 1508-1539
On the Two-Times
Differentiability of the
Value Functions in the Problem of Optimal Investment in Incomplete
Markets (with D. Kramkov)
Annals of Applied Probability, Vol.
16, No. 3 (2006), 1352-1384
Perpetual
Convertible
Bonds
(with I. Pikovsky and S.E. Shreve)
SIAM Journal on Control and Optimization, Vol
43, No.1 (2004), 58-85
Infinite Time
Horizon Optimal Control of the Semilinear Heat Equation
Nonlinear Functional Analysis and Applications, Vol.
7
No.
1 (2002), 69-83
A Riccati
Equation Approach to the Null Controllability of Linear
Systems
Communications in Applied Analysis, Vol.
6, No. 2 (2002),
163-177
Feedback Null
Controllability of the Semilinear Heat Equation
Differential Integral Equations, Vol.
15 No.1 (2002),
115-128
Null
Controllability
of an Infinite
Dimensional SDE with State-and-Control Dependent Noise
(with G. Tessitore)
Systems & Control Letters, Vol.
44 No. 5 (2001),
385-394
Slides based on unpublished work:
Asymptotic analysis of utility based
prices and hedging strategies for utilities defined on the whole real
line