Publications and Preprints
- Optimal bubble riding: A mean field game with varying entry times; with Shichun Wang Preprint 2022
- Optimal investment in a large population of competitive and heterogeneous Agents; with Xuchen Zhou Preprint 2022
- Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics; with Jiarui Chu Preprint 2021
- Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs; with Dylan Possamaļ Preprint 2021
- Laplace principle for large population games with control interaction; with Peng Luo Preprint 2021
- Maximum principle for stochastic control of SDEs with measurable drifts; with Olivier Menoukeu-Pamen Preprint 2021
- BSDEs driven by |z|^2/y and applications; with Khaled Bahlali. Preprint 2018
- Non-asymptotic convergence rates for the plug-in estimation of risk measures; with Daniel Bartl. Mathematics of Operations Research, to appear
- Stochastic control of optimized certainty equivalent; with Julio Backhoff and Max Reppen. SIAM Journal on Financial Mathematics. 13(3), 745--772, 2022
- Backward propagation of chaos; with Mathieu Lauriere. Electronic Journal of Probability. 27: 1--30, 2022
- Convergence of large population games to mean field games with interaction through the controls; with Mathieu Lauriere. SIAM Journal on Mathematical Analysis, 54(3), 2022
- Strong solutions of forward-backward stochastic differential equations with measurable coefficients; with Peng Luo and Olivier Menoukeu-Pamen Stochastic Processes and thier Applications 144, 1-22, 2022
- Representation of convex increasing functionals by countably additive measures; with Patrick Cheridito and Michael Kupper. Studia Mathematica 260(2), 121-140, 2021.
- Quadratic transportation inequalities for SDEs with measurable drifts; with Khaled Bahlali and Soufiane Mouchtabih. Proceedings of the AMS 149, 3583-3596. 2021 .
- Functional inequalities for forward and backward diffusions; with Daniel
Bartl. Electronic Journal of Probability 25(94), 1-22. 2020 DOI
- On the dynamic representation
of some time-inconsistent risk measures in a Brownian filtration;
with Julio
Backhoff. Mathematics and Financial Economics 14, 433-460. 2020 DOI
- Non-exponential Sanov and Schilder theorems: BSDEs, Schroedinger problems and control;
with Julio
Backhoff and Daniel Lacker.
Annals of Applied Probability 30(3), 1321-1367. 2020 DOI
- Strong solutions of some one-dimensional SDEs with random unbounded drifts with Olivier Menoukeu-Pamen. SIAM Journal on Mathematical Analysis 51(5), 4105–4141. 2019 DOI
- Duality for pathwise superhedging in continuous time; with Daniel
Bartl; Michael Kupper and David J. Proemel. Finance and Stochastics 23(3), 697–728. 2019 DOI
- Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients; with Olivier Menoukeu-Pamen and Youssef Ouknine. Journal of Theoretical Probability 32, 1892–1908. 2019 DOI
- Theoretical and empirical analysis of trading activity with Mathias Pohl; Alexander Ristig and Walter Schachermayer. Mathematical Programming 181, 405–434(2020) DOI
- Computational aspects of robust optimized certainty equivalent and option pricing; with Daniel Bartl and Samuel Drapeau. Mathematical Finance 30(1), 287-309. 2020 DOI
- Efficient hedging under ambiguity in continuous time. Probability, Uncertainty and Quantitative Risk, 2020 DOI
- BSDEs on finite and infinite
horizon with time delayed generators; with Peng Luo. Communications on Stochastic Analysis 12(1) 59-72. 2018 DOI
- Concentration of dynamic risk measures in a Brownian filtration Stochastic Processes and their Applications 129(5), 1477-1491. 2019 DOI
- Multidimensional Markovian FBSDEs with superquadratic growth; with Michael Kupper and Peng Luo. Stochastic Processes and their Applications 129(3), 902-923. 2019 DOI
- The amazing power of dimensional analysis: Quantifying market impact; with Mathias Pohl; Alexander Ristig and Walter Schachermayer. Market Microstructure and Liquidity 3(3&4) 1850004. 2018 DOI
- Duality formulas for robust pricing
and hedging in discrete time; with Patrick
Cheridito
and Michael Kupper. SIAM Journal on Financial Mathematics 8(1), 738-765. 2017 DOI
- Solvability of coupled FBSDEs with
diagonally quadratic generators; with Peng Luo. Stochastics and Dynamcis 17 (6), 1750043, 2017 DOI
- Duality for increasing convex
functionals with countably many marginal constraints; with Daniel
Bartl, Patrick
Cheridito
and Michael Kupper.
Banach Journal of Mathematical Analysis 11 (1) 72-89, 2017 DOI
- Minimal
supersolutions of convex BSDEs under constraints;
with Gregor Heyne, Michael Kupper and Christoph Mainberger. ESAIM Probability and Statistics 20, pp. 178-195, 2016 DOI
- Portfolio
optimization under nonlinear utility; with Gregor Heyne and Michael Kupper. International
Journal of Theoretical and Applied Finance 19 (5), 1650029, 2016 DOI
- Dual representation of
minimal supersolutions of convex BSDEs;
with Samuel Drapeau, Michael Kupper and Emanuela Rosazza Gianin. Annales de l'Institut Henry Poincare, Probabilites et Statistiques 52 (2) 868-887, 2016 DOI
Last updated: Sept. 2022
