Publications
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“ The perturbation method applied to a robust optimization problem with constraint”. Mathematics and Financial Economics (Accepted). http://arxiv.org/abs/2402.08260.
. “Weierstrass bridges”. Transactions on the AMS 377, no. 4 (2024): 2947-2989. https://arxiv.org/abs/2304.04944.
. “A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class.”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://arxiv.org/abs/2102.02745.
. “Protecting Pegged Currency Markets from Speculative Investors”. Mathematical Finance 32, no. 1 (2022): 405-420. http://dx.doi.org/10.1111/mafi.12324.
. “Step roots of Littlewood polynomials and the extrema of functions in the Takagi class”. Mathematical Proceedings of the Cambridge Philosophical Society 173 (2022): 591–618. https://www.doi.org/10.1017/S0305004122000020.
. “Robustness in the Optimization of Risk Measures”. Operations Research 70, no. 1 (2022): 95-110. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3254587.
. “An FBSDE approach to market impact games with stochastic parameters”. Probability, Uncertainty and Quantitative Risk 6, no. 3 (2021): 237-260. https://www.aimsciences.org/article/doi/10.3934/puqr.2021012.
. “A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness”. Statist. Probab. Lett. 168 (2021): 108920, 6.
. “Distributional transforms, probability distortions, and their applications”. Mathematics of Operations Research 46, no. 4 (2021): 1490-1512. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419388.
. “On the minimizers of energy forms with completely monotone kernel”. Applied Mathematics and Optimization 83, no. 1 (2021): 177–205.
. “A central bank strategy for defending a currency peg”. Systems Control Lett. 144 (2020): 104761, 7.
. “On the $p$th variation of a class of fractal functions”. Proc. Amer. Math. Soc. 148 (2020): 5399–5412.
. “On (signed) Takagi-Landsberg functions: $p$th variation, maximum, and modulus of continuity”. J. Math. Anal. Appl. 473 (2019): 258–272.
. “A market impact game under transient price impact”. Math. Oper. Res. 44 (2019): 102–121.
. “Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons”. Market Microstructure and Liquidity 5, no. 01n04 (2019): 2050001. https://arxiv.org/1807.03813.
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