Publications

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Author Title Type [ Year(Asc)]
Submitted
Hu, Hongda , Arthur Charpentier, Mario Ghossoub, and Alexander Schied. “Multiarmed bandits problem under the mean-variance setting” (Submitted). https://arxiv.org/abs/2212.09192.
Accepted
Han, Xiyue , and Alexander Schied. “A criterion for absolute continuity relative to the law of fractional Brownian motion”. Electronic Communications in Probability (Accepted). http://arxiv.org/abs/2306.11824.
Föllmer, Hans , and Alexander Schied. Stochastic Finance. An Introduction in Discrete Time. 5th revised and extended edition. De Gruyter, Accepted.
Han, Xiyue , and Alexander Schied. “The roughness exponent and its model-free estimation”. Annals of Applied Probability (Accepted). https://arxiv.org/abs/2111.10301.
2024
Luo, Peng , Alexander Schied, and Xiaole Xue. “The perturbation method applied to a robust optimization problem with constraint”. Mathematics and Financial Economics 18 (2024): 95-112. https://link.springer.com/article/10.1007/s11579-024-00358-y.
Schied, Alexander , and Zhenyuan Zhang. “Weierstrass bridges”. Transactions on the AMS 377, no. 4 (2024): 2947-2989. https://arxiv.org/abs/2304.04944.
2022
Han, Xiyue , Alexander Schied, and Zhenyuan Zhang. “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.
Neuman, Eyal , and Alexander Schied. “Protecting Pegged Currency Markets from Speculative Investors”. Mathematical Finance 32, no. 1 (2022): 405-420. http://dx.doi.org/10.1111/mafi.12324.
Han, Xiyue , and Alexander Schied. “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.
Embrechts, Paul , Alexander Schied, and Ruodu Wang. “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.
2021
Drapeau, Samuel , Peng Luo, Alexander Schied, and Dewen Xiong. “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.
Han, Xiyue , Alexander Schied, and Zhenyuan Zhang. “A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness”. Statist. Probab. Lett. 168 (2021): 108920, 6.
Liu, Peng , Alexander Schied, and Ruodu Wang. “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.
Schied, Alexander , and Elias Strehle. “On the minimizers of energy forms with completely monotone kernel”. Applied Mathematics and Optimization 83, no. 1 (2021): 177–205.
2020
Neuman, Eyal , Alexander Schied, Chengguo Weng, and Xiaole Xue. “A central bank strategy for defending a currency peg”. Systems Control Lett. 144 (2020): 104761, 7.
Schied, Alexander , and Zhenyuan Zhang. “On the $p$th variation of a class of fractal functions”. Proc. Amer. Math. Soc. 148 (2020): 5399–5412.
2019
Mishura, Yuliya , and Alexander Schied. “On (signed) Takagi-Landsberg functions: $p$th variation, maximum, and modulus of continuity”. J. Math. Anal. Appl. 473 (2019): 258–272.

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