Publications

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Author Title Type Year(Asc)
Submitted
Accepted
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.
Hu, Hongda, Arthur Charpentier, Mario Ghossoub, and Alexander Schied. “Multiarmed bandits problem under the mean-variance setting”. European Journal of Operational Research (Accepted). https://arxiv.org/abs/2212.09192.
2024
Han, Xiyue, and Alexander Schied. “A criterion for absolute continuity relative to the law of fractional Brownian motion”. Electronic Communications in Probability 29, no. 80 (2024): 1-10. https://doi.org/10.1214/24-ECP646.
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 of 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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