Publications
] . “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
. “Robust strategies for optimal order execution in the Almgren-Chriss framework”. Appl. Math. Finance 20 (2013): 264–286.
. “Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 2013.
. “Some mathematical aspects of market impact modeling”. In Surveys in stochastic processes, 153–179. Eur. Math. Soc., Zürich, 2011.
. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.
. “Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets”. Finance Stoch. 13 (2009): 181–204.
. “Robust optimal control for a consumption-investment problem”. Math. Methods Oper. Res. 67 (2008): 1–20.
. “Optimal portfolio liquidation: market impact models and optimal control”. In MFO Oberwolfach Reports, 5:192-194, 2008, 5, 192-194.
. “Optimal investments for risk- and ambiguity-averse preferences: a duality approach”. Finance Stoch. 11 (2007): 107–129.
. “Robustness of delta hedging for path-dependent options in local volatility models”. J. Appl. Probab. 44 (2007): 865–879.
. “Risk measures and robust optimization problems”. Stoch. Models 22 (2006): 753–831.
. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
. “Optimal investments for robust utility functionals in complete market models”. Math. Oper. Res. 30 (2005): 750–764.
. “On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals”. Ann. Appl. Probab. 14 (2004): 1398–1423.
. “Geometric analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families”. Potential Anal. 17 (2002): 351–374.
. “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
. “Cramer's condition and Sanov's theorem”. Statist. Probab. Lett. 39 (1998): 55–60.
. “Geometric aspects of Fleming-Viot and Dawson-Watanabe processes”. Ann. Probab. 25 (1997): 1160–1179.
. “Moderate deviations and functional LIL for super-Brownian motion”. Stochastic Process. Appl. 72 (1997): 11–25.
. “Sample path large deviations for super-Brownian motion”. Probab. Theory Related Fields 104 (1996): 319–347.
