Publications

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Author [ Title(Desc)] Type Year
A
Schied, Alexander , and Iryna Voloshchenko. “The associativity rule in pathwise functional Itô calculus”. arXiv: 1605.0886 (2016).
C
Alfonsi, Aurélien , and Alexander Schied. “Capacitary measures for completely monotone kernels via singular control”. SIAM J. Control Optim. 51 (2013): 1758–1780.
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 . “On a class of generalized Takagi functions with linear pathwise quadratic variation”. J. Math. Anal. Appl. 433 (2016): 974–990.
Föllmer, Hans , and Alexander Schied. “Coherent and convex risk measures”. In Encyclopedia of quantitative finance, 355–363. John Wiley & Sons, 2010.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Constrained portfolio liquidation in a limit order book model”. In Advances in mathematics of finance, 83:9–25. Polish Acad. Sci. Inst. Math., Warsaw, 2008.
Mishura, Yuliya , and Alexander Schied. “Constructing functions with prescribed pathwise quadratic variation”. J. Math. Anal. Appl. 442 (2016): 117–137.
Hernández-Hernández, Daniel , and Alexander Schied. “A control approach to robust utility maximization with logarithmic utility and time-consistent penalties”. Stochastic Process. Appl. 117 (2007): 980–1000.
Schied, Alexander . “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
Föllmer, Hans , and Alexander Schied. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
Schied, Alexander . “Cramer's condition and Sanov's theorem”. Statist. Probab. Lett. 39 (1998): 55–60.
D
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.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Domains of weak continuity of statistical functionals with a view toward robust statistics”. J. Multivariate Anal. 158 (2017): 1–19.
Lorenz, Christopher , and Alexander Schied. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.
Schied, Alexander , and Ching-Tang Wu. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
Gatheral, Jim , and Alexander Schied. “Dynamical models for market impact and algorithms for optimal order execution.”. In Handbook on Systemic Risk, 579–602. Cambridge University Press, 2013.
E
Schied, Alexander . “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Exponential resilience and decay of market impact”. In Econophysics of order-driven markets, 225–236. Springer, Milan, 2011.

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