Elsewhere: [math people] [google] [google scholar]

- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 2018. 54:154-172 .
- Regularity of BSDEs with a convex constraint on the gains-process. Bernoulli 2018. 24:1613-1635 .
- First time to exit of a continuous Itô process: General moment estimates and ${\mathrm{L}}_{1}$-convergence rate for discrete time approximations. Bernoulli 2017. 23:1631-1662 .
- A general Doob-Meyer-Mertens decomposition for g-supermartingale systems. Electronic Journal of Probability 2016. 2016:- .
- Consistent price systems under model uncertainty. Finance and Stochastics 2016. 20:83-98 .
- Almost-sure hedging with permanent price impact. Finance and Stochastics 2016. 20:741-771 .
- BSDEs with weak terminal condition. The Annals of Probability 2015. 43:572-604 .
- Arbitrage and duality in nondominated discrete-time models. The Annals of Applied Probability 2015. 25:823-859 .
- Stochastic target games with controlled loss. The Annals of Applied Probability 2014. 24:899-934 .
- Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation. Finance and Stochastics 2013. 17:31-72 .
- No-arbitrage of second kind in countable markets with proportional transaction costs. The Annals of Applied Probability 2013. 23:427-454 .
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS. Mathematical Finance 2013. 23:366-386 .
- Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs. Electronic Journal of Probability 2009. 14:612-632 .
- Strong approximations of BSDEs in a domain. Bernoulli 2009. 15:1117-1147 .
- Discrete-time approximation for continuously and discretely reflected BSDEs. Stochastic Processes and their Applications 2008. 118:2269-2293 .
- Discrete-time approximation of decoupled forward-backward SDE with jumps. Stochastic Processes and their Applications 2008. 118:53-75 .
- Explicit characterization of the super-replication strategy in financial markets with partial transaction costs. Stochastic Processes and their Applications 2007. 117:655-672 .
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure. Finance and Stochastics 2006. 10:276-297 .
- Maturity randomization for stochastic control problems. The Annals of Applied Probability 2005. 15:2575-2605 .
- On the hedging of American options in discrete time markets with proportional transaction costs. Electronic Journal of Probability 2005. 10:746-760 .
- On the Hedging of American Options in Discrete Time with Proportional Transaction Costs. Electronic Journal of Probability 2005. 2005:- .
- Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. The Annals of Applied Probability 2005. 15:2393-2421 .
- On the Malliavin approach to Monte Carlo approximation of conditional expectations. Finance and Stochastics 2004. 8:45-71 .
- Wealth-path dependent utility maximization in incomplete markets. Finance and Stochastics 2004. 8:579-603 .
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Stochastic Processes and their Applications 2004. 111:175-206 .
- Utility maximization on the real line under proportional transaction costs. Finance and Stochastics 2002. 6:495-516 .
- Stochastic targets with mixed diffusion processes and viscosity solutions. Stochastic Processes and their Applications 2002. 101:273-302 .
- Explicit solution to the multivariate super-replication problem under transaction costs. The Annals of Applied Probability 2000. 10:685-708 .
- Explicit solution to the multivariate super-replication problem under transaction costs. The Annals of Applied Probability 2000. 10:685-708 .