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- Controlled reflected SDEs and Neumann problem for backward SPDEs. The Annals of Applied Probability 2019. 29:2819-2848 .
- Rate control under heavy traffic with strategic servers. The Annals of Applied Probability 2019. 29:1-35 .
- On the robust Dynkin game. The Annals of Applied Probability 2017. 27:1702-1755 .
- Stochastic Perron for stochastic target games. The Annals of Applied Probability 2016. 26:1082-1110 .
- An $\alpha$-stable limit theorem under sublinear expectation. Bernoulli 2016. 22:2548-2578 .
- A rank-based mean field game in the strong formulation. Electronic Communications in Probability 2016. 2016:- .
- Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. The Annals of Applied Probability 2016. 26:3531-3558 .
- Weak reflection principle for Lévy processes. The Annals of Applied Probability 2015. 25:3251-3294 .
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. Mathematical Finance 2014. 24:627-650 .
- Robust maximization of asymptotic growth under covariance uncertainty. The Annals of Applied Probability 2013. 23:1817-1840 .
- Outperforming the market portfolio with a given probability. The Annals of Applied Probability 2012. 22:1465-1494 .
- Strict local martingale deflators and valuing American call-type options. Finance and Stochastics 2012. 16:275-291 .
- On the continuity of stochastic exit time control problems. Stochastic Analysis and Applications 2011. 29:48-60 .
- Pricing Asian options for jump diffusion. Mathematical Finance 2011. 21:117-143 .
- Proving regularity of the minimal probability of ruin via a game of stopping and control. Finance and Stochastics 2011. 15:785-818 .
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS. Mathematical Finance 2011. 21:681-701 .
- A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES. Mathematical Finance 2011. 21:493-517 .
- Optimal stopping for dynamic convex risk measures. Illinois Journal of Mathematics 2010. 54:1025-1067 .
- A unified treatment of dividend payment problems under fixed cost and implementation delays. Mathematical Methods of Operations Research 2010. 71:325-351 .
- Optimal investment strategy to minimize occupation time. Annals of Operations Research 2010. 176:389-408 .
- Inventory management with partially observed nonstationary demand. Annals of Operations Research 2010. 176:7-39 .
- Minimizing the lifetime shortfall or shortfall at death. Insurance: Mathematics & Economics 2009. 44:447-458 .
- Online change detection for a Poisson process with a phase-type change-time prior distribution. Sequential Analysis 2009. 28:218-250 .
- Sequential tracking of a hidden Markov chain using point process observations. Stochastic Processes and their Applications 2009. 119:1792-1822 .
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Mathematical Methods of Operations Research 2009. 70:505-525 .
- Optimizing venture capital investments in a jump diffusion model. Mathematical Methods of Operations Research 2008. 67:21-42 .
- Optimal time to change premiums. Mathematical Methods of Operations Research 2008. 68:125-158 .
- The effects of implementation delay on decision-making under uncertainty. Stochastic Processes and their Applications 2007. 117:333-358 .
- Minimizing the probability of lifetime ruin under borrowing constraints. Insurance: Mathematics & Economics 2007. 41:196-221 .
- Hedging life insurance with pure endowments. Insurance: Mathematics & Economics 2007. 40:435-444 .
- Correspondence between lifetime minimum wealth and utility of consumption. Finance and Stochastics 2007. 11:213-236 .
- Adaptive Poisson disorder problem. The Annals of Applied Probability 2006. 16:1190-1261 .
- The standard Poisson disorder problem revisited. Stochastic Processes and their Applications 2005. 115:1437-1450 .