This is a list of published and accepted papers in mathematics and related fields. For preprints and journal published papers in other fields (mainly applied statistics), see the menu on the left.
Mini-Workshop: Statistical Challenges for Deep Generative Models (with Alain Oliviero-Durmus, Claudia Strauch, Lukas Trottner) Oberwolfach Rep. 22 (2025), no. 1, pp. 375–404 (journal)
On the time consistent solution to optimal stopping problems with expectation constraint (with Maike Klein, Boy Schultz), Applied Mathematics and Optimization, Volume 91, article number 11, (2025), 2025 (preprint, journal)
Data-driven rules for multidimensional reflection problems (with Asbjørn Holk Thomsen, Lukas Trottner), SIAM/ASA Journal on Uncertainty Quantification, Volume 12, Issue 4, 2024 (preprint, journal)
Learning to reflect: A unifying approach for data-driven stochastic control strategies (with C. Strauch, Lukas Trottner), Bernoulli 30 (3) 2074 - 2101, August 2024 (preprint, journal)
Is Learning in Biological Neural Networks based on Stochastic Gradient Descent? An analysis using stochastic processes (with J. Kallsen), Neural Computation, April 2024, 1-9 (preprint, journal)
Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems (with A. Bodnariu, K. Lindensjö), SIAM Journal on Control and Optimization, no. 2, 1261–1290, 2024 (preprint, journal)
Two sided ergodic singular control and mean field game for diffusions (with E Mordecki, FO Eguren), Decisions in Economics and Finance, Volume 48, pages 241–267, 2025 (preprint, journal)
Uniqueness of First Passage Time Distributions via Fredholm Integral Equations (with S. Fischer, O. Hallmann), Statistics & Probability Letters, Volume 203, December 2023, 109912 (preprint, journal)
A new integral equation for Brownian stopping problems with finite time horizon (with S. Fischer), Stochastic Processes and their Applications, Volume 162, Pages 338-360, 2023 (preprint, journal)
Nonparametric learning for impulse control problems (with C. Strauch), Annals of Applied Probability 33 (2), 1369 - 1387, 2023 (preprint, journal)
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (with Erhan Bayraktar, Christoph Belak, and Frank Thomas Seifried), SIAM Journal on Control and Optimization, Volume 60, No. 5, pp. 2712-2736, 2022 (preprint, journal)
Are American options European after all? (with J. Kallsen, M. Lenga), Annals of Applied Probability, Vol. 32, No. 2, 853-892, 2022 (preprint, journal)
General Optimal Stopping with Linear Costs (with T. Sohr), Volume 41, Issue 1, Pages 35-52, 2022 (preprint, journal)
On the Sn/n-Problem (with S. Fischer), Journal of Applied Probability, Volume 59, Issue 2, June 2022 (preprint, journal)
Competition versus Cooperation: A class of solvable mean field impulse control problems (with B. Neumann, T. Sohr), SIAM Journal on Control and Optimization, Volume 59, No. 5, pp. 3946–3972, 2021 (preprint, journal)
Moment constrained optimal dividends: precommitment & consistent planning (with K. Lindensjö), Advances in Applied Probability, Volume 54, Issue 2, pp. 404-432, June 2022 (preprint, journal)
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty (with L. Alvarez), Advances in Applied Probability , Volume 53 , Issue 2 , pp. 400 - 424, June 2021 (preprint, journal)
A Solution Technique for Lévy Driven Long Term Average Impulse Control Problems (with T. Sohr), Stochastic Processes and their Applications, Volume 130, Issue 12, Pages 7303-7337, 2020 (preprint, journal)
Note on the (non-)smoothness of discrete time value functions (with S. Fischer), Electronic Communications in Probability, Vol. 25, paper no. 59, 1-10 2020 (preprint, journal)
Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application (with. K. Lindensjö), Banach Center Publications, Vol. 122, Pages 53-76, 2020 (preprint, journal)
On time-inconsistent stopping problems and mixed strategy stopping times (with K. Lindensjö), Stochastic Processes and their Applications, Volume 130, Issue 5, May 2020, Pages 2886-2917 (preprint, journal)
The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems (with A. Irle), Stochastic Processes and their Applications, Volume 130, Issue 4, April 2020, Pages 1972-1993 (preprint, journal)
Utility Maximization in a Factor Model with Constant and Proportional Costs (with C. Belak), Finance and Stochastics, 23(1), 29-96, 2019 (journal, preprint)
A General Method for Finding the Optimal Threshold in Discrete Time (with A. Irle), Stochastics, 91(5), 728-753, 2019 (preprint, journal)
On optimal stopping of multidimensional diffusions (with F. Crocce, E. Mordecki, P. Salminen) Stochastic Processes and their Applications, Volume 129, Issue 7, Pages 2561-2581, 2019 (preprint, journal)
On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems (with K. Lindensjö), SIAM Journal on Control and Optimization, 56(6), 4228–4255, 2018 (preprint, journal)
Anscombe's Model for Sequential Clinical Trials Revisited (with S. Jobjörnsson), Sequential Analysis, Volume 37, Issue 1, 115-144, 2018 (preprint, journal)
Multidimensional Investment Problem (with P. Salminen), Mathematics and Financial Economics, Volume 12, 75–95, 2018 (journal)
Optimal portfolio selection under vanishing fixed transaction costs (with A. Irle, A. Ludwig), Advances in Applied Probability Volume 49, Issue 4 December 2017 , pp. 1116-1143 (journal, preprint)
A General Verification Result for Stochastic Impulse Control Problems (with C. Belak, F. Seifried), SIAM Journal on Control and Optimization, 55(2), 627–649, 2017 (preprint, journal)
Impulse control and expected suprema (with P. Salminen), Advances in Applied Probability 49.1, 238-257, 2017 (preprint, journal).
Editor’s Special Invited Paper: An Effective Method for the Explicit Solution of Sequential Problems on the Real Line, Sequential Analysis, Vol 36, Issue 1, 2-18, 2017 (journal).
Author's response (to discussion pieces on: Editor’s Special Invited Paper: An Effective Method for the Explicit Solution of Sequential Problems on the Real Line), Sequential Analysis, Vol 36, Issue 1, 33-37, 2017 (journal).
Classification error in multiclass discrimination from Markov data (with A. Irle,. L. Willert), Statistical Inference for Stochastic Processes, 19(3), 321-336, 2016 (preprint, journal).
Worst-Case Portfolio Optimization in a Market with Bubbles (with C. Belak and O. Menkens), International Journal of Theoretical and Applied Finance Vol. 19, No. 02, 1650009, 2016 (preprint, journal).
Convergence of switching diffusions (with A. Irle), Stochastic Processes and their Applications, Volume 125, Issue 9, 3623–3635, 2015 (preprint, journal).
Resolvent-Techniques For Multiple Exercise Problems (with J. Lempa), Applied Mathematics & Optimization, Volume 71, Issue 1, 95-123, 2015 (preprint, journal).
Discussion on “Sequential Estimation for Time Series Models” by T.N. Sriram and Ross Iaci, Invited Discussion Paper, Sequential Analysis, Volume 33, Issue 2, 158-160, 2015 (journal).
Worst-Case Optimal Investment with a Random Number of Crashes (with C. Belak and O. Menkens), Statistics and Probability Letters, Volume 90, 140 – 148, 2014 (preprint, journal).
On the Solution of General Impulse Control Problems Using Superharmonic Functions, Stochastic Processes and their Applications, Volume 124, Issue 1, 709–729, 2014 (preprint, journal).
A method for pricing American options using semi-infinite linear programming, Mathematical Finance, Vol. 24, Issue 1, 156 –172, 2014 (preprint, Journal).
On the Distribution of Random Variables Corresponding to Musielak-Orlicz Norms (with D. Alonso Gutiérrez, M. Passenbrunner, J. Prochno), Studia Mathematica, Volume 219, Issue 3, 269-287, 2013 (preprint, Journal).
Optimal stopping of strong Markov processes (with P. Salminen, B. Ta Quoc), Stochastic Processes and their Applications, Volume 123, Issue 3, 1138-1159, 2013 (preprint, Journal).
Optimal multiple stopping with random waiting times (with A. Irle, S. Jürgens), Sequential Analysis, Issue 3, 297-318, 2013 (preprint, journal).
Optimal decision under ambiguity for diffusion processes, Mathematical Methods of Operations Research, Volume 77, Issue 2, 207-226, 2013 (preprint, journal).
American Options with Guarantee - A Class of Two-sided Stopping Problems (with A. Irle), Statistics & Risk Modeling, Volume 30, Issue 3, 237 – 254, 2013 (Journal).
Generalized Fibonacci Numbers and Blackwell’s Renewal Theorem, Statistics and Probability Letters, Volume 82, 1665-1668, 2012 (preprint, journal).
Phasetype distributions and optimal stopping for autoregressive processes, Journal of Applied Probability, Volume 49, Issue 1, 22-39, 2012 (preprint, Journal).
An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences (with A. Irle, A. Novikov), Sequential Analysis, Volume 30, Issue 1, 79 - 93, 2011 (Journal).
A harmonic-function technique for the optimal stopping of diffusions (with A. Irle), Stochastics, Volume 83, Issue 4-6, 347-363, 2011 (Journal).
A note on pasting conditions for the American perpetual optimal stopping problem (with A. Irle), Statistics & Probability Letters, Volume 79, 349-353, 2009 (journal).
On sequential decision problems with constant costs of observation (with A. Irle), book chapter, In Stochastic Processes and Models in Operations Research, ed. Neelamegam Anbazhagan, 218-229 (2016).