In Which Models do Mutual Fund Theorems Hold True? (with W. Schachermayer and E. Taflin)
Finance and Stochastics, Vol 13 (2009), 49-77
Asymptotic Analysis of Utility-Based Hedging Strategies for Small Number of Contingent Claims (with D. Kramkov)
Stochastic Processes and their Applications, Vol 117, No. 11 (2007), 1606-1620
Sensitivity Analysis of Utility-Based Prices and Risk-Tolerance Wealth Processes (with D. Kramkov)
Annals of Applied Probability, Vol. 16, No. 4 (2006), 2140-2194
A Two-Person Game for Pricing Convertible Bonds (with S.E. Shreve)
SIAM Journal on Control and Optimization Vol. 45, No. 4 (2006), 1508-1539
On the Two-Times Differentiability of the Value Functions in the Problem of Optimal Investment in Incomplete Markets (with D. Kramkov)
Annals of Applied Probability, Vol. 16, No. 3 (2006), 1352-1384
Perpetual Convertible
Bonds
(with I. Pikovsky and S.E. Shreve)
SIAM Journal on Control and Optimization, Vol 43, No.1 (2004), 58-85
Infinite Time Horizon Optimal Control of the Semilinear Heat Equation
Nonlinear Functional Analysis and Applications, Vol. 7 No.
1 (2002), 69-83
A Riccati Equation Approach to the Null Controllability of Linear
Systems
Communications in Applied Analysis, Vol. 6, No. 2 (2002),
163-177
Feedback Null Controllability of the Semilinear Heat Equation
Differential Integral Equations, Vol. 15 No.1 (2002), 115-128
Null Controllability of an Infinite
Dimensional SDE with State-and-Control Dependent Noise (with G. Tessitore)
Systems & Control Letters, Vol. 44 No. 5 (2001), 385-394