Publications  (MathSciNet Listlist of selected results)  and Preprints  Co-authors Journal/Published version
Link
23
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi
preprint
ArXIv
22
Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Daniel Hernández-Hernández
preprint
ArXIv
21
Asymptotic Perron's method and simple Markov strategies in stochastic games and control
SIAM Journal on Control and Optimization, Vol 53, No. 4 (2015), 1713-1733
ArXiv
20
A note on the strong formulation of stochastic control problems with model uncertainty
Electronic Communications in Probability, Vol 19, No. 81 (2014), 1-10
ArXiv
19
On martingale problems with continuous time mixing and values of differential games without Isaacs conditions
SIAM Journal on Control and Optimization, Vol 52, No. 5 (2014), 2877-2890 ArXiv
18
Stochastic Perron's method and elementary strategies for  zero-sum differential games 
SIAM Journal on Control and Optimization, Vol 52, No. 3 (2014), 1693-1711 ArXiv
17
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations E. Bayraktar
SIAM Journal on Control and Optimization, Vol. 51, No. 6 (2013), 4274–4294 ArXiv
16
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs J. Choi and G. Žitković SIAM Journal on Control and Optimization, Vol. 51, No. 6 (2013), 4414–4449 ArXiv
15
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games E. Bayraktar
Proceedings of the American Mathematical Society, Vol 142, No 4 (2014), 1399-1412 ArXiv
14
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case E. Bayraktar
Proceedings of the American Mathematical Society, Vol. 140 (2012), 3645-3654 ArXiv
13
Optimal investment with high-watermark performance fee  K. Janeček SIAM Journal on Control and Optimization, Vol. 50, No. 2 (2012), 790-819
12
A note on admissibility when the credit line is infinite S. Biagini
Stochastics, Vol. 84,  No. 2-3 (2012), 157-169
11
Optimal investment on finite horizon with random discrete order flow in illiquid markets P. Gassiat and H. Pham
The International Journal of Theoretical and Applied Finance, Vol. 14, No. 1 (2011), 17-40 ArXiv
10
In Which Models do Mutual Fund Theorems Hold True? W. Schachermayer and E. Taflin Finance and Stochastics, Vol. 13 (2009), 49-77 ArXiv
9
Asymptotic Analysis of Utility-Based Hedging Strategies for Small Number of Contingent Claims D. Kramkov
Stochastic Processes and their Applications, Vol. 117, No. 11 (2007), 1606-1620
8
Sensitivity Analysis of Utility-Based Prices and Risk-Tolerance Wealth Processes D. Kramkov
Annals of Applied Probability, Vol. 16, No. 4 (2006), 2140-2194 ArXiv
7
A Two-Person Game for Pricing Convertible Bonds S. E. Shreve
SIAM Journal on Control and Optimization Vol. 45, No. 4 (2006), 1508-1539 
6
On the Two-Times Differentiability of the Value Functions in the Problem of Optimal Investment in Incomplete Markets D. Kramkov
Annals of Applied Probability, Vol. 16, No. 3 (2006), 1352-1384 ArXiv
5
Perpetual Convertible Bonds I. Pikovsky and  S.E. Shreve SIAM Journal on Control and Optimization, Vol. 43, No.1 (2004), 58-85
4
Infinite Time Horizon Optimal Control of the Semilinear Heat Equation
Nonlinear Functional Analysis and Applications,  Vol. 7, No. 1 (2002), 69-83 PDF
3
A Riccati  Equation Approach to the Null Controllability of Linear Systems
Communications in Applied Analysis, Vol. 6, No. 2 (2002),  163-177 PDF
2
Feedback Null Controllability of the Semilinear Heat Equation 
Differential Integral Equations, Vol. 15, No.1 (2002),  115-128 PDF
1
Null Controllability of an Infinite Dimensional SDE with State-and-Control Dependent Noise  G. Tessitore Systems & Control Letters, Vol. 44,  No. 5 (2001),  385-394

 Slides based on unpublished work:  Asymptotic analysis of utility based prices and hedging strategies for utilities defined on the whole real line