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Bank, Peter - Institut für Mathematik, Technische Universität Berlin
American Options, Multiarmed Bandits, and Optimal Consumption Plans
A model for a large investor trading at market indifference prices. II: continuous-time case.
Existence and Structure of Stochastic Equilibria with
Stochastic Processes and their Applications 117 (2007) 13571371 www.elsevier.com/locate/spa
A model for a large investor trading at market indifference prices. I: single-period case.
The Annals of Probability 2004, Vol. 32, No. 1B, 10301067
Optimal Consumption Choice with Intertemporal Substitution y
Optimal Dynamic Choice of Durable and Perishable Goods By Peter Bank, Humboldt University of Berlin, and Frank Riedel, Stanford University
Singular Control of Optional Random Measures Stochastic Optimization and Representation
No Free Lunch for Large Investors Peter Bank \Lambda
Optimal Control under a Dynamic Fuel By Peter Bank
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
PARAMETER-DEPENDENT OPTIMAL STOPPING PROBLEMS FOR ONE-DIMENSIONAL DIFFUSIONS
Mathematics: A Key Technology in Finance
NonTime Additive Utility Optimization the Case of Certainty +
On a stochastic differential equation arising in a price impact model
Optimal Order Scheduling for Deterministic Liquidity Patterns
