Nicole Bäuerle

34 papers Journal 33Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Mean-Variance optimization in discrete-time decision processes with general utility function.
Autom.
Nicole Bäuerle, Anna Jaskiewicz, Andrzej S. Nowak
2025 J jnl
Time-Consistency in the Mean-Variance Problem: A New Perspective.
IEEE Trans. Autom. Control.
Nicole Bäuerle, Anna Jaskiewicz
2024 J jnl
Blackwell Optimality and Policy Stability for Long-Run Risk-Sensitive Stochastic Control.
SIAM J. Control. Optim.
Nicole Bäuerle, Marcin Pitera, Lukasz Stettner
2024 J jnl
Markov decision processes with risk-sensitive criteria: an overview.
Math. Methods Oper. Res.
Nicole Bäuerle, Anna Jaskiewicz
2024 J jnl
Optimal investment in ambiguous financial markets with learning.
Eur. J. Oper. Res.
Nicole Bäuerle, Antje Mahayni
2023 J jnl
Nash equilibria for relative investors via no-arbitrage arguments.
Math. Methods Oper. Res.
Nicole Bäuerle, Tamara Göll
2022 J jnl
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures.
Math. Oper. Res.
Nicole Bäuerle, Alexander Glauner
2022 J jnl
Markov decision processes with recursive risk measures.
Eur. J. Oper. Res.
Nicole Bäuerle, Alexander Glauner
2021 J jnl
Minimizing spectral risk measures applied to Markov decision processes.
Math. Methods Oper. Res.
Nicole Bäuerle, Alexander Glauner
2020 J jnl
Portfolio Optimization in Fractional and Rough Heston Models.
SIAM J. Financial Math.
Nicole Bäuerle, Sascha Desmettre
2019 J jnl
Martingale optimal transport in the discrete case via simple linear programming techniques.
Math. Methods Oper. Res.
Nicole Bäuerle, Daniel Schmithals
2018 J jnl
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes.
SIAM J. Control. Optim.
Nicole Bäuerle, Dirk Lange
2018 J jnl
Stochastic optimal growth model with risk sensitive preferences.
J. Econ. Theory
Nicole Bäuerle, Anna Jaskiewicz
2017 J jnl
Partially Observable Risk-Sensitive Markov Decision Processes.
Math. Oper. Res.
Nicole Bäuerle, Ulrich Rieder
2015 J jnl
Complete markets do not allow free cash flow streams.
Math. Methods Oper. Res.
Nicole Bäuerle, Stefanie Grether
2015 J jnl
Risk-sensitive dividend problems.
Eur. J. Oper. Res.
Nicole Bäuerle, Anna Jaskiewicz
2014 J jnl
Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations.
CoRR
Nicole Bäuerle, Igor Gilitschenski, Uwe D. Hanebeck
2014 J jnl
More Risk-Sensitive Markov Decision Processes.
Math. Oper. Res.
Nicole Bäuerle, Ulrich Rieder
2013 J jnl
Optimal Portfolios for Financial Markets with Wishart Volatility.
J. Appl. Probab.
Nicole Bäuerle, Zejing Li
2012 J jnl
The Relaxed Investor with Partial Information.
SIAM J. Financial Math.
Nicole Bäuerle, Sebastian P. Urban, Luitgard A. M. Veraart
2011 J jnl
Markov Decision Processes with Average-Value-at-Risk criteria.
Math. Methods Oper. Res.
Nicole Bäuerle, Jonathan Ott
2009 J jnl
Dynamic mean-risk optimization in a binomial model.
Math. Methods Oper. Res.
Nicole Bäuerle, André Mundt
2009 J jnl
MDP algorithms for portfolio optimization problems in pure jump markets.
Finance Stochastics
Nicole Bäuerle, Ulrich Rieder
2008 J jnl
Dependence properties and comparison results for Lévy processes.
Math. Methods Oper. Res.
Nicole Bäuerle, Anja Blatter, Alfred Müller
2007 J jnl
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways.
Eur. J. Oper. Res.
Nicole Bäuerle, O. Engelhardt-Funke, Michael Kolonko
2006 — conf
The Markov-Modulated Risk Model with Investment.
OR
Mirko Kötter, Nicole Bäuerle
2005 J jnl
Benchmark and mean-variance problems for insurers.
Math. Methods Oper. Res.
Nicole Bäuerle
2004 J jnl
Portfolio optimization with Markov-modulated stock prices and interest rates.
IEEE Trans. Autom. Control.
Nicole Bäuerle, Ulrich Rieder
2001 J jnl
Conservation Laws for Single-Server Fluid Networks.
Queueing Syst. Theory Appl.
Nicole Bäuerle, Shaler Stidham Jr.
2001 J jnl
Discounted Stochastic Fluid Programs.
Math. Oper. Res.
Nicole Bäuerle
2000 J jnl
Optimal control of single-server fluid networks.
Queueing Syst. Theory Appl.
Nicole Bäuerle, Ulrich Rieder
1999 J jnl
How to improve the performance of ATM multiplexers.
Oper. Res. Lett.
Nicole Bäuerle
1998 J jnl
Optimal scheduling in heterogeneous two-station queueing networks.
Math. Methods Oper. Res.
Nicole Bäuerle, Gabi Brüstl, Ulrich Rieder
1998 J jnl
The advantage of small machines in a stochastic fluid production process.
Math. Methods Oper. Res.
Nicole Bäuerle