Peter Bank

11 papers Journal 11

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Stochastic Control with Signatures. SIAM J. Control. Optim. Peter Bank, Christian Bayer, Paul Hager, Sebastian Riedel, Tobias Nauen
2022	J	`jnl`	Merton's Optimal Investment Problem with Jump Signals. SIAM J. Financial Math. Peter Bank, Laura Körber
2021	J	`jnl`	Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM J. Financial Math. Peter Bank, Yan Dolinsky
2019	J	`jnl`	Optimal Investment with Transient Price Impact. SIAM J. Financial Math. Peter Bank, Moritz Voß
2018	J	`jnl`	Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint. SIAM J. Control. Optim. Peter Bank, Moritz Voß
2017	J	`jnl`	The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
2016	J	`jnl`	Superreplication when trading at market indifference prices. Finance Stochastics Peter Bank, Selim Gökay
2015	J	`jnl`	A model for a large investor trading at market indifference prices. I: Single-period case. Finance Stochastics Peter Bank, Dmitry O. Kramkov
2014	J	`jnl`	Optimal Order Scheduling for Deterministic Liquidity Patterns. SIAM J. Financial Math. Peter Bank, Antje Fruth
2005	J	`jnl`	Optimal Control under a Dynamic Fuel Constraint. SIAM J. Control. Optim. Peter Bank
2001	J	`jnl`	Existence and structure of stochastic equilibria with intertemporal substitution. Finance Stochastics Peter Bank, Frank Riedel