Wolfgang J. Runggaldier

25 papers Journal 22Unranked 2
YearRankTypeTitle / Venue / Authors
2024 J jnl
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation.
Eur. J. Oper. Res.
Sébastien Lleo, Wolfgang J. Runggaldier
2024 J jnl
Recent advances in mathematical methods for finance.
Ann. Oper. Res.
Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
2014 J jnl
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process.
SIAM J. Financial Math.
Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier
2012 J jnl
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance.
J. Appl. Probab.
Rosario Romera, Wolfgang J. Runggaldier
2010 J jnl
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach.
Finance Stochastics
Rüdiger Frey, Wolfgang J. Runggaldier
2006 J jnl
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach.
Autom.
Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier
2005 J jnl
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation.
Monte Carlo Methods Appl.
Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami
2004 J jnl
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities.
SIAM J. Control. Optim.
Michael Kirch, Wolfgang J. Runggaldier
2004 J jnl
Pathwise optimality for benchmark tracking.
IEEE Trans. Autom. Control.
Paolo Dai Pra, Wolfgang J. Runggaldier, Marco Tolotti
2003 — ch.
On Stochastic Control in Finance.
Mathematical Systems Theory in Biology, Communications, Computation, and Finance
Wolfgang J. Runggaldier
2002 J jnl
A robustness result for stochastic control.
Syst. Control. Lett.
Gino Favero, Wolfgang J. Runggaldier
2000 — conf
A robustness result for stochastic control.
CDC
Gino Favero, Wolfgang J. Runggaldier
1999 J jnl
A Bayesian Dynamic Programming approach tooptimal maintenance combined with burn-in.
Ann. Oper. Res.
Elisa Nicolato, Wolfgang J. Runggaldier
1999 J jnl
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times.
Math. Methods Oper. Res.
Rüdiger Frey, Wolfgang J. Runggaldier
1997 J jnl
On dynamic programming for sequential decision problems under a general form of uncertainty.
Math. Methods Oper. Res.
Paolo Dai Pra, Wolfgang J. Runggaldier, Cristina Rudari
1997 J jnl
Towards a general theory of bond markets.
Finance Stochastics
Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier
1996 J jnl
Connections between stochastic control and dynamic games.
Math. Control. Signals Syst.
Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier
1996 J jnl
On control of two-scale stochastic systems with linear dynamics in the fast variables.
Math. Control. Signals Syst.
Yuri M. Kabanov, Wolfgang J. Runggaldier
1995 J jnl
Nonlinear filters for linear models (a robust approach).
IEEE Trans. Inf. Theory
Robert Sh. Liptser, Wolfgang J. Runggaldier
1995 J jnl
Numerical aspects of monotone approximations in convex stochastic control problems.
Ann. Oper. Res.
Onésimo Hernández-Lerma, C. Piovesan, Wolfgang J. Runggaldier
1991 J jnl
Approximations for discrete-time adaptive control: Construction of ε-optimal controls.
Math. Control. Signals Syst.
Wolfgang J. Runggaldier, Omar Zane
1990 J jnl
Combined filtering and parameter estimation: Approximations and robustness.
Autom.
Wolfgang J. Runggaldier, C. Visentin
1982 J jnl
Approximations and bounds for a generalized optimal stopping problem.
Z. Oper. Research
Wolfgang J. Runggaldier, Fabio Spizzichino
1981 J jnl
A generalized certainty-equivalence result in stochastic control.
Autom.
Wolfgang J. Runggaldier
1973 — conf
An Approach to Identification and Optimization in Quality Control.
Optimization Techniques
Wolfgang J. Runggaldier, Giorgio Romanin-Jacur