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Peter Grandits

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2020 – today

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2023
[j7]
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Peter Grandits:
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem. Math. Control. Signals Syst. 35(4): 927-949 (2023)

2010 – 2019

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2016
[j6]
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Peter Grandits:
Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon. Math. Oper. Res. 41(3): 953-968 (2016)
2015
[j5]
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Peter Grandits:
An optimal consumption problem in finite time with a constraint on the ruin probability. Finance Stochastics 19(4): 791-847 (2015)
2014
[j4]
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Julia Eisenberg, Peter Grandits, Stefan Thonhauser:
Optimal Consumption Under Deterministic Income. J. Optim. Theory Appl. 160(1): 255-279 (2014)
2011
[j3]
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Peter Grandits, Stefan Thonhauser:
Risk averse asymptotics in a Black-Scholes market on a finite time horizon. Math. Methods Oper. Res. 74(1): 21-40 (2011)
2010
[j2]
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Peter Grandits, Grigory Temnov:
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation. Finance Stochastics 14(4): 569-591 (2010)

2000 – 2009

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2001
[j1]
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Peter Grandits:
Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE. SIAM J. Appl. Math. 62(2): 541-562 (2001)

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