 |
PETER LAKNERStern School of Business |
|
|
PETER LAKNERStern School of Business |
| IOMS | NYU | Stern School |
click here for
"Optomal Cash Management Using Impulse Control," with Josh Reed, Indagationes Mathematicae, Volume 34, Issue 5,
September 2023, Pages 1181-1205. .
click here for
"Reflected Brownian Motion with Drift in a Wedge," with Ziran Liu and Josh Reed, Queuing Systems:
Theory and Applications, Issue 3-4/2023.
click here for
"On the Optimality of the Earliest Due Date Rule in Stochastic Scheduling and in Queueing," with Richard Bryant and
Michael Pinedo, European Journal for Operational Research, Elsevier, Vol. 298(1) pages 202-212.
click here
for
"On the Roughness of the paths of RBM in a Wedge," with Josh Reed and Bert Zwart, Annales de l'Institut Henri Poincare., Probabilites et Statistiques, volume 55, pages 1566-1598, 2019.
click here
for
"Scaling limit of a limit order book via the regenerative characterization of Levy trees," with Josh Reed and Florian Simatos, in Stochastic Systems 7(2) 2013.
click here
for
"Optimal Production Management when Demand Depends on the Business Cycle," with Abel Cadenillas and Michael Pinedo, Operations Research, 61(4), 2013, pp. 1046-1062.
click here
for
"High Frequency Asymptotics for the Limit Order Book," with Josh Reed and Sasha Stoikov, Market Microstructure and Liquidity, Vol. 2, Number 1, June 2016.
click here
for
"Optimal Control of a Mean-Reverting Inventory," with Abel Cadenillas and Michael Pinedo, Operations Research (2010), Volume 58, No. 6, pp 1697-1710.
click here
for
"Optimal Investment in a Defaultable Bond," with Weijian Liang, Mathematics
and Financial Economics (2008), 283-310.
click here
for
"Perpetual Call Options with Non-Tradeability," with Ashay Kadam and Anand
Srinivasan, Optimal Control Applications and Methods 26 (2005), 107-127.
click here
for
"Portfolio Optimization with Downside Constraints," with Lan Ma
Nygren, Mathermatical Finance, Vol. 16, No. 2, pp. 283-299, April 2006
click here
for
"Maximum Likelihood Estimation of Hidden Diffusions," with Halina
Frydman, The Annals of Applied Probability 13 (2003),
1296-1312.
click here
for
"Optimal Bankruptcy Time and Consumption/Investment Policies on an
Infinite Horizon with a Continuous Debt Repayment until Bankruptcy," with
Monique Jeanblanc and Ashay Kadam, Mathematics of Operations Research, 2003.
click here for
"Optimal Trading Strategy for an Investor: the Case of Partial Information,"
Stochastic Processes and their Applications 76(1998),
77--97.
click here for
"Utility Maximization with Partial Information," Stochastic Processes and
their Applications 56 (1995), 247--249.
"Almost Sure Characterization of Martingales," with Marco Frittelli, Stochastics, Vol. 49, No.3+4, 1994, pp. 181--190.
click here
for
"Martingale Measures for a Class of Right--Continuous Processes,"
Mathematical Finance, Vol. 3/1, January 1993, pp.43--53.
