Bank, Peter; Körber, Laura Merton’s optimal investment problem with jump signals. (English) Zbl 1511.91124 SIAM J. Financ. Math. 13, No. 4, 1302-1325 (2022). Reviewer: Claudio Fontana (Paris) MSC: 91G10 93E20 60J74 PDFBibTeX XMLCite \textit{P. Bank} and \textit{L. Körber}, SIAM J. Financ. Math. 13, No. 4, 1302--1325 (2022; Zbl 1511.91124) Full Text: DOI arXiv
Bank, Peter; Besslich, David On a stochastic representation theorem for Meyer-measurable processes. (English) Zbl 1480.60079 Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 3, 1336-1368 (2021). MSC: 60G07 60G40 60H30 93E20 PDFBibTeX XMLCite \textit{P. Bank} and \textit{D. Besslich}, Ann. Inst. Henri Poincaré, Probab. Stat. 57, No. 3, 1336--1368 (2021; Zbl 1480.60079) Full Text: DOI
Bank, Peter; Besslich, David Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. (English) Zbl 1476.93155 Ann. Appl. Probab. 30, No. 6, 2923-2962 (2020). MSC: 93E20 60H30 91B70 PDFBibTeX XMLCite \textit{P. Bank} and \textit{D. Besslich}, Ann. Appl. Probab. 30, No. 6, 2923--2962 (2020; Zbl 1476.93155) Full Text: DOI arXiv Link
Bank, Peter; Voß, Moritz Optimal investment with transient price impact. (English) Zbl 1429.91302 SIAM J. Financ. Math. 10, No. 3, 723-768 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G15 91G10 91G80 93E20 35Q91 PDFBibTeX XMLCite \textit{P. Bank} and \textit{M. Voß}, SIAM J. Financ. Math. 10, No. 3, 723--768 (2019; Zbl 1429.91302) Full Text: DOI arXiv Link
Bank, Peter; Voß, Moritz Linear quadratic stochastic control problems with stochastic terminal constraint. (English) Zbl 1387.93180 SIAM J. Control Optim. 56, No. 2, 672-699 (2018). MSC: 93E20 60H10 91G80 PDFBibTeX XMLCite \textit{P. Bank} and \textit{M. Voß}, SIAM J. Control Optim. 56, No. 2, 672--699 (2018; Zbl 1387.93180) Full Text: DOI arXiv
Bank, Peter; Kauppila, Helena Convex duality for stochastic singular control problems. (English) Zbl 1360.93765 Ann. Appl. Probab. 27, No. 1, 485-516 (2017). MSC: 93E20 91G80 46N10 91B08 PDFBibTeX XMLCite \textit{P. Bank} and \textit{H. Kauppila}, Ann. Appl. Probab. 27, No. 1, 485--516 (2017; Zbl 1360.93765) Full Text: DOI arXiv
Bank, Peter; Soner, H. Mete; Voß, Moritz Hedging with temporary price impact. (English) Zbl 1409.91226 Math. Financ. Econ. 11, No. 2, 215-239 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 91G10 91G80 93E20 60H30 PDFBibTeX XMLCite \textit{P. Bank} et al., Math. Financ. Econ. 11, No. 2, 215--239 (2017; Zbl 1409.91226) Full Text: DOI arXiv
Bank, Peter; Küchler, Christian On Gittins’ index theorem in continuous time. (English) Zbl 1120.93055 Stochastic Processes Appl. 117, No. 9, 1357-1371 (2007). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 93E20 60G07 60G40 60H25 91B16 91G80 PDFBibTeX XMLCite \textit{P. Bank} and \textit{C. Küchler}, Stochastic Processes Appl. 117, No. 9, 1357--1371 (2007; Zbl 1120.93055) Full Text: DOI
Bank, Peter Optimal control under a dynamic fuel constraint. (English) Zbl 1116.49306 SIAM J. Control Optim. 44, No. 4, 1529-1541 (2005). MSC: 49J55 93E20 60H30 91G10 PDFBibTeX XMLCite \textit{P. Bank}, SIAM J. Control Optim. 44, No. 4, 1529--1541 (2005; Zbl 1116.49306) Full Text: DOI
Bank, Peter Singular control of optional random measures. Stochastic optimization and representation problems arising in the microeconomic theory of intertemporal consumption choice. (English) Zbl 1190.93001 Berlin: Humboldt-Univ., Mathematisch-Naturwissenschaftliche Fakultät (Diss.). 154 p. (2000). MSC: 93-02 93E20 60G57 49L20 91B70 49K45 49J55 PDFBibTeX XMLCite \textit{P. Bank}, Singular control of optional random measures. Stochastic optimization and representation problems arising in the microeconomic theory of intertemporal consumption choice. Berlin: Humboldt-Univ., Mathematisch-Naturwissenschaftliche Fakultät (Diss.) (2000; Zbl 1190.93001) Full Text: Link