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Runggaldier, Wolfgang J.

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Author ID: runggaldier.wolfgang-j Recent zbMATH articles by "Runggaldier, Wolfgang J."
Published as: Runggaldier, W.; Runggaldier, W. J.; Runggaldier, Wolfgang; Runggaldier, Wolfgang J.
Documents Indexed: 131 Publications since 1969, including 5 Books
all top 5

Co-Authors

10 single-authored
23 Di Masi, Giovanni B.
6 Dai Pra, Paolo
5 Chiarella, Carl
5 Frey, Rüdiger
5 Gombani, Andrea
5 Kushner, Harold J.
5 Liptser, Robert
4 Kabanov, Yuriĭ Mikhaĭlovich
4 Platen, Eckhard
4 Spizzichino, Fabio L.
4 Stettner, Łukasz
3 Bhar, Ramaprasad
3 Fontana, Claudio
3 Nagai, Hideo
3 Pasquali, Sara
2 Bensoussan, Alain
2 Björk, Tomas
2 Callegaro, Giorgia
2 Ferrante, Marco
2 Finkbeiner, Bernd
2 Fujimoto, Kazufumi
2 Grbac, Zorana
2 Hernández-Lerma, Onésimo
2 Jaschke, Stefan R.
2 Meneghini, Lorenzo
2 Pascucci, Andrea
2 Pham, Huyên
2 Romera, Rosario
2 Rudari, Cristina
2 Taksar, Michael I.
2 Tolotti, Marco
2 Yasuda, Kazuhiro
1 Albertini, Francesca
1 Albrecher, Hansjörg
1 Andreatta, Giovanni
1 Antonello, Michele
1 Armellin, B.
1 Barozzi, B.
1 Bertola, Giulio
1 Bonollo, Michele
1 Chau, Huy N.
1 Chiariello, F.
1 Cipani, Luca
1 Clarotti, C. A.
1 Cogo, Riccardo
1 Corsi, Marco
1 di Emidio, Sara
1 Edoli, Enrico
1 Favero, Gino
1 Fischer, Paul E.
1 Florio, Silvia
1 Frasson, S.
1 Frittelli, Marco
1 Galesso, Giorgia
1 Hung, Hing
1 Jeanblanc, Monique
1 Kind, Paolo
1 Kirch, Michael
1 Korezlioglu, Hayri
1 Mancin, Jacopo
1 Meneghello, Laura
1 Mercurio, Fabio
1 Miller, Boris M.
1 Miller, Boris Mikhaĭlovich
1 Montes, Juan Miguel A.
1 Nicolato, Elisa
1 Piovesan, C.
1 Pratelli, Maurizio
1 Prezioso, Valentina
1 Prosdocimi, Cecilia
1 Ruf, Johannes
1 Sartori, Elena
1 Schachermayer, Walter
1 Schweizer, Martin
1 Sellami, Afef
1 Tankov, Peter
1 Trivellato, Barbara
1 Vargiolu, Tiziano
1 Visentin, Chiara
1 Zaccaria, Anna
1 Zane, Omar
all top 5

Serials

6 SIAM Journal on Control and Optimization
5 Systems & Control Letters
5 Mathematical Finance
4 Applied Mathematics and Optimization
4 Asia-Pacific Financial Markets
3 MCSS. Mathematics of Control, Signals, and Systems
3 Annals of Operations Research
3 International Journal of Theoretical and Applied Finance
2 Automatica
2 IEEE Transactions on Automatic Control
2 Insurance Mathematics & Economics
2 The Annals of Applied Probability
2 Stochastic Processes and their Applications
2 Stochastics and Stochastics Reports
2 Finance and Stochastics
2 Mathematical Methods of Operations Research
2 Methods of Operations Research
2 Unitext
1 Advances in Applied Probability
1 IEEE Transactions on Information Theory
1 Stochastics
1 Teoriya Veroyatnosteĭ i eë Primeneniya
1 Bulletin of Mathematical Biology
1 Theory of Probability and its Applications
1 Journal of Applied Probability
1 Journal of Mathematical Economics
1 Mathematical Programming Study
1 Rendiconti del Seminario Matemàtico e Fisico di Milano
1 Acta Applicandae Mathematicae
1 Journal of Economic Dynamics & Control
1 Zeitschrift für Operations Research. Serie A: Theorie
1 Bollettino della Unione Matemàtica Italiana. Serie VII. A
1 Journal of Mathematical Systems, Estimation, and Control
1 Monte Carlo Methods and Applications
1 Applied Mathematical Finance
1 Bernoulli
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Studies in Nonlinear Dynamics and Econometrics
1 Bollettino della Unione Matematica Italiana. Serie VIII. Sezione A. La Matematica nella Società e nella Cultura
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 Lecture Notes in Mathematics
1 Mathematics and Financial Economics
1 Radon Series on Computational and Applied Mathematics
1 SIAM Journal on Financial Mathematics
1 SpringerBriefs in Quantitative Finance

Publications by Year

Citations contained in zbMATH Open

93 Publications have been cited 732 times in 556 Documents Cited by Year
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
98
1997
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
67
1997
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
45
2001
Mean-variance hedging of options on stocks with Markov volatilities. Zbl 0836.60075
Di Masi, G. B.; Kabanov, Yu. M.; Runggaldier, W. J.
39
1994
Large portfolio losses: A dynamic contagion model. Zbl 1159.60353
Pra, Paolo Dai; Runggaldier, Wolfgang J.; Sartori, Elena; Tolotti, Marco
32
2009
Connections between stochastic control and dynamic games. Zbl 0874.93096
Pra, Paolo Dai; Meneghini, Lorenzo; Runggaldier, Wolfgang J.
30
1996
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Zbl 1226.91075
Frey, Rüdiger; Runggaldier, Wolfgang
21
2010
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Zbl 0998.91026
Frey, Rüdiger; Runggaldier, Wolfgang J.
20
1999
Nearly optimal state feedback controls for stochastic systems with wideband noise disturbances. Zbl 0621.93079
Kushner, Harold J.; Runggaldier, W.
19
1987
Interest rate modeling: post-crisis challenges and approaches. Zbl 1418.91553
Grbac, Zorana; Runggaldier, Wolfgang J.
18
2015
Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities. Zbl 1101.91041
Kirch, Michael; Runggaldier, Wolfgang J.
18
2004
Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process. Zbl 0901.93069
Miller, Boris M.; Runggaldier, Wolfgang J.
12
1997
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068
Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
11
2006
Monotone approximations for convex stochastic control problems. Zbl 0812.93078
Hernández-Lerma, Onésimo; Runggaldier, Wolfgang J.
11
1994
Diffusion-based models for financial markets without martingale measures. Zbl 1306.91125
Fontana, Claudio; Runggaldier, Wolfgang J.
10
2013
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
10
2005
PDE approach to utility maximization for market models with hidden Markov factors. Zbl 1140.93049
Nagai, Hideo; Runggaldier, Wolfgang J.
9
2008
A stochastic control approach to risk management under restricted information. Zbl 1034.91045
Runggaldier, Wolfgang J.; Zaccaria, Anna
9
2000
Option pricing for jump diffusions: approximations and their interpretation. Zbl 0884.90043
Mercurio, Fabio; Runggaldier, Wolfgang J.
9
1993
An approach to discrete-time stochastic control problems under partial observation. Zbl 0615.93078
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
8
1987
An approximation for the nonlinear filtering problem, with error bound. Zbl 0566.60046
Di Masi, G. B.; Pratelli, M.; Runggaldier, W. J.
8
1985
On measure transformations for combined filtering and parameter estimation in discrete time. Zbl 0483.93081
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
8
1982
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
A Bayesian adaptive control approach to risk management in a binomial model. Zbl 1060.91086
Runggaldier, W.; Trivellato, B.; Vargiolu, T.
7
2002
Optimization of observations: a stochastic control approach. Zbl 0880.93061
Miller, Boris M.; Runggaldier, Wolfgang J.
7
1997
Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009
Di Masi, G. B.; Platen, E.; Runggaldier, W. J.
7
1995
Filtering for nonlinear systems driven by nonwhite noises: An approximation scheme. Zbl 0786.60058
Korezlioglu, Hayri; Runggaldier, Wolfgang J.
7
1993
Diffusion approximation in past dependent models and applications to option pricing. Zbl 0734.60035
Kind, Paolo; Liptser, Robert Sh.; Runggaldier, Wolfgang J.
7
1991
On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions. Zbl 0747.60058
Runggaldier, W. J.; Stettner, Ł.
7
1991
Filtering and control for wide bandwidth noise driven systems. Zbl 0617.93060
Kushner, Harold J.; Runggaldier, Wolfgang J.
7
1987
Continuous-time approximations for the nonlinear filtering problem. Zbl 0431.93046
Di Masi, G. B.; Runggaldier, W. J.
7
1981
A systematic approach to constructing market models with arbitrage. Zbl 1325.91064
Ruf, Johannes; Runggaldier, Wolfgang J.
6
2014
On optimal investment in a reinsurance context with a point process market model. Zbl 1231.91180
Edoli, Enrico; Runggaldier, Wolfgang J.
6
2010
A filtering approach to pricing in multifactor term structure models. Zbl 1153.91420
Gombani, Andrea; Runggaldier, Wolfgang J.
6
2001
Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach. Zbl 0981.62077
Runggaldier, Wolfgang J.; Spizzichino, Fabio
6
2001
Concepts and methods for discrete and continuous time control under uncertainty. Zbl 0916.93085
Runggaldier, Wolfgang J.
6
1998
On classical and restricted impulse stochastic control for the exchange rate. Zbl 1358.93187
Bertola, Giulio; Runggaldier, Wolfgang J.; Yasuda, Kazuhiro
5
2016
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
5
2009
On necessary conditions for the existence of finite-dimensional filters in discrete time. Zbl 0692.93074
Ferrante, Marco; Runggaldier, Wolfgang J.
5
1990
An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls. Zbl 0653.93069
Bensoussan, A.; Runggaldier, W.
5
1987
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.
4
2014
Expected power-utility maximization under incomplete information and with Cox-process observations. Zbl 1259.93133
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.
4
2013
Nonlinear filtering in models for interest-rate and credit risk. Zbl 1458.62241
Frey, R.; Runggaldier, W.
4
2011
A filtered no arbitrage model for term structures from noisy data. Zbl 1151.91510
Gombani, Andrea; Jaschke, Stefan R.; Runggaldier, Wolfgang J.
4
2005
Numerical aspects of monotone approximations in convex stochastic control problems. Zbl 0832.93062
Hernández-Lerma, O.; Piovesan, C.; Runggaldier, W. J.
4
1995
On approximation methods for nonlinear filtering. Zbl 0499.93057
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
4
1982
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
3
2018
Ruin probabilities in a finite-horizon risk model with investment and reinsurance. Zbl 1255.91185
Romera, R.; Runggaldier, W.
3
2012
Credit risk and incomplete information: filtering and EM parameter estimation. Zbl 1233.91298
Fontana, Claudio; Runggaldier, Wolfgang J.
3
2010
Consistent price systems for subfiltrations. Zbl 1182.91216
Gombani, Andrea; Jaschke, Stefan; Runggaldier, Wolfgang
3
2007
Pathwise optimality for benchmark tracking. Zbl 1366.91167
Dai Pra, Paolo; Runggaldier, Wolfgang J.; Tolotti, Marco
3
2004
Inferring the forward looking equity risk premium from derivative prices. Zbl 1081.91522
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J.
3
2004
Estimation via stochastic filtering in financial market models. Zbl 1085.91029
Runggaldier, Wolfgang J.
3
2004
On filtering in Markovian term structure models: An approximation approach. Zbl 1050.91039
Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J.
3
2001
Diffusion approximation and optimal stochastic control. Zbl 0974.60066
Liptser, R.; Runggaldier, W. J.; Taksar, M.
3
1999
Explicit solutions for multivariate, discrete-time control problems under uncertainty. Zbl 0909.93042
Dai Pra, Paolo; Meneghini, L.; Runggaldier, Wolfgang J.
3
1998
A stochastic control model for hedging in incomplete markets. Zbl 0926.91019
Frasson, S.; Runggaldier, W. J.
3
1997
Deterministic approximation for stochastic control problems. Zbl 0867.93085
Liptser, R. Sh.; Runggaldier, W. J.; Taksar, M.
3
1996
Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. Zbl 1247.91001
Pascucci, Andrea; Runggaldier, Wolfgang J.
2
2012
Advanced financial modelling. Zbl 1177.91006
Albrecher, Hansjörg (ed.); Runggaldier, Wolfgang J. (ed.); Schachermayer, Walter (ed.)
2
2009
Affine credit risk models under incomplete information. Zbl 1211.91244
Frey, Rüdiger; Prosdocimi, Cecilia; Runggaldier, Wolfgang J.
2
2007
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J.
2
2004
On stochastic control in finance. Zbl 1156.93408
Runggaldier, Wolfgang J.
2
2003
Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm. Zbl 1022.91026
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J.
2
2002
A robustness result for stochastic control. Zbl 0994.93008
Favero, Gino; Runggaldier, Wolfgang J.
2
2002
Risk minimizing hedging strategies under partial observation. Zbl 0936.91020
Fischer, Paul; Platen, Eckhard; Runggaldier, Wolfgang J.
2
1999
Convergence of option values under incompleteness. Zbl 0827.60026
Runggaldier, Wolfgang J.; Schweizer, Martin
2
1995
Finite-dimensionality in discrete-time nonlinear filtering from a Bayesian statistics viewpoint. Zbl 0635.93066
Runggaldier, W. J.; Spizzichino, F.
2
1987
On recursive approximations with error bounds in nonlinear filtering. Zbl 0597.93053
Di Masi, G. B.; Runggaldier, W. J.; Armellin, B.
2
1986
Generalized finite-dimensional filters in discrete time. Zbl 0518.93057
Di Masi, G. B.; Runggaldier, W. J.; Barozzi, B.
2
1983
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model. Zbl 1398.91594
Grbac, Zorana; Meneghello, Laura; Runggaldier, Wolfgang J.
1
2016
On the existence of martingale measures in jump diffusion market models. Zbl 1325.91051
Mancin, Jacopo; Runggaldier, Wolfgang J.
1
2014
Arbitrage-free multifactor term structure models: a theory based on stochastic control. Zbl 1286.91135
Gombani, Andrea; Runggaldier, Wolfgang J.
1
2013
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451
Platen, Eckhard; Runggaldier, Wolfgang J.
1
2007
Computing efficient hedging strategies in discontinuous market models. Zbl 1143.60043
Runggaldier, Wolfgang J.; di Emidio, Sara
1
2006
The volatility of the instantaneous spot interest rate implied by arbitrage pricing – a dynamic Bayesian approach. Zbl 1157.91353
Bhar, Ramaprasad; Chiarella, Carl; Hung, Hing; Runggaldier, Wolfgang J.
1
2006
On dynamic programming for sequential decision problems under a general form of uncertainty. Zbl 0880.90133
Dai Pra, Paolo; Runggaldier, Wolfgang J.; Rudari, Cristina
1
1997
On control of two-scale stochastic systems with linear dynamics in the fast variables. Zbl 0901.93072
Kabanov, Yuri M.; Runggaldier, Wolfgang J.
1
1996
Nonlinear filters for linear models (a robust approach). Zbl 0837.93071
Lipster, Robert Sh.; Runggaldier, Wolfgang J.
1
1995
Nearly optimal controls for stochastic ergodic problems with partial observation. Zbl 0770.93092
Runggaldier, Wolfgang J.; Stettner, Łukasz
1
1993
On diffusion approximations for filtering. Zbl 0732.60054
Liptser, Robert Sh.; Runggaldier, Wolfgang J.
1
1991
On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs. Zbl 0717.90085
Runggaldier, Wolfgang J.
1
1991
Approximations for discrete-time adaptive control: Construction of \(\varepsilon\)-optimal controls. Zbl 0736.93080
Runggaldier, Wolfgang J.; Zane, Omar
1
1991
Combined filtering and parameter estimation: Approximations and robustness. Zbl 0711.93083
Runggaldier, W. J.; Visentin, C.
1
1990
Asymptotic analysis for piecewise linear filtering. Zbl 0675.93072
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1988
Filtering and control of wide bandwidth noise and ‘nearly’ linear systems. Zbl 0663.93070
Kushner, H. J.; Runggaldier, W.
1
1988
Logarithmic transformations for discrete-time, finite-horizon stochastic control problems. Zbl 0648.93069
Albertini, Francesca; Runggaldier, Wolfgang J.
1
1988
Approximations and bounds for discrete-time nonlinear filtering. Zbl 0546.93069
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1982
On robust approximations in nonlinear filtering. Zbl 0502.93066
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1982
Estimation in ARMA-models via nonlinear filtering. Zbl 0511.62104
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1981
An approximation to optimal nonlinear filtering with discontinuous observations. Zbl 0494.93047
Di Masi, G. B.; Runggaldier, W. J.
1
1981
Bounds on optimal values and decisions in a sequential decision problem. Zbl 0473.62075
Runggaldier, Wolfgang J.; Spizzichino, Fabio
1
1981
Ein Wertiterationsalgorithmus für unendliche sequentielle Entscheidungsprozesse mit Diskontierung. Zbl 0213.45701
Finkbeiner, B.; Runggaldier, W.
1
1969
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
3
2018
On classical and restricted impulse stochastic control for the exchange rate. Zbl 1358.93187
Bertola, Giulio; Runggaldier, Wolfgang J.; Yasuda, Kazuhiro
5
2016
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model. Zbl 1398.91594
Grbac, Zorana; Meneghello, Laura; Runggaldier, Wolfgang J.
1
2016
Interest rate modeling: post-crisis challenges and approaches. Zbl 1418.91553
Grbac, Zorana; Runggaldier, Wolfgang J.
18
2015
A systematic approach to constructing market models with arbitrage. Zbl 1325.91064
Ruf, Johannes; Runggaldier, Wolfgang J.
6
2014
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.
4
2014
On the existence of martingale measures in jump diffusion market models. Zbl 1325.91051
Mancin, Jacopo; Runggaldier, Wolfgang J.
1
2014
Diffusion-based models for financial markets without martingale measures. Zbl 1306.91125
Fontana, Claudio; Runggaldier, Wolfgang J.
10
2013
Expected power-utility maximization under incomplete information and with Cox-process observations. Zbl 1259.93133
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.
4
2013
Arbitrage-free multifactor term structure models: a theory based on stochastic control. Zbl 1286.91135
Gombani, Andrea; Runggaldier, Wolfgang J.
1
2013
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
Ruin probabilities in a finite-horizon risk model with investment and reinsurance. Zbl 1255.91185
Romera, R.; Runggaldier, W.
3
2012
Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. Zbl 1247.91001
Pascucci, Andrea; Runggaldier, Wolfgang J.
2
2012
Nonlinear filtering in models for interest-rate and credit risk. Zbl 1458.62241
Frey, R.; Runggaldier, W.
4
2011
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Zbl 1226.91075
Frey, Rüdiger; Runggaldier, Wolfgang
21
2010
On optimal investment in a reinsurance context with a point process market model. Zbl 1231.91180
Edoli, Enrico; Runggaldier, Wolfgang J.
6
2010
Credit risk and incomplete information: filtering and EM parameter estimation. Zbl 1233.91298
Fontana, Claudio; Runggaldier, Wolfgang J.
3
2010
Large portfolio losses: A dynamic contagion model. Zbl 1159.60353
Pra, Paolo Dai; Runggaldier, Wolfgang J.; Sartori, Elena; Tolotti, Marco
32
2009
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
5
2009
Advanced financial modelling. Zbl 1177.91006
Albrecher, Hansjörg (ed.); Runggaldier, Wolfgang J. (ed.); Schachermayer, Walter (ed.)
2
2009
PDE approach to utility maximization for market models with hidden Markov factors. Zbl 1140.93049
Nagai, Hideo; Runggaldier, Wolfgang J.
9
2008
Consistent price systems for subfiltrations. Zbl 1182.91216
Gombani, Andrea; Jaschke, Stefan; Runggaldier, Wolfgang
3
2007
Affine credit risk models under incomplete information. Zbl 1211.91244
Frey, Rüdiger; Prosdocimi, Cecilia; Runggaldier, Wolfgang J.
2
2007
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451
Platen, Eckhard; Runggaldier, Wolfgang J.
1
2007
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068
Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
11
2006
Computing efficient hedging strategies in discontinuous market models. Zbl 1143.60043
Runggaldier, Wolfgang J.; di Emidio, Sara
1
2006
The volatility of the instantaneous spot interest rate implied by arbitrage pricing – a dynamic Bayesian approach. Zbl 1157.91353
Bhar, Ramaprasad; Chiarella, Carl; Hung, Hing; Runggaldier, Wolfgang J.
1
2006
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
10
2005
A filtered no arbitrage model for term structures from noisy data. Zbl 1151.91510
Gombani, Andrea; Jaschke, Stefan R.; Runggaldier, Wolfgang J.
4
2005
Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities. Zbl 1101.91041
Kirch, Michael; Runggaldier, Wolfgang J.
18
2004
Pathwise optimality for benchmark tracking. Zbl 1366.91167
Dai Pra, Paolo; Runggaldier, Wolfgang J.; Tolotti, Marco
3
2004
Inferring the forward looking equity risk premium from derivative prices. Zbl 1081.91522
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J.
3
2004
Estimation via stochastic filtering in financial market models. Zbl 1085.91029
Runggaldier, Wolfgang J.
3
2004
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J.
2
2004
On stochastic control in finance. Zbl 1156.93408
Runggaldier, Wolfgang J.
2
2003
A Bayesian adaptive control approach to risk management in a binomial model. Zbl 1060.91086
Runggaldier, W.; Trivellato, B.; Vargiolu, T.
7
2002
Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm. Zbl 1022.91026
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J.
2
2002
A robustness result for stochastic control. Zbl 0994.93008
Favero, Gino; Runggaldier, Wolfgang J.
2
2002
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
45
2001
A filtering approach to pricing in multifactor term structure models. Zbl 1153.91420
Gombani, Andrea; Runggaldier, Wolfgang J.
6
2001
Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach. Zbl 0981.62077
Runggaldier, Wolfgang J.; Spizzichino, Fabio
6
2001
On filtering in Markovian term structure models: An approximation approach. Zbl 1050.91039
Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J.
3
2001
A stochastic control approach to risk management under restricted information. Zbl 1034.91045
Runggaldier, Wolfgang J.; Zaccaria, Anna
9
2000
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Zbl 0998.91026
Frey, Rüdiger; Runggaldier, Wolfgang J.
20
1999
Diffusion approximation and optimal stochastic control. Zbl 0974.60066
Liptser, R.; Runggaldier, W. J.; Taksar, M.
3
1999
Risk minimizing hedging strategies under partial observation. Zbl 0936.91020
Fischer, Paul; Platen, Eckhard; Runggaldier, Wolfgang J.
2
1999
Concepts and methods for discrete and continuous time control under uncertainty. Zbl 0916.93085
Runggaldier, Wolfgang J.
6
1998
Explicit solutions for multivariate, discrete-time control problems under uncertainty. Zbl 0909.93042
Dai Pra, Paolo; Meneghini, L.; Runggaldier, Wolfgang J.
3
1998
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
98
1997
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
67
1997
Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process. Zbl 0901.93069
Miller, Boris M.; Runggaldier, Wolfgang J.
12
1997
Optimization of observations: a stochastic control approach. Zbl 0880.93061
Miller, Boris M.; Runggaldier, Wolfgang J.
7
1997
A stochastic control model for hedging in incomplete markets. Zbl 0926.91019
Frasson, S.; Runggaldier, W. J.
3
1997
On dynamic programming for sequential decision problems under a general form of uncertainty. Zbl 0880.90133
Dai Pra, Paolo; Runggaldier, Wolfgang J.; Rudari, Cristina
1
1997
Connections between stochastic control and dynamic games. Zbl 0874.93096
Pra, Paolo Dai; Meneghini, Lorenzo; Runggaldier, Wolfgang J.
30
1996
Deterministic approximation for stochastic control problems. Zbl 0867.93085
Liptser, R. Sh.; Runggaldier, W. J.; Taksar, M.
3
1996
On control of two-scale stochastic systems with linear dynamics in the fast variables. Zbl 0901.93072
Kabanov, Yuri M.; Runggaldier, Wolfgang J.
1
1996
Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009
Di Masi, G. B.; Platen, E.; Runggaldier, W. J.
7
1995
Numerical aspects of monotone approximations in convex stochastic control problems. Zbl 0832.93062
Hernández-Lerma, O.; Piovesan, C.; Runggaldier, W. J.
4
1995
Convergence of option values under incompleteness. Zbl 0827.60026
Runggaldier, Wolfgang J.; Schweizer, Martin
2
1995
Nonlinear filters for linear models (a robust approach). Zbl 0837.93071
Lipster, Robert Sh.; Runggaldier, Wolfgang J.
1
1995
Mean-variance hedging of options on stocks with Markov volatilities. Zbl 0836.60075
Di Masi, G. B.; Kabanov, Yu. M.; Runggaldier, W. J.
39
1994
Monotone approximations for convex stochastic control problems. Zbl 0812.93078
Hernández-Lerma, Onésimo; Runggaldier, Wolfgang J.
11
1994
Option pricing for jump diffusions: approximations and their interpretation. Zbl 0884.90043
Mercurio, Fabio; Runggaldier, Wolfgang J.
9
1993
Filtering for nonlinear systems driven by nonwhite noises: An approximation scheme. Zbl 0786.60058
Korezlioglu, Hayri; Runggaldier, Wolfgang J.
7
1993
Nearly optimal controls for stochastic ergodic problems with partial observation. Zbl 0770.93092
Runggaldier, Wolfgang J.; Stettner, Łukasz
1
1993
Diffusion approximation in past dependent models and applications to option pricing. Zbl 0734.60035
Kind, Paolo; Liptser, Robert Sh.; Runggaldier, Wolfgang J.
7
1991
On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions. Zbl 0747.60058
Runggaldier, W. J.; Stettner, Ł.
7
1991
On diffusion approximations for filtering. Zbl 0732.60054
Liptser, Robert Sh.; Runggaldier, Wolfgang J.
1
1991
On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs. Zbl 0717.90085
Runggaldier, Wolfgang J.
1
1991
Approximations for discrete-time adaptive control: Construction of \(\varepsilon\)-optimal controls. Zbl 0736.93080
Runggaldier, Wolfgang J.; Zane, Omar
1
1991
On necessary conditions for the existence of finite-dimensional filters in discrete time. Zbl 0692.93074
Ferrante, Marco; Runggaldier, Wolfgang J.
5
1990
Combined filtering and parameter estimation: Approximations and robustness. Zbl 0711.93083
Runggaldier, W. J.; Visentin, C.
1
1990
Asymptotic analysis for piecewise linear filtering. Zbl 0675.93072
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1988
Filtering and control of wide bandwidth noise and ‘nearly’ linear systems. Zbl 0663.93070
Kushner, H. J.; Runggaldier, W.
1
1988
Logarithmic transformations for discrete-time, finite-horizon stochastic control problems. Zbl 0648.93069
Albertini, Francesca; Runggaldier, Wolfgang J.
1
1988
Nearly optimal state feedback controls for stochastic systems with wideband noise disturbances. Zbl 0621.93079
Kushner, Harold J.; Runggaldier, W.
19
1987
An approach to discrete-time stochastic control problems under partial observation. Zbl 0615.93078
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
8
1987
Filtering and control for wide bandwidth noise driven systems. Zbl 0617.93060
Kushner, Harold J.; Runggaldier, Wolfgang J.
7
1987
An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls. Zbl 0653.93069
Bensoussan, A.; Runggaldier, W.
5
1987
Finite-dimensionality in discrete-time nonlinear filtering from a Bayesian statistics viewpoint. Zbl 0635.93066
Runggaldier, W. J.; Spizzichino, F.
2
1987
On recursive approximations with error bounds in nonlinear filtering. Zbl 0597.93053
Di Masi, G. B.; Runggaldier, W. J.; Armellin, B.
2
1986
An approximation for the nonlinear filtering problem, with error bound. Zbl 0566.60046
Di Masi, G. B.; Pratelli, M.; Runggaldier, W. J.
8
1985
Generalized finite-dimensional filters in discrete time. Zbl 0518.93057
Di Masi, G. B.; Runggaldier, W. J.; Barozzi, B.
2
1983
On measure transformations for combined filtering and parameter estimation in discrete time. Zbl 0483.93081
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
8
1982
On approximation methods for nonlinear filtering. Zbl 0499.93057
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
4
1982
Approximations and bounds for discrete-time nonlinear filtering. Zbl 0546.93069
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1982
On robust approximations in nonlinear filtering. Zbl 0502.93066
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1982
Continuous-time approximations for the nonlinear filtering problem. Zbl 0431.93046
Di Masi, G. B.; Runggaldier, W. J.
7
1981
Estimation in ARMA-models via nonlinear filtering. Zbl 0511.62104
Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
1
1981
An approximation to optimal nonlinear filtering with discontinuous observations. Zbl 0494.93047
Di Masi, G. B.; Runggaldier, W. J.
1
1981
Bounds on optimal values and decisions in a sequential decision problem. Zbl 0473.62075
Runggaldier, Wolfgang J.; Spizzichino, Fabio
1
1981
Ein Wertiterationsalgorithmus für unendliche sequentielle Entscheidungsprozesse mit Diskontierung. Zbl 0213.45701
Finkbeiner, B.; Runggaldier, W.
1
1969
all top 5

Cited by 765 Authors

36 Runggaldier, Wolfgang J.
14 Ceci, Claudia
11 Fontana, Claudio
11 Platen, Eckhard
10 Yin, Gang George
9 Gerardi, Anna
9 Pagès, Gilles
8 Bo, Lijun
8 Capponi, Agostino
8 Tardelli, Paola
8 Ugrinovskii, Valery A.
7 Chiarella, Carl
7 Nikitopoulos Sklibosios, Christina
7 Pham, Huyên
7 Spiliopoulos, Konstantinos V.
7 Zabczyk, Jerzy
6 Dai Pra, Paolo
6 Ferrante, Marco
6 Frey, Rüdiger
6 Petersen, Ian Richard
6 Schmidt, Thorsten
6 Xiong, Dewen
6 Zeng, Yong
6 Zhang, Qing
5 Barski, Michał
5 Bäuerle, Nicole
5 Colaneri, Katia
5 Filipović, Damir
5 Hernández-Lerma, Onésimo
5 Kohlmann, Michael
5 Yang, Hailiang
4 Callegaro, Giorgia
4 Charalambous, Charalambos D.
4 Chau, Huy N.
4 Di Masi, Giovanni B.
4 Elliott, Robert James
4 Genon-Catalot, Valentine
4 Giesecke, Kay
4 Grbac, Zorana
4 Liptser, Robert
4 Montes-de-Oca, Raúl
4 Ratanov, Nikita
4 Sagna, Abass
4 Schlögl, Erik
4 Schweizer, Martin
4 Sirignano, Justin A.
4 Siu, Tak Kuen
4 Stettner, Łukasz
4 Swishchuk, Anatoliy
4 Taflin, Erik
4 Tankov, Peter
4 Tappe, Stefan
4 Vargiolu, Tiziano
4 Xiong, Jie
3 Björk, Tomas
3 Borisov, Andrei V.
3 Borkar, Vivek Shripad
3 Bruti-Liberati, Nicola
3 Campi, Luciano
3 Chaleyat-Maurel, Mireille
3 Cretarola, Alessandra
3 de Saporta, Benoîte
3 Eberlein, Ernst W.
3 Gombani, Andrea
3 Hartmann, Carsten
3 Jaśkiewicz, Anna
3 Mao, Xuerong
3 Marcus, Steven I.
3 Norberg, Ragnar
3 Papapantoleon, Antonis
3 Proske, Frank Norbert
3 Savkin, Andrey V.
3 Sowers, Richard B.
3 Tolotti, Marco
3 Udom, Akaninyene Udo
3 Wu, Fuke
3 Yin, George Gang
3 Zhang, Xin
2 Baldeaux, Jan
2 Barndorff-Nielsen, Ole Eiler
2 Bashirov, Agamirza E.
2 Bhar, Ramaprasad
2 Bielecki, Tomasz R.
2 Bouchard, Bruno
2 Briani, Maya
2 Bruni, Carlo
2 Calvia, Alessandro
2 Centanni, Silvia
2 Chang, Mouhsiung
2 Chen, Ping
2 Christensen, Morten Mosegaard
2 Collet, Francesca
2 Confortola, Fulvia
2 Cordoni, Francesco Giuseppe
2 Cosso, Andrea
2 Cvitanić, Jakša
2 De Donno, Marzia
2 Di Persio, Luca
2 Dokuchaev, Nikolai G.
2 Dombrovskij, V. V.
...and 665 more Authors
all top 5

Cited in 140 Serials

35 Stochastic Processes and their Applications
35 International Journal of Theoretical and Applied Finance
21 Systems & Control Letters
21 Stochastic Analysis and Applications
21 Quantitative Finance
20 The Annals of Applied Probability
19 Finance and Stochastics
18 Mathematical Finance
16 Insurance Mathematics & Economics
15 Automatica
14 Applied Mathematical Finance
13 Applied Mathematics and Optimization
11 SIAM Journal on Control and Optimization
10 Stochastics
9 Mathematical Methods of Operations Research
8 Asia-Pacific Financial Markets
8 SIAM Journal on Financial Mathematics
7 Journal of Mathematical Analysis and Applications
7 Journal of Computational and Applied Mathematics
7 European Journal of Operational Research
6 Journal of Optimization Theory and Applications
6 Annals of Operations Research
6 Probability in the Engineering and Informational Sciences
5 Kybernetika
5 Statistics & Probability Letters
5 Acta Applicandae Mathematicae
5 Journal of Economic Dynamics & Control
5 Automation and Remote Control
5 Methodology and Computing in Applied Probability
5 Decisions in Economics and Finance
5 International Journal of Stochastic Analysis
4 Advances in Applied Probability
4 Journal of Statistical Physics
4 Applied Mathematics and Computation
4 Journal of Applied Probability
4 Acta Mathematicae Applicatae Sinica. English Series
4 Bernoulli
4 Scandinavian Actuarial Journal
4 Mathematics and Financial Economics
3 Stochastics
3 Mathematics of Operations Research
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Statistical Inference for Stochastic Processes
3 Applied Stochastic Models in Business and Industry
3 Brazilian Journal of Probability and Statistics
3 Journal of Systems Science and Complexity
3 North American Actuarial Journal
2 Computers & Mathematics with Applications
2 Journal of the Franklin Institute
2 Physica A
2 The Annals of Probability
2 Operations Research Letters
2 Physica D
2 Optimization
2 MCSS. Mathematics of Control, Signals, and Systems
2 Queueing Systems
2 Journal of Applied Mathematics and Stochastic Analysis
2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
2 Zeitschrift für Operations Research. Serie A: Theorie
2 Computational Economics
2 Journal of Computer and Systems Sciences International
2 Monte Carlo Methods and Applications
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Chaos
2 Stochastic Models
2 Review of Derivatives Research
2 Annals of Finance
2 Mathematical Control and Related Fields
2 Statistics & Risk Modeling
1 Communications in Mathematical Physics
1 International Journal of Control
1 International Journal of Systems Science
1 Journal of Engineering Mathematics
1 Lithuanian Mathematical Journal
1 Problems of Information Transmission
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Annals of the Institute of Statistical Mathematics
1 Calcolo
1 Czechoslovak Mathematical Journal
1 Journal of Approximation Theory
1 Journal of Differential Equations
1 Journal of Functional Analysis
1 Journal of Mathematical Economics
1 Mathematics and Computers in Simulation
1 Mathematische Nachrichten
1 Mechanics Research Communications
1 Numerische Mathematik
1 Operations Research
1 Rendiconti del Seminario Matemàtico e Fisico di Milano
1 Optimal Control Applications & Methods
1 Mathematical Social Sciences
1 Circuits, Systems, and Signal Processing
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Applied Numerical Mathematics
1 Probability Theory and Related Fields
1 Asia-Pacific Journal of Operational Research
1 Journal of Theoretical Probability
1 Applied Mathematics Letters
...and 40 more Serials

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