Edit Profile (opens in new tab) Bank, Peter Compute Distance To: Compute Author ID: bank.peter Published as: Bank, Peter; Bank, P. Documents Indexed: 29 Publications since 2000, including 1 Book Reviewing Activity: 17 Reviews Co-Authors: 15 Co-Authors with 26 Joint Publications 253 Co-Co-Authors all top 5 Co-Authors 3 single-authored 6 Dolinsky, Yan 4 Kramkov, Dmitriĭ Olegovich 3 Riedel, Frank 3 Voß, Moritz 2 Besslich, David 2 Gökay, Selim 1 Baum, Dietmar 1 Baumgarten, Christoph 1 El Karoui, Nicole 1 Föllmer, Hans 1 Fruth, Antje 1 Kauppila, Helena 1 Küchler, Christian 1 Perkkiö, Ari-Pekka 1 Soner, Halil Mete all top 5 Serials 7 The Annals of Applied Probability 4 Finance and Stochastics 3 SIAM Journal on Financial Mathematics 2 SIAM Journal on Control and Optimization 2 Stochastic Processes and their Applications 1 The Annals of Probability 1 Journal of Mathematical Economics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Electronic Journal of Probability 1 Bernoulli 1 Mathematical Finance 1 Proceedings of the Steklov Institute of Mathematics 1 Mathematics and Financial Economics all top 5 Fields 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Probability theory and stochastic processes (60-XX) 9 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 3 Operations research, mathematical programming (90-XX) 2 Partial differential equations (35-XX) 2 Convex and discrete geometry (52-XX) 1 General and overarching topics; collections (00-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 26 Publications have been cited 298 times in 193 Documents Cited by ▼ Year ▼ Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040Bank, Peter; Baum, Dietmar 82 2004 Optimal consumption choice with intertemporal substitution. Zbl 1022.90045Bank, Peter; Riedel, Frank 31 2001 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 27 2004 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 25 2017 Optimal control under a dynamic fuel constraint. Zbl 1116.49306Bank, Peter 19 2005 A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123Bank, Peter; Kramkov, Dmitry 16 2015 A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080Bank, Peter; Kramkov, Dmitry 14 2015 American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022Bank, Peter; Föllmer, Hans 14 2003 Linear quadratic stochastic control problems with stochastic terminal constraint. Zbl 1387.93180Bank, Peter; Voß, Moritz 10 2018 Super-replication with nonlinear transaction costs and volatility uncertainty. Zbl 1415.91276Bank, Peter; Dolinsky, Yan; Gökay, Selim 8 2016 Existence and structure of stochastic equilibria with intertemporal substitution. Zbl 0994.91037Bank, Peter; Riedel, Frank 8 2001 Non-time additive utility optimization – the case of certainty. Zbl 0976.91015Bank, Peter; Riedel, Frank 5 2000 The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka 5 2017 Optimal investment with transient price impact. Zbl 1429.91302Bank, Peter; Voß, Moritz 5 2019 On Gittins’ index theorem in continuous time. Zbl 1120.93055Bank, Peter; Küchler, Christian 4 2007 Optimal order scheduling for deterministic liquidity patterns. Zbl 1308.91198Bank, Peter; Fruth, Antje 4 2014 Convex duality for stochastic singular control problems. Zbl 1360.93765Bank, Peter; Kauppila, Helena 4 2017 Parameter-dependent optimal stopping problems for one-dimensional diffusions. Zbl 1226.60057Bank, Peter; Baumgarten, Christoph 3 2010 The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166Bank, P.; Kramkov, D. 3 2014 On a stochastic differential equation arising in a price impact model. Zbl 1258.91069Bank, Peter; Kramkov, Dmitry 2 2013 Super-replication with fixed transaction costs. Zbl 1411.91538Bank, Peter; Dolinsky, Yan 2 2019 Continuous-time duality for superreplication with transient price impact. Zbl 1444.91194Bank, Peter; Dolinsky, Yan 2 2019 Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155Bank, Peter; Besslich, David 2 2020 Singular control of optional random measures. Stochastic optimization and representation problems arising in the microeconomic theory of intertemporal consumption choice. Zbl 1190.93001Bank, Peter 1 2000 Scaling limits for super-replication with transient price impact. Zbl 1434.91061Bank, Peter; Dolinsky, Yan 1 2020 Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020Bank, Peter; Dolinsky, Yan 1 2021 Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020Bank, Peter; Dolinsky, Yan 1 2021 Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155Bank, Peter; Besslich, David 2 2020 Scaling limits for super-replication with transient price impact. Zbl 1434.91061Bank, Peter; Dolinsky, Yan 1 2020 Optimal investment with transient price impact. Zbl 1429.91302Bank, Peter; Voß, Moritz 5 2019 Super-replication with fixed transaction costs. Zbl 1411.91538Bank, Peter; Dolinsky, Yan 2 2019 Continuous-time duality for superreplication with transient price impact. Zbl 1444.91194Bank, Peter; Dolinsky, Yan 2 2019 Linear quadratic stochastic control problems with stochastic terminal constraint. Zbl 1387.93180Bank, Peter; Voß, Moritz 10 2018 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 25 2017 The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka 5 2017 Convex duality for stochastic singular control problems. Zbl 1360.93765Bank, Peter; Kauppila, Helena 4 2017 Super-replication with nonlinear transaction costs and volatility uncertainty. Zbl 1415.91276Bank, Peter; Dolinsky, Yan; Gökay, Selim 8 2016 A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123Bank, Peter; Kramkov, Dmitry 16 2015 A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080Bank, Peter; Kramkov, Dmitry 14 2015 Optimal order scheduling for deterministic liquidity patterns. Zbl 1308.91198Bank, Peter; Fruth, Antje 4 2014 The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166Bank, P.; Kramkov, D. 3 2014 On a stochastic differential equation arising in a price impact model. Zbl 1258.91069Bank, Peter; Kramkov, Dmitry 2 2013 Parameter-dependent optimal stopping problems for one-dimensional diffusions. Zbl 1226.60057Bank, Peter; Baumgarten, Christoph 3 2010 On Gittins’ index theorem in continuous time. Zbl 1120.93055Bank, Peter; Küchler, Christian 4 2007 Optimal control under a dynamic fuel constraint. Zbl 1116.49306Bank, Peter 19 2005 Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040Bank, Peter; Baum, Dietmar 82 2004 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 27 2004 American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022Bank, Peter; Föllmer, Hans 14 2003 Optimal consumption choice with intertemporal substitution. Zbl 1022.90045Bank, Peter; Riedel, Frank 31 2001 Existence and structure of stochastic equilibria with intertemporal substitution. Zbl 0994.91037Bank, Peter; Riedel, Frank 8 2001 Non-time additive utility optimization – the case of certainty. Zbl 0976.91015Bank, Peter; Riedel, Frank 5 2000 Singular control of optional random measures. Stochastic optimization and representation problems arising in the microeconomic theory of intertemporal consumption choice. Zbl 1190.93001Bank, Peter 1 2000 all cited Publications top 5 cited Publications all top 5 Cited by 256 Authors 15 Bank, Peter 11 Ferrari, Giorgio 10 Dolinsky, Yan 10 Jarrow, Robert Alan 10 Riedel, Frank 7 Soner, Halil Mete 7 Touzi, Nizar 5 Roch, Alexandre F. 4 Gökay, Selim 4 Herdegen, Martin 4 Jaimungal, Sebastian 4 Kramkov, Dmitriĭ Olegovich 4 Muhle-Karbe, Johannes 4 Pham, Huyên 4 Popier, Alexandre 4 Protter, Philip Elliott 4 Zhang, Jianfeng 3 Cheridito, Patrick 3 De Angelis, Tiziano 3 El Karoui, Nicole 3 Kruse, Thomas 3 Kuhn, Christoph 3 Lee, Kiseop 3 Matsumoto, Koichi 3 Quenez, Marie-Claire 3 Seifried, Frank Thomas 3 Sulem, Agnès 3 Voß, Moritz 2 Ackermann, Julia 2 Bayraktar, Erhan 2 Besslich, David 2 Cartea, Álvaro 2 Cayé, Thomas 2 Çetin, Umut 2 Cohen, Asaf 2 Corcuera, José Manuel 2 Di Nunno, Giulia 2 Dumitrescu, Roxana 2 Dyshaev, Mikhaĭl Mikhaĭlovich 2 Ekren, Ibrahim 2 Federico, Salvatore 2 Fukasawa, Masaaki 2 Gill, Ryan S. 2 Jeon, Junkee 2 Koo, Hyeng Keun 2 Korn, Ralf 2 Kraft, Holger 2 Ku, Hyejin 2 Kupper, Michael 2 Løkka, Arne 2 Ma, Jin 2 Martins-da-Rocha, V. Filipe 2 Matomäki, Pekka 2 Mnif, Mohamed 2 Mostovyi, Oleksii 2 Palczewski, Jan 2 Pennanen, Teemu 2 Rogers, L. C. G. 2 Schenk-Hoppé, Klaus Reiner 2 Simard, Clarence 2 Song, Seongjoo 2 Sonin, Isaac M. 2 Steg, Jan-Henrik 2 Tankov, Peter 2 Urusov, Mikhail A. 2 Zervos, Mihail 1 Adachi, Takashi 1 Ahmadi, Mahdi 1 Al Motairi, Hessah 1 Alfonsi, Aurélien 1 Aliprantis, Charalambos Dionisios 1 Allaj, Erindi 1 Alvarez, Luis H. R. 1 Ankirchner, Stefan 1 Artstein, Zvi 1 Astic, Fabian 1 Ballester, Cristina 1 Becherer, Dirk 1 Bian, Baojun 1 Bilarev, Todor 1 Blümmel, Tilmann 1 Bordag, Ljudmila A. 1 Bouchard, Bruno 1 Bressan, Alberto 1 Bruhn, Kenneth 1 Burke, Jonathan L. 1 Busch, Michael P. 1 Caines, Peter Edwin 1 Carlier, Guillaume 1 Carraro, Laurent 1 Černý, Aleš 1 Chan, Patrick P. K. 1 Chandra, Shiva 1 Chandra, Suresh 1 Chaudhary, Arpit 1 Chen, Xianzhe 1 Chiarolla, Maria B. 1 Choi, Jungmin 1 Christodoulou, Panagiotis 1 Coculescu, Delia ...and 156 more Authors all top 5 Cited in 58 Serials 16 The Annals of Applied Probability 16 Finance and Stochastics 13 Stochastic Processes and their Applications 11 Mathematical Finance 11 SIAM Journal on Financial Mathematics 10 International Journal of Theoretical and Applied Finance 9 Mathematics and Financial Economics 8 Journal of Mathematical Economics 7 SIAM Journal on Control and Optimization 7 Quantitative Finance 5 The Annals of Probability 5 Journal of Economic Dynamics & Control 5 Applied Mathematical Finance 5 Stochastics 4 Probability, Uncertainty and Quantitative Risk 3 Applied Mathematics and Optimization 3 Electronic Journal of Probability 3 Annals of Finance 2 Advances in Applied Probability 2 Journal of Mathematical Analysis and Applications 2 Journal of Applied Probability 2 Journal of Economic Theory 2 European Journal of Operational Research 2 Bernoulli 2 Mathematical Methods of Operations Research 2 Discrete and Continuous Dynamical Systems. Series B 2 Decisions in Economics and Finance 2 Asia-Pacific Financial Markets 2 Review of Derivatives Research 1 Computers & Mathematics with Applications 1 Letters in Mathematical Physics 1 Physica A 1 Optimal Control Applications & Methods 1 Systems & Control Letters 1 Mathematical Social Sciences 1 Statistics & Probability Letters 1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire 1 Optimization 1 Journal of Applied Mathematics and Stochastic Analysis 1 Games and Economic Behavior 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Economic Theory 1 NoDEA. Nonlinear Differential Equations and Applications 1 Electronic Communications in Probability 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Methodology and Computing in Applied Probability 1 Nonlinear Analysis. Real World Applications 1 Journal of the Korean Statistical Society 1 Proceedings of the Steklov Institute of Mathematics 1 Optimization Letters 1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 1 Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika 1 Mathematical Sciences 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 all top 5 Cited in 16 Fields 158 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 100 Probability theory and stochastic processes (60-XX) 57 Systems theory; control (93-XX) 21 Calculus of variations and optimal control; optimization (49-XX) 12 Partial differential equations (35-XX) 9 Operations research, mathematical programming (90-XX) 8 Statistics (62-XX) 3 Ordinary differential equations (34-XX) 3 Convex and discrete geometry (52-XX) 3 Numerical analysis (65-XX) 1 Topological groups, Lie groups (22-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year