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Author ID: bank.peter Recent zbMATH articles by "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

Publications by Year

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 1119.91040
Bank, Peter; Baum, Dietmar
82
2004
Optimal consumption choice with intertemporal substitution. Zbl 1022.90045
Bank, Peter; Riedel, Frank
31
2001
A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022
Bank, Peter; El Karoui, Nicole
27
2004
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
25
2017
Optimal control under a dynamic fuel constraint. Zbl 1116.49306
Bank, Peter
19
2005
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
16
2015
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
14
2015
American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022
Bank, Peter; Föllmer, Hans
14
2003
Linear quadratic stochastic control problems with stochastic terminal constraint. Zbl 1387.93180
Bank, Peter; Voß, Moritz
10
2018
Super-replication with nonlinear transaction costs and volatility uncertainty. Zbl 1415.91276
Bank, Peter; Dolinsky, Yan; Gökay, Selim
8
2016
Existence and structure of stochastic equilibria with intertemporal substitution. Zbl 0994.91037
Bank, Peter; Riedel, Frank
8
2001
Non-time additive utility optimization – the case of certainty. Zbl 0976.91015
Bank, Peter; Riedel, Frank
5
2000
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka
5
2017
Optimal investment with transient price impact. Zbl 1429.91302
Bank, Peter; Voß, Moritz
5
2019
On Gittins’ index theorem in continuous time. Zbl 1120.93055
Bank, Peter; Küchler, Christian
4
2007
Optimal order scheduling for deterministic liquidity patterns. Zbl 1308.91198
Bank, Peter; Fruth, Antje
4
2014
Convex duality for stochastic singular control problems. Zbl 1360.93765
Bank, Peter; Kauppila, Helena
4
2017
Parameter-dependent optimal stopping problems for one-dimensional diffusions. Zbl 1226.60057
Bank, Peter; Baumgarten, Christoph
3
2010
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
3
2014
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
2
2013
Super-replication with fixed transaction costs. Zbl 1411.91538
Bank, Peter; Dolinsky, Yan
2
2019
Continuous-time duality for superreplication with transient price impact. Zbl 1444.91194
Bank, Peter; Dolinsky, Yan
2
2019
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155
Bank, 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 1190.93001
Bank, Peter
1
2000
Scaling limits for super-replication with transient price impact. Zbl 1434.91061
Bank, Peter; Dolinsky, Yan
1
2020
Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020
Bank, Peter; Dolinsky, Yan
1
2021
Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020
Bank, Peter; Dolinsky, Yan
1
2021
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155
Bank, Peter; Besslich, David
2
2020
Scaling limits for super-replication with transient price impact. Zbl 1434.91061
Bank, Peter; Dolinsky, Yan
1
2020
Optimal investment with transient price impact. Zbl 1429.91302
Bank, Peter; Voß, Moritz
5
2019
Super-replication with fixed transaction costs. Zbl 1411.91538
Bank, Peter; Dolinsky, Yan
2
2019
Continuous-time duality for superreplication with transient price impact. Zbl 1444.91194
Bank, Peter; Dolinsky, Yan
2
2019
Linear quadratic stochastic control problems with stochastic terminal constraint. Zbl 1387.93180
Bank, Peter; Voß, Moritz
10
2018
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
25
2017
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka
5
2017
Convex duality for stochastic singular control problems. Zbl 1360.93765
Bank, Peter; Kauppila, Helena
4
2017
Super-replication with nonlinear transaction costs and volatility uncertainty. Zbl 1415.91276
Bank, Peter; Dolinsky, Yan; Gökay, Selim
8
2016
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
16
2015
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
14
2015
Optimal order scheduling for deterministic liquidity patterns. Zbl 1308.91198
Bank, Peter; Fruth, Antje
4
2014
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
3
2014
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
2
2013
Parameter-dependent optimal stopping problems for one-dimensional diffusions. Zbl 1226.60057
Bank, Peter; Baumgarten, Christoph
3
2010
On Gittins’ index theorem in continuous time. Zbl 1120.93055
Bank, Peter; Küchler, Christian
4
2007
Optimal control under a dynamic fuel constraint. Zbl 1116.49306
Bank, Peter
19
2005
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
82
2004
A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022
Bank, Peter; El Karoui, Nicole
27
2004
American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022
Bank, Peter; Föllmer, Hans
14
2003
Optimal consumption choice with intertemporal substitution. Zbl 1022.90045
Bank, Peter; Riedel, Frank
31
2001
Existence and structure of stochastic equilibria with intertemporal substitution. Zbl 0994.91037
Bank, Peter; Riedel, Frank
8
2001
Non-time additive utility optimization – the case of certainty. Zbl 0976.91015
Bank, 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 1190.93001
Bank, Peter
1
2000
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

Citations by Year