Nicole Bäuerle

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 13

Top Topics

Markov Processes

Markov Decision Process

Top Venues

Math. Methods Oper. Res.

Math. Oper. Res.

Eur. J. Oper. Res.

Publications

Nicole Bäuerle, Anna Jaskiewicz
Markov decision processes with risk-sensitive criteria: an overview. Math. Methods Oper. Res. 99 (1) (2024)
Nicole Bäuerle, Antje Mahayni
Optimal investment in ambiguous financial markets with learning. Eur. J. Oper. Res. 315 (1) (2024)
Nicole Bäuerle, Tamara Göll
Nash equilibria for relative investors via no-arbitrage arguments. Math. Methods Oper. Res. 97 (1) (2023)
Nicole Bäuerle, Alexander Glauner
Markov decision processes with recursive risk measures. Eur. J. Oper. Res. 296 (3) (2022)
Nicole Bäuerle, Alexander Glauner
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures. Math. Oper. Res. 47 (3) (2022)
Nicole Bäuerle, Alexander Glauner
Minimizing spectral risk measures applied to Markov decision processes. Math. Methods Oper. Res. 94 (1) (2021)
Nicole Bäuerle, Sascha Desmettre
Portfolio Optimization in Fractional and Rough Heston Models. SIAM J. Financial Math. 11 (1) (2020)
Nicole Bäuerle, Daniel Schmithals
Martingale optimal transport in the discrete case via simple linear programming techniques. Math. Methods Oper. Res. 90 (3) (2019)
Nicole Bäuerle, Dirk Lange
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes. SIAM J. Control. Optim. 56 (2) (2018)
Nicole Bäuerle, Anna Jaskiewicz
Stochastic optimal growth model with risk sensitive preferences. J. Econ. Theory 173 (2018)
Nicole Bäuerle, Ulrich Rieder
Partially Observable Risk-Sensitive Markov Decision Processes. Math. Oper. Res. 42 (4) (2017)
Nicole Bäuerle, Anna Jaskiewicz
Risk-sensitive dividend problems. Eur. J. Oper. Res. 242 (1) (2015)
Nicole Bäuerle, Stefanie Grether
Complete markets do not allow free cash flow streams. Math. Methods Oper. Res. 81 (2) (2015)
Nicole Bäuerle, Ulrich Rieder
More Risk-Sensitive Markov Decision Processes. Math. Oper. Res. 39 (1) (2014)
Nicole Bäuerle, Igor Gilitschenski, Uwe D. Hanebeck
Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations. CoRR (2014)
Nicole Bäuerle, Zejing Li
Optimal Portfolios for Financial Markets with Wishart Volatility. J. Appl. Probab. 50 (4) (2013)
Nicole Bäuerle, Sebastian P. Urban, Luitgard A. M. Veraart
The Relaxed Investor with Partial Information. SIAM J. Financial Math. 3 (1) (2012)
Nicole Bäuerle, Jonathan Ott
Markov Decision Processes with Average-Value-at-Risk criteria. Math. Methods Oper. Res. 74 (3) (2011)
Nicole Bäuerle, André Mundt
Dynamic mean-risk optimization in a binomial model. Math. Methods Oper. Res. 70 (2) (2009)
Nicole Bäuerle, Ulrich Rieder
MDP algorithms for portfolio optimization problems in pure jump markets. Finance Stochastics 13 (4) (2009)
Nicole Bäuerle, Anja Blatter, Alfred Müller
Dependence properties and comparison results for Lévy processes. Math. Methods Oper. Res. 67 (1) (2008)
Nicole Bäuerle, O. Engelhardt-Funke, Michael Kolonko
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways. Eur. J. Oper. Res. 177 (2) (2007)
Mirko Kötter, Nicole Bäuerle
The Markov-Modulated Risk Model with Investment. OR (2006)
Nicole Bäuerle
Benchmark and mean-variance problems for insurers. Math. Methods Oper. Res. 62 (1) (2005)
Nicole Bäuerle, Ulrich Rieder
Portfolio optimization with Markov-modulated stock prices and interest rates. IEEE Trans. Autom. Control. 49 (3) (2004)
Nicole Bäuerle, Shaler Stidham Jr.
Conservation Laws for Single-Server Fluid Networks. Queueing Syst. Theory Appl. 38 (2) (2001)
Nicole Bäuerle
Discounted Stochastic Fluid Programs. Math. Oper. Res. 26 (2) (2001)
Nicole Bäuerle, Ulrich Rieder
Optimal control of single-server fluid networks. Queueing Syst. Theory Appl. 35 (1-4) (2000)
Nicole Bäuerle
How to improve the performance of ATM multiplexers. Oper. Res. Lett. 24 (1-2) (1999)
Nicole Bäuerle
The advantage of small machines in a stochastic fluid production process. Math. Methods Oper. Res. 47 (1) (1998)
Nicole Bäuerle, Gabi Brüstl, Ulrich Rieder
Optimal scheduling in heterogeneous two-station queueing networks. Math. Methods Oper. Res. 48 (3) (1998)