Peter Grandits

Publication Activity (10 Years)

Years Active: 2001-2023
Publications (10 Years): 3

Top Topics

Optimality Criterion

Topological Properties

Finding Optimal

Top Venues

Finance Stochastics

J. Optim. Theory Appl.

Math. Control. Signals Syst.

Math. Oper. Res.

Publications

Peter Grandits
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem. Math. Control. Signals Syst. 35 (4) (2023)
Peter Grandits
Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon. Math. Oper. Res. 41 (3) (2016)
Peter Grandits
An optimal consumption problem in finite time with a constraint on the ruin probability. Finance Stochastics 19 (4) (2015)
Julia Eisenberg, Peter Grandits, Stefan Thonhauser
Optimal Consumption Under Deterministic Income. J. Optim. Theory Appl. 160 (1) (2014)
Peter Grandits, Stefan Thonhauser
Risk averse asymptotics in a Black-Scholes market on a finite time horizon. Math. Methods Oper. Res. 74 (1) (2011)
Peter Grandits, Grigory Temnov
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation. Finance Stochastics 14 (4) (2010)
Peter Grandits
Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE. SIAM J. Appl. Math. 62 (2) (2001)