Stefan Ankirchner

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 5

Top Topics

Hamilton Jacobi Bellman

Diffusion Process

Optimal Control

Strongly Correlated

Top Venues

SIAM J. Control. Optim.

J. Appl. Probab.

Math. Oper. Res.

Publications

Stefan Ankirchner, Nabil Kazi-Tani, Julian Wendt
The Role of Correlation in Diffusion Control Ranking Games. SIAM J. Control. Optim. 62 (3) (2024)
Stefan Ankirchner, Nabil Kazi-Tani, Julian Wendt, Chao Zhou
Large Ranking Games with Diffusion Control. Math. Oper. Res. 49 (2) (2024)
Stefan Ankirchner, Robert Hesse, Maike Klein
On the joint survival probability of two collaborating firms. J. Appl. Probab. 61 (2) (2024)
Stefan Ankirchner, Christophette Blanchet-Scalliet, Nabil Kazi-Tani
The De Vylder-Goovaerts conjecture holds within the diffusion limit. J. Appl. Probab. 56 (2) (2019)
Stefan Ankirchner, Alexander Fromm
Optimal Control of Diffusion Coefficients via Decoupling Fields. SIAM J. Control. Optim. 56 (4) (2018)
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse
BSDEs with Singular Terminal Condition and a Control Problem with Constraints. SIAM J. Control. Optim. 52 (2) (2014)
Stefan Ankirchner, Peter Kratz, Thomas Kruse
Hedging Forward Positions: Basis Risk Versus Liquidity Costs. SIAM J. Financial Math. 4 (1) (2013)
Stefan Ankirchner, Gregor Heyne
Cross hedging with stochastic correlation. Finance Stochastics 16 (1) (2012)