Thaleia Zariphopoulou

Publication Activity (10 Years)

Years Active: 1991-2022
Publications (10 Years): 13

Top Topics

Stochastic Control

Numerical Scheme

Asymptotic Analysis

Top Venues

SIAM J. Financial Math.

Finance Stochastics

SIAM J. Control. Optim.

Publications

Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou
Personalized Robo-Advising: Enhancing Investment Through Client Interaction. Manag. Sci. 68 (4) (2022)
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
Entropy Regularization for Mean Field Games with Learning. Math. Oper. Res. 47 (4) (2022)
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
Competition in Fund Management and Forward Relative Performance Criteria. SIAM J. Financial Math. 13 (4) (2022)
Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach. J. Mach. Learn. Res. 21 (2020)
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians. SIAM J. Control. Optim. 58 (1) (2020)
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
Predictable Forward Performance Processes: The Binomial Case. SIAM J. Control. Optim. 58 (1) (2020)
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
Entropy Regularization for Mean Field Games with Learning. CoRR (2020)
Sergey Nadtochiy, Thaleia Zariphopoulou
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. SIAM J. Financial Math. 10 (3) (2019)
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23 (1) (2019)
Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
Exploration versus exploitation in reinforcement learning: a stochastic control approach. CoRR (2018)
Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou
Dynamically consistent investment under model uncertainty: the robust forward criteria. Finance Stochastics 22 (4) (2018)
Gechun Liang, Thaleia Zariphopoulou
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM J. Financial Math. 8 (1) (2017)
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations. SIAM J. Financial Math. 7 (1) (2016)
Sergey Nadtochiy, Thaleia Zariphopoulou
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. SIAM J. Financial Math. 4 (1) (2013)
Thaleia Zariphopoulou, Gordan Zitkovic
Maturity-Independent Risk Measures. SIAM J. Financial Math. 1 (1) (2010)
Marek Musiela, Thaleia Zariphopoulou
Portfolio Choice under Space-Time Monotone Performance Criteria. SIAM J. Financial Math. 1 (1) (2010)
Thaleia Zariphopoulou, Gordan Zitkovic
Maturity-independent risk measures. CDC (2008)
Marek Musiela, Thaleia Zariphopoulou
An example of indifference prices under exponential preferences. Finance Stochastics 8 (2) (2004)
Ronnie Sircar, Thaleia Zariphopoulou
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random. SIAM J. Control. Optim. 43 (4) (2004)
Marek Musiela, Thaleia Zariphopoulou
A valuation algorithm for indifference prices in incomplete markets. Finance Stochastics 8 (3) (2004)
Adam M. Oberman, Thaleia Zariphopoulou
Pricing early exercise contracts in incomplete markets. Comput. Manag. Sci. 1 (1) (2003)
Thaleia Zariphopoulou
A solution approach to valuation with unhedgeable risks. Finance Stochastics 5 (1) (2001)
José A. Scheinkman, Thaleia Zariphopoulou
Optimal Environmental Management in the Presence of Irreversibilities. J. Econ. Theory 96 (1-2) (2001)
Thaleia Zariphopoulou
Optimal investment and consumption models with non-linear stock dynamics. Math. Methods Oper. Res. 50 (2) (1999)
Chi-Fu Huang, Thaleia Zariphopoulou
Turnpike behavior of long-term investments. Finance Stochastics 3 (1) (1999)
George M. Constantinides, Thaleia Zariphopoulou
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. Finance Stochastics 3 (3) (1999)
Wendell H. Fleming, Thaleia Zariphopoulou
An Optimal Investment/Consumption Model with Borrowing. Math. Oper. Res. 16 (4) (1991)