Peter Grandits

According to our database, Peter Grandits authored at least 7 papers between 2001 and 2023.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of six.

2023

Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem.

Peter Grandits

Math. Control. Signals Syst., December, 2023

2016

Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon.

Peter Grandits

Math. Oper. Res., 2016

2015

An optimal consumption problem in finite time with a constraint on the ruin probability.

Peter Grandits

Finance Stochastics, 2015

2014

Optimal Consumption Under Deterministic Income.

Julia Eisenberg, Peter Grandits, Stefan Thonhauser

J. Optim. Theory Appl., 2014

2011

Risk averse asymptotics in a Black-Scholes market on a finite time horizon.

Peter Grandits, Stefan Thonhauser

Math. Methods Oper. Res., 2011

2010

A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation.

Peter Grandits, Grigory Temnov

Finance Stochastics, 2010

2001

Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE.

Peter Grandits

SIAM J. Appl. Math., 2001