Mitja Stadje, Ph.D.
Affiliations: | 2009 | Princeton University, Princeton, NJ |
Area:
Mathematics, FinanceGoogle:
"Mitja Stadje"Parents
Sign in to add mentor| Patrick Cheridito | grad student | 2009 | Princeton | |
| (Dynamic risk measures and backward stochastic differential equations: From discrete to continuous time.) | ||||
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Publications
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| Nguyen T, Stadje M. (2020) Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts Siam Journal On Control and Optimization. 58: 895-936 |
| Chen A, Nguyen T, Stadje M. (2018) Optimal investment under VaR-Regulation and Minimum Insurance Insurance Mathematics & Economics. 79: 194-209 |
| Chen A, Nguyen T, Stadje M. (2018) Risk management with multiple VaR constraints Mathematical Methods of Operations Research. 88: 297-337 |
| Madan D, Pistorius M, Stadje M. (2016) Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver Stochastic Processes and Their Applications. 126: 1553-1584 |
| Laeven RJA, Stadje M. (2014) Robust portfolio choice and indifference valuation Mathematics of Operations Research. 39: 1109-1141 |
| Cheridito P, Stadje M. (2013) BSδEs and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness Bernoulli. 19: 1047-1085 |
| Cheridito P, Stadje M. (2012) Existence, minimality and approximation of solutions to BSDEs with convex drivers Stochastic Processes and Their Applications. 122: 1540-1565 |
| Stadje M. (2010) Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach Insurance: Mathematics and Economics. 47: 391-404 |
| Cheridito P, Stadje M. (2009) Time-inconsistency of VaR and time-consistent alternatives Finance Research Letters. 6: 40-46 |