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Mitja Stadje, Ph.D. - Publications

Affiliations: 
2009 Princeton University, Princeton, NJ 
Area:
Mathematics, Finance
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9 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Nguyen T, Stadje M. Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts Siam Journal On Control and Optimization. 58: 895-936. DOI: 10.1137/18M1217322  0.352
2018 Chen A, Nguyen T, Stadje M. Optimal investment under VaR-Regulation and Minimum Insurance Insurance Mathematics & Economics. 79: 194-209. DOI: 10.1016/J.Insmatheco.2018.01.008  0.365
2018 Chen A, Nguyen T, Stadje M. Risk management with multiple VaR constraints Mathematical Methods of Operations Research. 88: 297-337. DOI: 10.1007/S00186-018-0637-1  0.41
2016 Madan D, Pistorius M, Stadje M. 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. DOI: 10.1016/J.Spa.2015.11.013  0.439
2014 Laeven RJA, Stadje M. Robust portfolio choice and indifference valuation Mathematics of Operations Research. 39: 1109-1141. DOI: 10.1287/moor.2014.0646  0.39
2013 Cheridito P, Stadje M. BSδEs and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness Bernoulli. 19: 1047-1085. DOI: 10.3150/12-Bej445  0.547
2012 Cheridito P, Stadje M. Existence, minimality and approximation of solutions to BSDEs with convex drivers Stochastic Processes and Their Applications. 122: 1540-1565. DOI: 10.1016/J.Spa.2011.12.008  0.568
2010 Stadje M. Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach Insurance: Mathematics and Economics. 47: 391-404. DOI: 10.1016/j.insmatheco.2010.08.005  0.319
2009 Cheridito P, Stadje M. Time-inconsistency of VaR and time-consistent alternatives Finance Research Letters. 6: 40-46. DOI: 10.1016/J.Frl.2008.10.002  0.494
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