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Alexander Schied

Identifiers

  • name variant Alexander Schied 0.60 · backfill

Papers (29)

  1. Dynamic Lagrange Multipliers in a Non-concave Utility Framework math.OC · 2026 · author #2
  2. Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance q-fin.ST · 2023 · author #2
  3. On (signed) Takagi-Landsberg functions: $p^{\text{th}}$ variation, maximum, and modulus of continuity math.PR · 2018 · author #2
  4. On the minimizers of energy forms with completely monotone kernel math.OC · 2017 · author #1
  5. Mild and viscosity solutions to semilinear parabolic path-dependent PDEs math.PR · 2016 · author #2
  6. Model-free portfolio theory and its functional master formula q-fin.PM · 2016 · author #1
  7. The associativity rule in pathwise functional It\^o calculus math.PR · 2016 · author #1
  8. Domains of weak continuity of statistical functionals with a view toward robust statistics math.ST · 2015 · author #2
  9. Constructing functions with prescribed pathwise quadratic variation math.PR · 2015 · author #2
  10. Pathwise no-arbitrage in a class of Delta hedging strategies q-fin.MF · 2015 · author #1
  11. High-frequency limit of Nash equilibria in a market impact game with transient price impact q-fin.TR · 2015 · author #1
  12. Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses q-fin.PM · 2015 · author #2
  13. On a class of generalized Takagi functions with linear pathwise quadratic variation math.PR · 2015 · author #1
  14. Quasi-Hadamard differentiability of general risk functionals and its application math.ST · 2014 · author #2
  15. A state-constrained differential game arising in optimal portfolio liquidation math.OC · 2013 · author #1
  16. Multivariate transient price impact and matrix-valued positive definite functions q-fin.TR · 2013 · author #2
  17. Probabilistic aspects of finance q-fin.PR · 2013 · author #2
  18. Model-free CPPI q-fin.PM · 2013 · author #1
  19. A market impact game under transient price impact q-fin.TR · 2013 · author #1
  20. A control problem with fuel constraint and Dawson-Watanabe superprocesses math.PR · 2012 · author #1
  21. Price manipulation in a market impact model with dark pool q-fin.TR · 2012 · author #2
  22. Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework q-fin.TR · 2012 · author #1
  23. Drift dependence of optimal trade execution strategies under transient price impact q-fin.TR · 2012 · author #2
  24. Comparative and qualitative robustness for law-invariant risk measures q-fin.RM · 2012 · author #2
  25. Capacitary measures for completely monotone kernels via singular control math.OC · 2012 · author #2
  26. Optimal execution strategies in limit order books with general shape functions q-fin.TR · 2007 · author #3
  27. On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals math.PR · 2004 · author #1
  28. Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses math.PR · 1998 · author #1
  29. Rademacher's theorem on configuration spaces and applications math.PR · 1998 · author #2

Mentions

  • 1207.5809 #1 · backfill · confidence 0.70 Alexander Schied
  • 1205.4008 #2 · backfill · confidence 0.70 Alexander Schied
  • 1204.2717 #1 · backfill · confidence 0.70 Alexander Schied
  • 1204.2716 #2 · backfill · confidence 0.70 Alexander Schied
  • 1204.2458 #2 · backfill · confidence 0.70 Alexander Schied
  • 1201.2756 #2 · backfill · confidence 0.70 Alexander Schied
  • 0708.1756 #3 · backfill · confidence 0.70 Alexander Schied

Frequent Coauthors