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ORCIDWolfgang J. Runggaldier
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2020 – today
- 2024
[j22]Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu:
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336(1-2): 1-2 (2024)- [j21]Sébastien Lleo, Wolfgang J. Runggaldier:
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. Eur. J. Oper. Res. 316(1): 200-214 (2024)
2010 – 2019
- 2014
- [j20]Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier:
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. SIAM J. Financial Math. 5(1): 557-580 (2014) - 2012
- [j19]Rosario Romera, Wolfgang J. Runggaldier:
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance. J. Appl. Probab. 49(4): 954-966 (2012) - 2010
- [j18]Rüdiger Frey, Wolfgang J. Runggaldier:
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Finance Stochastics 14(4): 495-526 (2010)
2000 – 2009
- 2006
- [j17]Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier:
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach. Autom. 42(8): 1381-1393 (2006) - 2005
- [j16]Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami:
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods Appl. 11(1): 57-81 (2005) - 2004
- [j15]Michael Kirch, Wolfgang J. Runggaldier:
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities. SIAM J. Control. Optim. 43(4): 1174-1195 (2004) - [j14]Paolo Dai Pra, Wolfgang J. Runggaldier, Marco Tolotti
:
Pathwise optimality for benchmark tracking. IEEE Trans. Autom. Control. 49(3): 386-395 (2004) - 2003
- [p1]Wolfgang J. Runggaldier:
On Stochastic Control in Finance. Mathematical Systems Theory in Biology, Communications, Computation, and Finance 2003: 317-344 - 2002
- [j13]Gino Favero, Wolfgang J. Runggaldier:
A robustness result for stochastic control. Syst. Control. Lett. 46(2): 91-97 (2002) - 2000
- [c2]Gino Favero, Wolfgang J. Runggaldier:
A robustness result for stochastic control. CDC 2000: 3349-3350
1990 – 1999
- 1999
- [j12]Elisa Nicolato, Wolfgang J. Runggaldier:
A Bayesian Dynamic Programming approach tooptimal maintenance combined with burn-in. Ann. Oper. Res. 91: 105-122 (1999) - [j11]Rüdiger Frey, Wolfgang J. Runggaldier:
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Math. Methods Oper. Res. 50(2): 339-350 (1999) - 1997
- [j10]Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier:
Towards a general theory of bond markets. Finance Stochastics 1(2): 141-174 (1997) - [j9]Paolo Dai Pra, Wolfgang J. Runggaldier, Cristina Rudari:
On dynamic programming for sequential decision problems under a general form of uncertainty. Math. Methods Oper. Res. 45(1): 81-107 (1997) - 1996
- [j8]Yuri M. Kabanov, Wolfgang J. Runggaldier:
On control of two-scale stochastic systems with linear dynamics in the fast variables. Math. Control. Signals Syst. 9(2): 107-122 (1996) - [j7]Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier:
Connections between stochastic control and dynamic games. Math. Control. Signals Syst. 9(4): 303-326 (1996) - 1995
- [j6]Onésimo Hernández-Lerma, C. Piovesan, Wolfgang J. Runggaldier:
Numerical aspects of monotone approximations in convex stochastic control problems. Ann. Oper. Res. 56(1): 135-156 (1995) - [j5]Robert Sh. Liptser, Wolfgang J. Runggaldier:
Nonlinear filters for linear models (a robust approach). IEEE Trans. Inf. Theory 41(4): 1001-1009 (1995) - 1991
- [j4]Wolfgang J. Runggaldier, Omar Zane:
Approximations for discrete-time adaptive control: Construction of ε-optimal controls. Math. Control. Signals Syst. 4(3): 269-291 (1991) - 1990
- [j3]Wolfgang J. Runggaldier, C. Visentin:
Combined filtering and parameter estimation: Approximations and robustness. Autom. 26(2): 401-404 (1990)
1980 – 1989
- 1982
- [j2]Wolfgang J. Runggaldier, Fabio Spizzichino:
Approximations and bounds for a generalized optimal stopping problem. Z. Oper. Research 26(1): 143 (1982) - 1981
- [j1]Wolfgang J. Runggaldier:
A generalized certainty-equivalence result in stochastic control. Autom. 17(2): 393-395 (1981)
1970 – 1979
- 1973
- [c1]Wolfgang J. Runggaldier, Giorgio Romanin-Jacur:
An Approach to Identification and Optimization in Quality Control. Optimization Techniques 1973: 83-91
Coauthor Index
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