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U. G. Haussmann · Study

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U. G. Haussmann

17 works· latest 2009· 1 institutionscluster: provisional

h-index17

i1017

Citations1,338

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Most cited in this library

Time Reversal of Diffusions1986 · 210 citations
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain2004 · 175 citations
A stochastic maximum principle for optimal control of diffusions1986 · 130 citations
General necessary conditions for optimal control of stochastic systems1976 · 115 citations
Singular Optimal Stochastic Controls I: Existence1995 · 97 citations

Works

17 shown

On a Stochastic, Irreversible Investment Problem

SIAM Journal on Control and Optimization·2009·2 authors

31citations

Existence of optimal markovian controls for degenerate diffusions

Springer eBooks·2006·1 author·chapter

41citations

Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold

Mathematics of Operations Research·2005·2 authors

38citations

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

Finance and Stochastics·2004·2 authors

175citations

Optimal portfolio selection and compression in an incomplete market

Quantitative Finance·2001·2 authors

29citations

Singular Optimal Stochastic Controls I: Existence

SIAM Journal on Control and Optimization·1995·2 authors

97citations

Singular Optimal Stochastic Controls II: Dynamic programming

SIAM Journal on Control and Optimization·1995·2 authors

78citations

The stochastic maximum principle for a singular control problem

Stochastics and stochastics reports·1994·2 authors

93citations

Stochastic variational inequalities of parabolic type

Applied Mathematics & Optimization·1989·2 authors

46citations

The Maximum Principle for Optimal Control of Diffusions with Partial Information

SIAM Journal on Control and Optimization·1987·1 author

56citations

Time Reversal of Diffusions

The Annals of Probability·1986·2 authors·Open access

210citations

A stochastic maximum principle for optimal control of diffusions

John Wiley & Sons, Inc. eBooks·1986·1 author·book

130citations

On the Existence of Optimal Controls for Partially Observed Diffusions

SIAM Journal on Control and Optimization·1982·1 author

31citations

Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

SIAM Review·1981·1 author

59citations

On the integral representation of functionals of ltd processest

Stochastics·1980·1 author

70citations

Functionals of Itô Processes as Stochastic Integrals

SIAM Journal on Control and Optimization·1978·1 author

39citations

General necessary conditions for optimal control of stochastic systems

Mathematical programming studies·1976·1 author·chapter

115citations