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PETER LAKNERStern School of Business |
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PETER LAKNERStern School of Business |
| IOMS | NYU | Stern School |
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On the Optimality of the Earliest Due Date Rule in Stochastic Scheduling and in Queueing , with Richard Bryant and Michael Pinedo, accepted for publication in European Journal for Operational Research.
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On the Roughness of the paths of RBM in a Wedge, with Josh Reed and Bert Zwart, Annales de l'Institut Henri Poincare., Probabilites et Statistiques, volume 55, pages 1566-1598, 2019.
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Scaling limit of a limit order book via the regenerative characterization of Levy trees, with Josh Reed and Florian Simatos, in Stochastic Systems 7(2) 2013.
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Optimal Production Management when Demand Depends on the Business Cycle, with Abel Cadenillas and Michael Pinedo, Operations Research, 61(4), 2013, pp. 1046-1062.
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High Frequency Asymptotics for the Limit Order Book, with Josh Reed and Sasha Stoikov, Market Microstructure and Liquidity, Vol. 2, Number 1, June 2016.
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Optimal Control of a Mean-Reverting Inventory, with Abel Cadenillas and Michael Pinedo, Operations Research (2010), Volume 58, No. 6, pp 1697-1710.
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Optimal Investment in a Defaultable Bond, with Weijian Liang, Mathematics
and Financial Economics (2008), 283-310.
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Perpetual Call Options with Non-Tradeability, with Ashay Kadam and Anand
Srinivasan, Optimal Control Applications and Methods 26 (2005), 107-127.
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Portfolio Optimization with Downside Constraints, with Lan Ma
Nygren, Mathermatical Finance, Vol. 16, No. 2, pp. 283-299, April 2006
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"Maximum Likelihood Estimation of Hidden Diffusions", with Halina
Frydman, The Annals of Applied Probability 13 (2003),
1296-1312.
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"Optimal Bankruptcy Time and Consumption/Investment Policies on an
Infinite Horizon with a Continuous Debt Repayment until Bankruptcy", with
Monique Jeanblanc and Ashay Kadam, Mathematics of Operations Research, 2003.
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"Optimal Trading Strategy for an Investor: the Case of Partial Information",
Stochastic Processes and their Applications 76(1998),
77--97.
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"Utility Maximization with Partial Information", Stochastic Processes and
their Applications 56 (1995), 247--249.
"Almost Sure Characterization of Martingales", with Marco Frittelli, Stochastics, Vol. 49, No.3+4, 1994, pp. 181--190.
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"Martingale Measures for a Class of Right--Continuous Processes",
Mathematical Finance, Vol. 3/1, January 1993, pp.43--53.
