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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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for
A Dirichlet Process Characterization of Reflected Brouonian Motion in a Wedge, with Josh Reed and Bert Zwart, accepted for publication based on revision in the Annales de l'Institut Henri Poincare.
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for
Scaling limit of a limit order book via the regenerative characterization of Levy trees, with Josh Reed and Florian Simatos, accepted for publication based on revision in Stochastic Systems.
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for
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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for
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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for
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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for
Optimal Investment in a Defaultable Bond, with Weijian Liang, Mathematics
and Financial Economics (2008), 283-310.
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for
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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for
Portfolio Optimization with Downside Constraints, with Lan Ma
Nygren, Mathermatical Finance, Vol. 16, No. 2, pp. 283-299, April 2006
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for
"Maximum Likelihood Estimation of Hidden Diffusions", with Halina
Frydman, The Annals of Applied Probability 13 (2003),
1296-1312.
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for
"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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for
"Martingale Measures for a Class of Right--Continuous Processes",
Mathematical Finance, Vol. 3/1, January 1993, pp.43--53.
