Optimal stopping with signatures C Bayer, PP Hager, S Riedel, J Schoenmakers The Annals of Applied Probability 33 (1), 238-273, 2023 | 39 | 2023 |
Unified signature cumulants and generalized Magnus expansions PK Friz, PP Hager, N Tapia Forum of Mathematics, Sigma 10, e42, 2022 | 17 | 2022 |
The multiplicative chaos of H= 0 fractional Brownian fields P Hager, E Neuman The Annals of Applied Probability 32 (3), 2139-2179, 2022 | 16 | 2022 |
Randomized optimal stopping algorithms and their convergence analysis C Bayer, D Belomestny, P Hager, P Pigato, J Schoenmakers SIAM Journal on Financial Mathematics 12 (3), 1201-1225, 2021 | 10 | 2021 |
Mean‐field liquidation games with market drop‐out G Fu, PP Hager, U Horst Mathematical Finance 34 (4), 1123-1166, 2024 | 8 | 2024 |
A mean-field game of market entry: Portfolio liquidation with trading constraints G Fu, PP Hager, U Horst arXiv preprint arXiv:2403.10441, 2024 | 2 | 2024 |
Stochastic control with signatures P Bank, C Bayer, PP Hager, S Riedel, T Nauen arXiv preprint arXiv:2406.01585, 2024 | 1 | 2024 |
Reinforced optimal control C Bayer, D Belomestny, P Hager, P Pigato, J Schoenmakers, V Spokoiny arXiv preprint arXiv:2011.12382, 2020 | 1 | 2020 |
On expected signatures and signature cumulants in semimartingale models PK Friz, PP Hager, N Tapia arXiv preprint arXiv:2408.05085, 2024 | | 2024 |