Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem. - Wilfried Grecksch; Frank Heyde; Christiane Tammer (Monte Carlo Methods Appl., 2000)

Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems. - Frank Heyde; Wilfried Grecksch; Christiane Tammer (Math. Methods Oper. Res., 2001)

Geometric Duality in Multiple Objective Linear Programming. - Frank Heyde; Andreas Löhne (SIAM J. Optim., 2008)

Set-valued duality theory for multiple objective linear programs and application to mathematical finance. - Frank Heyde; Andreas Löhne; Christiane Tammer (Math. Methods Oper. Res., 2009)

Duality for Set-Valued Measures of Risk. - Andreas H. Hamel; Frank Heyde (SIAM J. Financial Math., 2010)