Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. - Jörn Sass; Ulrich G. Haussmann (Finance Stochastics, 2004)

Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model. - Jörn Sass (OR, 2005)

Portfolio optimization under transaction costs in the CRR model. - Jörn Sass (Math. Methods Oper. Res., 2005)

Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods. - Markus Hahn; Wolfgang Putschögl; Jörn Sass (OR, 2006)

Trading Regions Under Proportional Transaction Costs. - Karl Kunisch; Jörn Sass (OR, 2006)

Optimal Portfolios Under Bounded Shortfall Risk and Partial Information. - Ralf Wunderlich; Jörn Sass; Abdelali Gabih (OR, 2006)

Optimizing Consumption and Investment: The Case of Partial Information. - Markus Hahn; Wolfgang Putschögl; Jörn Sass (OR, 2007)

Optimal portfolio policies under bounded expected loss and partial information. - Jörn Sass; Ralf Wunderlich (Math. Methods Oper. Res., 2010)

Primal-dual methods for the computation of trading regions under proportional transaction costs. - Roland Herzog; Karl Kunisch; Jörn Sass (Math. Methods Oper. Res., 2013)

FTAP in finite discrete time with transaction costs by utility maximization. - Jörn Sass; Martin Smaga (Finance Stochastics, 2014)

On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs. - Christoph Belak; Olaf Menkens; Jörn Sass (SIAM J. Control. Optim., 2015)

Approximation for portfolio optimization in a financial market with shot-noise jumps. - Oleksandra Putyatina; Jörn Sass (Comput. Manag. Sci., 2018)

Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift. - Jörn Sass; Dorothee Westphal; Ralf Wunderlich (J. Appl. Probab., 2021)

Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. - Elisabeth Leoff; Leonie Ruderer; Jörn Sass (Math. Methods Oper. Res., 2022)