Nicole Bäuerle

According to our database, Nicole Bäuerle authored at least 29 papers between 1998 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Nash equilibria for relative investors via no-arbitrage arguments.

Nicole Bäuerle, Tamara Göll

Math. Methods Oper. Res., February, 2023

2022

Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures.

Nicole Bäuerle, Alexander Glauner

Math. Oper. Res., 2022

Markov decision processes with recursive risk measures.

Nicole Bäuerle, Alexander Glauner

Eur. J. Oper. Res., 2022

2021

Minimizing spectral risk measures applied to Markov decision processes.

Nicole Bäuerle, Alexander Glauner

Math. Methods Oper. Res., 2021

2020

Portfolio Optimization in Fractional and Rough Heston Models.

Nicole Bäuerle, Sascha Desmettre

SIAM J. Financial Math., 2020

2019

Martingale optimal transport in the discrete case via simple linear programming techniques.

Nicole Bäuerle, Daniel Schmithals

Math. Methods Oper. Res., 2019

2018

Optimal Control of Partially Observable Piecewise Deterministic Markov Processes.

Nicole Bäuerle, Dirk Lange

SIAM J. Control. Optim., 2018

Stochastic optimal growth model with risk sensitive preferences.

Nicole Bäuerle, Anna Jaskiewicz

J. Econ. Theory, 2018

2017

Partially Observable Risk-Sensitive Markov Decision Processes.

Nicole Bäuerle, Ulrich Rieder

Math. Oper. Res., 2017

2015

Complete markets do not allow free cash flow streams.

Nicole Bäuerle, Stefanie Grether

Math. Methods Oper. Res., 2015

Risk-sensitive dividend problems.

Nicole Bäuerle, Anna Jaskiewicz

Eur. J. Oper. Res., 2015

2014

More Risk-Sensitive Markov Decision Processes.

Nicole Bäuerle, Ulrich Rieder

Math. Oper. Res., 2014

Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations.

Nicole Bäuerle, Igor Gilitschenski, Uwe D. Hanebeck

CoRR, 2014

2013

Optimal Portfolios for Financial Markets with Wishart Volatility.

Nicole Bäuerle, Zejing Li

J. Appl. Probab., 2013

2012

The Relaxed Investor with Partial Information.

Nicole Bäuerle, Sebastian P. Urban, Luitgard A. M. Veraart

SIAM J. Financial Math., 2012

2011

Markov Decision Processes with Average-Value-at-Risk criteria.

Nicole Bäuerle, Jonathan Ott

Math. Methods Oper. Res., 2011

2009

Dynamic mean-risk optimization in a binomial model.

Nicole Bäuerle, André Mundt

Math. Methods Oper. Res., 2009

MDP algorithms for portfolio optimization problems in pure jump markets.

Nicole Bäuerle, Ulrich Rieder

Finance Stochastics, 2009

2008

Dependence properties and comparison results for Lévy processes.

Nicole Bäuerle, Anja Blatter, Alfred Müller

Math. Methods Oper. Res., 2008

2007

On the waiting time of arriving aircrafts and the capacity of airports with one or two runways.

Nicole Bäuerle, O. Engelhardt-Funke, Michael Kolonko

Eur. J. Oper. Res., 2007

2006

The Markov-Modulated Risk Model with Investment.

Mirko Kötter, Nicole Bäuerle

Proceedings of the Operations Research, 2006

2005

Benchmark and mean-variance problems for insurers.

Nicole Bäuerle

Math. Methods Oper. Res., 2005

2004

Portfolio optimization with Markov-modulated stock prices and interest rates.

Nicole Bäuerle, Ulrich Rieder

IEEE Trans. Autom. Control., 2004

2001

Conservation Laws for Single-Server Fluid Networks.

Nicole Bäuerle, Shaler Stidham Jr.

Queueing Syst. Theory Appl., 2001

Discounted Stochastic Fluid Programs.

Nicole Bäuerle

Math. Oper. Res., 2001

2000

Optimal control of single-server fluid networks.

Nicole Bäuerle, Ulrich Rieder

Queueing Syst. Theory Appl., 2000

1999

How to improve the performance of ATM multiplexers.

Nicole Bäuerle

Oper. Res. Lett., 1999

1998

Optimal scheduling in heterogeneous two-station queueing networks.

Nicole Bäuerle, Gabi Brüstl, Ulrich Rieder

Math. Methods Oper. Res., 1998

The advantage of small machines in a stochastic fluid production process.

Nicole Bäuerle

Math. Methods Oper. Res., 1998