Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. - Ralf Korn; Olaf Menkens (Math. Methods Oper. Res., 2005)

Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus. - Zhaojun Yang; Christian-Oliver Ewald; Olaf Menkens (Math. Methods Oper. Res., 2011)

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)