Frequent Hedging under Transaction Costs and a Nonlinear Fokker–Planck PDE. - Peter Grandits (SIAM J. Appl. Math., 2001)

A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation. - Peter Grandits; Grigory Temnov (Finance Stochastics, 2010)

Risk averse asymptotics in a Black-Scholes market on a finite time horizon. - Peter Grandits; Stefan Thonhauser (Math. Methods Oper. Res., 2011)

Optimal Consumption Under Deterministic Income. - Julia Eisenberg; Peter Grandits; Stefan Thonhauser (J. Optim. Theory Appl., 2014)

An optimal consumption problem in finite time with a constraint on the ruin probability. - Peter Grandits (Finance Stochastics, 2015)

Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon. - Peter Grandits (Math. Oper. Res., 2016)

Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem. - Peter Grandits (Math. Control. Signals Syst., 2023)

A singularly perturbed ruin problem for a two-dimensional Brownian motion in the positive quadrant. - Peter Grandits (J. Appl. Probab., 2025)