Wolfgang J. Runggaldier

According to our database, Wolfgang J. Runggaldier authored at least 22 papers between 1973 and 2014.

Collaborative distances:

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

2014

Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process.

Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier

SIAM J. Financial Math., 2014

2012

Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance.

Rosario Romera, Wolfgang J. Runggaldier

J. Appl. Probab., 2012

2010

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach.

Rüdiger Frey, Wolfgang J. Runggaldier

Finance Stochastics, 2010

2006

The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach.

Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier

Autom., 2006

2005

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation.

Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami

Monte Carlo Methods Appl., 2005

2004

Pathwise optimality for benchmark tracking.

Paolo Dai Pra, Wolfgang J. Runggaldier, Marco Tolotti

IEEE Trans. Autom. Control., 2004

Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities.

Michael Kirch, Wolfgang J. Runggaldier

SIAM J. Control. Optim., 2004

2003

On Stochastic Control in Finance.

Wolfgang J. Runggaldier

Proceedings of the Mathematical Systems Theory in Biology, 2003

2002

A robustness result for stochastic control.

Gino Favero, Wolfgang J. Runggaldier

Syst. Control. Lett., 2002

1999

Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times.

Rüdiger Frey, Wolfgang J. Runggaldier

Math. Methods Oper. Res., 1999

A Bayesian Dynamic Programming approach tooptimal maintenance combined with burn-in.

Elisa Nicolato, Wolfgang J. Runggaldier

Ann. Oper. Res., 1999

1997

On dynamic programming for sequential decision problems under a general form of uncertainty.

Paolo Dai Pra, Wolfgang J. Runggaldier, Cristina Rudari

Math. Methods Oper. Res., 1997

Towards a general theory of bond markets.

Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier

Finance Stochastics, 1997

1996

Connections between stochastic control and dynamic games.

Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier

Math. Control. Signals Syst., 1996

On control of two-scale stochastic systems with linear dynamics in the fast variables.

Yuri M. Kabanov, Wolfgang J. Runggaldier

Math. Control. Signals Syst., 1996

1995

Nonlinear filters for linear models (a robust approach).

Robert Sh. Liptser, Wolfgang J. Runggaldier

IEEE Trans. Inf. Theory, 1995

Numerical aspects of monotone approximations in convex stochastic control problems.

Onésimo Hernández-Lerma, C. Piovesan, Wolfgang J. Runggaldier

Ann. Oper. Res., 1995

1991

Approximations for discrete-time adaptive control: Construction of ε-optimal controls.

Wolfgang J. Runggaldier, Omar Zane

Math. Control. Signals Syst., 1991

1990

Combined filtering and parameter estimation: Approximations and robustness.

Wolfgang J. Runggaldier, C. Visentin

Autom., 1990

1982

Approximations and bounds for a generalized optimal stopping problem.

Wolfgang J. Runggaldier, Fabio Spizzichino

Z. Oper. Research, 1982

1981

A generalized certainty-equivalence result in stochastic control.

Wolfgang J. Runggaldier

Autom., 1981

1973

An Approach to Identification and Optimization in Quality Control.

Wolfgang J. Runggaldier, Giorgio Romanin-Jacur

Proceedings of the 5th Conference on Optimization Techniques, 1973