Markov Decision Processes
- (with Riess, V.) Gas storage valuation with regime switching. 2014. arXiv
- (with Rieder, U.) Optimal deterministic investment strategies for insurers. Risks 1(13), 101-118, 2013. Risks
- (with Bayraktar, E.) A note on applications of stochastic ordering to control problems in insurance and finance. Stochastics 86(2), 330-340, 2014. arXiv
- (with Rieder, U.) More risk-sensitive Markov Decision Processes. Mathematics of Operations Research 39(1), 105-120, 2014. http://www.math.kit.edu/stoch/~baeuerle/seite/markov_nb/media/risk-sensitive_bauerle-rieder.pdfpdf
- (with Rieder, U.) Control improvement for jump-diffusion processes with applications to finance. Applied Mathematics and Optimization, 65, 1-14, 2012. pdf
- (with Ott, J.) Markov Decision Processes with Average-Value-at-Risk criteria. Mathematical Methods of Operations Research, 74, 361-379, 2011. pdf
- (with Rieder, U.) Optimal control of piecewise deterministic Markov processes with finite time horizon. In: Modern trends of controlled stochastic processes: Theory and Applications (A.B. Piunovskiy ed). Luniver Press, 144-160, 2010 pdf
- (with Rieder, U.) Markov Decision Processes. Jahresbericht der DMV 112(4), 217-243, 2010. pdf
- (with Rieder, U.) MDP Algorithms for portfolio optimization problems in pure jump markets. Finance and Stochastics 13(4), 591-611, 2009. pdf
- (with Mundt, A.) Dynamic Mean-Risk optimization in a binomial model. Mathematical Methods of Operations Research 70(2), 219-239, 2009. Springerlink
- (with Mundt, A.) A Bayesian approach to incorporate model ambiguity in a dynamic risk measure. Statistics & Decisions 26, 1001-1024, 2008. pdf
- (with Engelhardt-Funke, O. and Kolonko, M.) Routing of airplanes to two runways: monotonicity of optimal controls. Probability in the Engineering and Informational Sciences 18, 533-560, 2004. ps
- Convex stochastic fluid programs with average cost. Journal of Mathematical Analysis and Applications, 259, 137-156, 2001. ps
- Discounted stochastic fluid programs. Mathematics of Operations Research 26, 401-420, 2001. ps
- (with Brüstl, G. and Rieder, U.) Optimal scheduling in heterogeneous two station queueing networks. Mathematical Methods of Operations Research 48(1), 337-347, 1998.