Forschung
Forschungsgebiete
- Stochastische Prozesse und Steuerung
- Stochastische Ordnungen
- Finanz- und Versicherungsmathematik
- Stochastische Netzwerke
Publikationen
Eine Liste meiner Publikationen finden Sie hier
Preprints
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Bäuerle, N.; Göll, T.; Jaśkiewicz, A.
Yet Another Distributional Bellman Equation
2025. arxiv. doi:10.48550/arXiv.2505.21098 -
Bäuerle, N.; Jaśkiewicz, A.
Time-consistency in the mean-variance problem: A new perspective
2023. doi:10.48550/arXiv.2301.11218
Bücher
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Bäuerle, N.; Rieder, U.
Finanzmathematik in diskreter Zeit
2017. Springer. doi:10.1007/978-3-662-53531-8
Artikel in Zeitschriften und Tagungsbänden
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Bayraktar, E.; Bäuerle, N.; Kara, A. D.
Finite Approximations for Mean-Field Type Multi-agent Control and Their Near Optimality
2025. Applied Mathematics and Optimization, 92 (1), 7. doi:10.1007/s00245-025-10279-x -
Bäuerle, N.; Jaskiewicz, A.; Nowak, A. S.
Mean–Variance optimization in discrete-time decision processes with general utility function
2025. Automatica, 174, Art.-Nr.: 112142. doi:10.1016/j.automatica.2025.112142 -
Bäuerle, N.; Göll, T.
Relative portfolio optimization via a value at risk based constraint
2025. Decisions in economics and finance. doi:10.1007/s10203-025-00541-w -
Bäuerle, N.; Jaśkiewicz, A.
Time-consistency in the mean-variance problem: A new perspective
2025. IEEE Transactions on Automatic Control, 70 (1), 251–262. doi:10.1109/TAC.2024.3420413 -
Bäuerle, N.; Pitera, M.; Stettner, Ł.
Blackwell Optimality and Policy Stability for Long-Run Risk-Sensitive Stochastic Control
2024. SIAM Journal on Control and Optimization, 62 (6), 3172 – 3194. doi:10.1137/24M1671335 -
Bäuerle, N.; Höfer, S.
Continuous-Time Mean Field Markov Decision Models
2024. Applied Mathematics & Optimization, 90 (1), 12. doi:10.1007/s00245-024-10154-1 -
Acuña Espinoza, E.; Loritz, R.; Álvarez Chaves, M.; Bäuerle, N.; Ehret, U.
To bucket or not to bucket? Analyzing the performance and interpretability of hybrid hydrological models with dynamic parameterization
2024. Hydrology and Earth System Sciences, 28 (12), 2705 – 2719. doi:10.5194/hess-28-2705-2024 -
Bäuerle, N.; Mahayni, A.
Optimal investment in ambiguous financial markets with learning
2024. European Journal of Operational Research, 315 (1), 393–410. doi:10.1016/j.ejor.2024.01.022 -
Bäuerle, N.; Jaśkiewicz, A.
Markov decision processes with risk-sensitive criteria: an overview
2024. Mathematical Methods of Operations Research, 99, 141–178. doi:10.1007/s00186-024-00857-0 -
Bäuerle, N.; Göll, T.
Nash equilibria for relative investors with (non)linear price impact
2024. Mathematics and Financial Economics, 18, 27–48. doi:10.1007/s11579-024-00356-0 -
Bäuerle, N.
Mean Field Markov Decision Processes
2023. Applied Mathematics & Optimization, 88 (1), Art.-Nr.: 12. doi:10.1007/s00245-023-09985-1 -
Bäuerle, N.; Chen, A.
Optimal Investment under Partial Information and Robust VAR-Type Constraint
2023. International journal of theoretical and applied finance, 26 (4-5), Art.-Nr.: 04n05. doi:10.1142/S0219024923500176 -
Bäuerle, N.; Barz, C.
Risk-Sensitive Markov Decision Processes
2023. Encyclopedia of Optimization. Ed.: P. Pardalos, 1–9. doi:10.1007/978-3-030-54621-2_819-1 -
Bäuerle, N.; Glauner, A.
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
2022. Mathematics of operations research, 47 (3), 707–2545. doi:10.1287/moor.2021.1187 -
Bäuerle, N.; Glauner, A.
Markov decision processes with recursive risk measures
2022. European Journal of Operational Research, 296 (3), 953–966. doi:10.1016/j.ejor.2021.04.030 -
Bäuerle, N.; Göll, T.
Nash equilibria for relative investors via no-arbitrage arguments
2022. Mathematical Methods of Operations Research, 97 (1), 1–23. doi:10.1007/s00186-022-00804-x -
Bäuerle, N.; Leimcke, G.
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
2022. Statistics and Risk Modeling, 39 (1-2), 23–47. doi:10.1515/strm-2021-0029 -
Bäuerle, N.; Glauner, A.
Q-Learning for Distributionally Robust Markov Decision Processes
2021. Modern Trends in Controlled Stochastic Processes: Theory and Applications, V.III. Ed.: A. Piunovskiy, 108–128, Springer. doi:10.1007/978-3-030-76928-4_6 -
Bäuerle, N.; Glauner, A.
Minimizing spectral risk measures applied to Markov decision processes
2021. Mathematical methods of operations research, 94, 35–69. doi:10.1007/s00186-021-00746-w -
Bauerle, N.; Schmithals, D.
CONSISTENT UPPER PRICE BOUNDS for EXOTIC OPTIONS
2021. International Journal of Theoretical and Applied Finance, 24 (2), Art.-Nr.: 2150011. doi:10.1142/S0219024921500114 -
Bäuerle, N.; Jaśkiewicz, A.; Nowak, A. S.
Stochastic Dynamic Programming with Non-linear Discounting
2021. Applied mathematics & optimization, 84, 2819–2848. doi:10.1007/s00245-020-09731-x -
Bäuerle, N.; Leimcke, G.
Robust optimal investment and reinsurance problems with learning
2021. Scandinavian actuarial journal, 2021 (2), 82–109. doi:10.1080/03461238.2020.1806917 -
Bäuerle, N.; Groll, L.; Gruber, D.; Neukirch, S.; Richert, A.
Ausbreitung von Gerüchten – mit Markov‐Ketten modellieren
2020. Stochastik in der Schule, 40 (3), 2–7 -
Bäuerle, N.; Rieder, U.
Markov decision processes under ambiguity
2020. Stochastic modeling and control : Simons semester no.10. Ed.: J. Jakubowski, 25–39, Polish Academy of Sciences. doi:10.4064/bc122-2 -
Bäuerle, N.; Desmettre, S.
Portfolio Optimization in Fractional and Rough Heston Models
2020. SIAM journal on financial mathematics, 11 (1), 240–273. doi:10.1137/18M1217243 -
Bäuerle, N.; Shushi, T.
Risk management with Tail Quasi-Linear Means
2020. Annals of actuarial science, 14 (1), 170–187. doi:10.1017/S1748499519000113 -
Bäuerle, N.; Schmithals, D.
Martingale optimal transport in the discrete case via simple linear programming techniques
2019. Mathematical methods of operations research, 90 (3), 453–476. doi:10.1007/s00186-019-00684-8 -
Bäuerle, N.; Chen, A.
Optimal retirement planning under partial information
2019. Statistics & risk modeling, 36 (1-4), 37–55. doi:10.1515/strm-2018-0027 -
Bäuerle, N.; Lange, D.
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
2018. SIAM journal on control and optimization, 56 (2), 1441–1462. doi:10.1137/17M1134731 -
Bäuerle, N.; Popp, A.
Risk-sensitive stopping problems for continuous-time Markov chains
2018. Stochastics, 90 (3), 411–431. doi:10.1080/17442508.2017.1357724 -
Albrecher, H.; Bäuerle, N.; Bladt, M.
Dividends: From refracting to ratcheting
2018. Insurance, 83, 47–58. doi:10.1016/j.insmatheco.2018.09.003 -
Bäuerle, N.; Glauner, A.
Optimal risk allocation in reinsurance networks
2018. Insurance, 82, 37–47. doi:10.1016/j.insmatheco.2018.06.009 -
Bäuerle, N.; Jas̈kiewicz A.
Stochastic optimal growth model with risk sensitive preferences
2018. Journal of economic theory, 173, 181–200. doi:10.1016/j.jet.2017.11.005 -
Bäuerle, N.; Rieder, U.
Partially observable risk-sensitive Markov decision processes
2017. Mathematics of operations research, 42 (4), 1180–1196. doi:10.1287/moor.2016.0844 -
Bäuerle, N.; Grether, S.
Extremal behavior of long-term investors with power utility
2017. International journal of theoretical and applied finance, 20 (05), Art.Nr. 1750029. doi:10.1142/S0219024917500297 -
Bäuerle, N.; Jaśkiewicz, A.
Optimal dividend payout model with risk sensitive preferences
2017. Insurance, 73, 82–93. doi:10.1016/j.insmatheco.2017.01.006 -
Bäuerle, N.; Rieder, U.
Zero-sum risk-sensitive stochastic games
2017. Stochastic processes and their applications, 127 (2), 622–642. doi:10.1016/j.spa.2016.06.020 -
Bäuerle, N.; Riess, V.
Gas storage valuation with regime switching
2016. Energy systems, 7 (3), 499–528. doi:10.1007/s12667-015-0178-0 -
Bäuerle, N.; Rieder, U.
Partially observable risk-sensitive stopping problems in discrete time
2015. Modern Trends in Controlled Stochastic Processes : Theory and Applications. Vol.: II. Ed.: A. Piunovskiy, 12–31, Luniver Press -
Bäuerle, N.; Stein, O.
Operations Research: Mathematical Methods
2015. Wiley StatsRef: Statistics Reference Online. Ed.: N. Balakrishnan, 1–8, John Wiley and Sons. doi:10.1002/9781118445112.stat04584.pub2 -
Baeuerle, N.; Jaskiewicz, A.
Risk-sensitive dividend problems
2015. European journal of operational research, 242 (1), 161–171. doi:10.1016/j.ejor.2014.10.046 -
Baeuerle, N.; Grether, S.
Complete markets do not allow free cash flow streams
2015. Mathematical methods of operations research, 81 (2), 137–146. doi:10.1007/s00186-014-0489-2 -
Bäuerle, N.; Rieder, U.
More Risk-Sensitive Markov Decision Processes
2014. Mathematics of operations research, 39 (1), 105–120. doi:10.1287/moor.2013.0601 -
Bäuerle, N.; Bayraktar, E.
A note on applications of stochastic ordering to control problems in insurance and finance
2014. Stochastics, 86 (2), 330–340. doi:10.1080/17442508.2013.778861 -
Bäuerle, N.
Die Fachgruppe Stochastik in der DMV
2013. Mitteilungen der Deutschen Mathematiker-Vereinigung, 21 (1), 14–16. doi:10.1515/dmvm-2013-0009 -
Bäuerle, N.; Rieder, U.
Optimal Deterministic Investment Strategies for Insurers
2013. Risks, 1 (3), 101–118. doi:10.3390/risks1030101 -
Bäuerle, N.; Li, Z.
Optimal portfolios for financial markets with Wishart volatility
2013. Journal of applied probability, 50 (4), 1025–1043. doi:10.1239/jap/1389370097 -
Bäuerle, N.; Pfeiffer, R.
A joint stock and bond market based on the hyperbolic Gaussian model
2013. European actuarial journal, 3 (1), 229–248. doi:10.1007/s13385-012-0060-6 -
Bäuerle, N.; Rieder, U.
Control improvement for jump-diffusion processes with applications to finance
2012. Applied Mathematics & Optimization, 65 (1), 1–14. doi:10.1007/s00245-011-9141-1 -
Bäuerle, N.; Schmock, U.
Dependence properties of dynamic credit risk models
2012. Statistics & risk modeling, 29, 243–269. doi:10.1524/strm.2012.1101 -
Bäuerle, N.; Urban, S.; Veraart, L. A. M.
The relaxed investor with partial information
2012. SIAM Journal of Financial Mathematics, 3, 304–327. doi:10.1137/100813646 -
Bäuerle, N.; Blatter, A.
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
2011. Insurance: Mathematics and Economics, 48 (3), 398–405. doi:10.1016/j.insmatheco.2011.01.008 -
Bäuerle, N.; Veraart, L. A. M.
Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung
2011. Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Hrsg.: K. Wendland, 19–42, Vieweg Verlag -
Bäuerle, N.; Ott, J.
Markov Decision Processes with Average-Value-at-Risk criteria
2011. Mathematical Methods of Operations Research, 74 (3), 361–379. doi:10.1007/s00186-011-0367-0 -
Albrecher, H.; Bäuerle, N.; Thonhauser, S.
Optimal dividend-payout in random discrete time
2011. Statistics & risk modeling, 28 (3), 251–276. doi:10.1524/stnd.2011.1097 -
Bäuerle, N.; Manger, A.
Dependence Properties of exit times with applications to risk management
2010. International Journal of Operations Research : IJOR, 7 (4), 33–39 -
Pfeiffer, R.; Bierbaum, J.; Kunze, M.; Quapp, N.; Bäuerle, N.
Zinsmodelle für Versicherungen - Diskussion der Anforderungen und Vergleich der Modelle von Hull-White und Cairns
2010. Blätter der DGVFM, 31 (2), 261–290. doi:10.1007/s11857-010-0113-3 -
Bäuerle, N.; Rieder, U.
Optimal control of piecewise deterministic Markov processes with finite time horizon
2010. Modern Trends in Controlled Stochastic - Processes - Theory and Applications. Ed.: A. B. Piunovskiy, 123–143, Luniver -
Bäuerle, N.; Rieder, U.
Markov Decision Processes
2010. Jahresbericht der deutschen Mathematiker-Vereinigung (DMV), 112 (4), 217–243. doi:10.1365/s13291-010-0007-2 -
Bäuerle, N.; Mundt, A.
Dynamic Mean-Risk optimization in a binomial model
2009. Mathematical Methods of Operations Research, 70 (2), 219–239. doi:10.1007/s00186-008-0267-0 -
Bäuerle, N.; Rieder, U.
MDP Algorithms for portfolio optimization problems in pure jump markets
2009. Finance and Stochastics, 13 (4), 591–611. doi:10.1007/s00780-009-0093-0 -
Bäuerle, N.; Blatter, A.; Müller, A.
Dependence properties and comparison results for Lévy processes
2008. Mathematical Methods of Operations Research - ZOR, 67 (1), 161–186. doi:10.1007/s00186-007-0185-6 -
Bäuerle, N.; Grübel, R.
Multivariate risk processes with interacting intensities
2008. Advances in Applied Probability, 40 (2), 578–601. doi:10.1239/aap/1214950217 -
Kötter, M.; Bäuerle, N.
The periodic risk model with investment
2008. Insurance Mathematics and Economics, 42 (3), 962–967. doi:10.1016/j.insmatheco.2007.11.001 -
Bäuerle, N.; Mundt, A.
A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
2008. Statistics and Decisions - International Journal Stochastic Methods and Models, 26 (3), 219–242. doi:10.1524/stnd.2008.1000 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
2007. European Journal of Operational Research, 177 (2), 1180–1196. doi:10.1016/j.ejor.2006.01.002 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
2007. European Jornal of Operation Research, 177 (2), 1180–1196 -
Bäuerle, N.; Kötter, M.
Markov-modulated diffusion risk models
2007. Scandinavian Actuarial Journal, (1), 34–52. doi:10.1080/03461230601069528 -
Kötter, M.; Bäuerle, N.
The Markov-modulated risk model with investment
2007. Operations Research Proceedings 2006. Selected papers of the Annual International Conference of the German Operations Research Society (GOR). Ed.: K.-H. Waldmann, 575–580, Springer-Verlag. doi:10.1007/978-3-540-69995-8_91 -
Bäuerle, N.; Rieder, U.
Portfolio optimization with jumps and unobservable intensity process
2007. Mathematical Finance, 17 (2), 205–224. doi:10.1111/j.1467-9965.2006.00300.x -
Bäuerle, N.; Müller, A.
Stochastic orders and risk measures: Consistency and bounds
2006. Insurance Mathematics and Economics, 38 (1), 132–148. doi:10.1016/j.insmatheco.2005.08.003 -
Rieder, U.; Bäuerle, N.
Portfolio optimization with unobservable Markov-modulated drift process
2005. Journal of Applied Probability, 42 (2), 362–378. doi:10.1239/jap/1118777176 -
Bäuerle, N.
Benchmark and Mean-Variance problems for insurers
2005. Mathematical Methods of Operations Research, 62 (1), 159–165. doi:10.1007/s00186-005-0446-1 -
Bäuerle, N.; Grübel, R.
Multivariate counting processes: copulas and beyond
2005. Astin Bulletin, 35 (2), 379–408. doi:10.2143/AST.35.2.2003459 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
Routing of airplanes to two runways: monotonicity of optimal controls
2004. Probability in the Engineering and Informational Sciences, 18 (4), 533–560. doi:10.1017/S0269964804184088 -
Bäuerle, N.
Approximation of optimal reinsurance and dividend pay-out policies
2004. Mathematical Finance, 14 (1), 99–113. doi:10.1111/j.0960-1627.2004.00183.x -
Bäuerle, N.
Traditional versus non-traditional reinsurance in a dynamic setting
2004. Scandinavian Actuarial Journal, (5), 355–371. doi:10.1080/03461230310016983 -
Bäuerle, N.; Rieder, U.
Portfolio optimization with Markov-modulated stock prices and interest rates
2004. IEEE Transactions on Automatic Control, 49 (3), 442–447. doi:10.1109/TAC.2004.824471 -
Bäuerle, N.
Queueing Systems
2002. Optimization and Operations Research, Vol. IV, Ed.: U. Derigs, 883–893, UNESCO Publishing-Eolss Publishers, Oxford, UK -
Bäuerle, N.
Markov Models
2002. Optimization and Operations Research, Vol. IV. Ed.: U. Derigs, 831–850, UNESCO Publishing-Eolss Publishers, Oxford, UK -
Bäuerle, N.
Risk management in credit risk portfolios with correlated assets
2002. Insurance: Mathematics and Economics, 30 (2), 187–198. doi:10.1016/S0167-6687(02)00096-3 -
Bäuerle, N.
Optimal control of queueing networks: an approach via fluid models
2002. Advances in Applied Probability, 34 (2), 313–328. doi:10.1239/aap/1025131220 -
Bäuerle, N.; Houdek, A.
Bounds and performance limits of channel assignment policies in cellular networks
2002. Probability in the Engineering and Informational Sciences, 16 (1), 85–100. doi:10.1017/S0269964802161067 -
Bäuerle, N.
Discounted Stochastic Fluid Programs
2001. Mathematics of Operations Research, 26 (2), 401–420. doi:10.1287/moor.26.2.401.10560 -
Bäuerle, N.
Convex Stochastic Fluid Programs with Average Cost
2001. Journal of Mathematical Analysis and Applications, 259 (1), 137–156. doi:10.1006/jmaa.2000.7400 -
Bäuerle, N.; Stidham, S.
Conservation Laws for Single-Server Fluid Networks
2001. Queueing Systems : Theory and Applications, 38 (2), 185–194. doi:10.1023/A:1010906331066 -
Bäuerle, N.
On positive harris recurrence of stochastic fluid networks
2001. Stochastic Models, 17 (4), 391–405. doi:10.1081/STM-120001215 -
Bäuerle, N.; Rieder, U.
Optimal control of single-server fluid networks
2000. Queueing Systems : Theory and Applications, 35 (1-4), 185–200. doi:10.1023/A:1019146111903 -
Bäuerle, N.
Asymptotic optimality of tracking policies in stochastic networks
2000. Annals of Applied Probability, 10 (4), 1065–1083. doi:10.1214/aoap/1019487606 -
Bäuerle, N.
How to improve the performance of ATM multiplexers
1999. Operations Research Letters, 24 (1-2), 81–89. doi:10.1016/S0167-6377(99)00002-4 -
Bäuerle, N.
The advantage of small machines in a stochastic fluid production process
1998. Mathematical Methods of Operations Research, 47 (1), 83–97. doi:10.1007/BF01193838 -
Bäuerle, N.; Rolski, T.
A monotonicity result for the workload in Markov-modulated queues
1998. Journal of Applied Probability, 35 (3), 741–747. doi:10.1239/jap/1032265221 -
Bäuerle, N.; Brüstl, G.; Rieder, U.
Optimal scheduling in heterogeneous two-station queueing networks
1998. Mathematical Methods of Operations Research, 48 (3), 337–347. doi:10.1007/s001860050031 -
Baeuerle, N.; Mueller, A.
Modeling and comparing dependencies in multivariate risk portfolios
1998. ASTIN Bulletin, 28 (1), 59–76. doi:10.2143/AST.28.1.519079 -
Bäuerle, N.
Inequalities for stochastic models via supermodular orderings
1997. Stochastic Models, 13 (1), 181–201. doi:10.1080/15326349708807420 -
Bäuerle, N.; Rieder, U.
Comparison results for Markov-modulated recursive models
1997. Probability in the Engineering and Informational Sciences, 11 (2), 203–217. doi:10.1017/S0269964800004769 -
Bäuerle, N.
Monotonicity results for MR/GI/1 queues
1997. Journal of Applied Probability, 34 (2), 514–524. doi:10.2307/3215390 -
Bäuerle, N.
Some results about the expected ruin time in Markov-modulated risk models
1996. Insurance: Mathematics and Economics, 18 (2), 187–198. doi:10.1016/0167-6687(95)00034-8
weitere Aktivitäten
- Mitherausgeberin der Applied Probability Zeitschriften 2012 - Heute.
- Mitherausgeberin der Zeitschrift Statistics & Risk Modeling 2011 - Heute.
- Mitherausgeberin der Zeitschrift SIAM Journal on Control and Optimization 2019 - 2024.
- Mitherausgeberin der Zeitschrift TOP 2012 - 2020.
- Mitherausgeberin der Zeitschrift Mathematical Methods of Operations Research 2007 - 2020.
- Mitherausgeberin der Zeitschrift Stochastic Models 2000-2012.
- Vorstandsmitglied der DGVFM 2003-2011. (Deutsche Gesellschaft für Finanz- und Versicherungsmathematik).
- Vorstandsmitglied der Fachgruppe Stochastik 2010-2014.
- Mitglied des Kuratoriums des Fraunhofer-Instituts für Techno- und Wirtschatsmathematik ITWM 2017 - 2025.
- Mitglied des Bachelier Finance Society Council 2021 - Heute.