Details about Johannes M. Schumacher

Access statistics for papers by Johannes M. Schumacher.

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Short-id: psc259

Working Papers

2012

1. Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model
   Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

2004

2. An Irregular Grid Approach for Pricing High-Dimensional American Options
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2002) View citations (4)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2004) View citations (1)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2002) View citations (4)
3. Pricing High-Dimensional American Options Using Local Consistency Conditions
   Other publications TiSEM, Tilburg University, School of Economics and Management
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2004) View citations (1)
4. Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options
   Other publications TiSEM, Tilburg University, School of Economics and Management
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2004)

2003

5. An equivalence result in linear-quadratic theory
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (13)
6. Robust equilibria in indefinite linear-quadratic differential games
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (21)
   See also Journal Article Robust Equilibria in Indefinite Linear-Quadratic Differential Games, Journal of Optimization Theory and Applications, Springer (2003) View citations (18) (2003)
7. Testing Expected Shortfall Models for Derivative Positions
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2003) View citations (1)

2002

8. Consistency of a time-stepping method for a class of piecewise-linear networks
   Other publications TiSEM, Tilburg University, School of Economics and Management
9. Model Risk and Regulatory Capital
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (8)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2002) View citations (9)
10. On the dynamic analysis of piecewise-linear networks
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)

2000

11. A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2000)
12. Feedback Nash equilibria in uncertain infinite time horizon differential games
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
13. Linear complimentarity systems
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
14. Well-posedness of a class of linear networks with ideal diodes
    Other publications TiSEM, Tilburg University, School of Economics and Management

1999

15. Disturbance Decoupling in Dynamic Games
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1999)
16. Performance of Delta-hedging strategies in interval models - A robustness study
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

1997

17. A controlability test for general first-order representations
    Other publications TiSEM, Tilburg University, School of Economics and Management
18. Homogeneous behaviors
    Other publications TiSEM, Tilburg University, School of Economics and Management
19. Realization by inspection
    Other publications TiSEM, Tilburg University, School of Economics and Management
20. Regulation as an interpolation problem
    Other publications TiSEM, Tilburg University, School of Economics and Management

1996

21. Impulsive-Smooth Behavior in Multimode Systems. Part I: State-Space and Polynomial Representations
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
22. Impulsive-Smooth Behavior in Multimode Systems. Part II: Minimality and Equivalence
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
23. On behaviors and convolutional codes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (4)
24. The complementary-slackness class of hybrid systems
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (4)
25. [Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993]
    Other publications TiSEM, Tilburg University, School of Economics and Management

1995

26. Coordination in continuously repeated games
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
27. Generic eigenvalue assignment by memoryless real output feedback
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
28. The regulator problem with robust stability
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)

1994

29. Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games: The two player case
    Research Memorandum, Tilburg University, School of Economics and Management View citations (25)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) View citations (2)
30. Continuity of singular perturbations in the graph topology
    Other publications TiSEM, Tilburg University, School of Economics and Management
31. Interpretations of the gap topology: a survey
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
32. [Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992]
    Other publications TiSEM, Tilburg University, School of Economics and Management
33. [Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991]
    Other publications TiSEM, Tilburg University, School of Economics and Management

1993

34. Information and entropy
    Other publications TiSEM, Tilburg University, School of Economics and Management
35. Input/output structure of linear differential/algebraic systems
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)

1992

36. A pointwise criterion for controller robustness
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
37. Realization and partial fractions
    Other publications TiSEM, Tilburg University, School of Economics and Management

1991

38. Minimality of descriptor representations under external equivalence
    Other publications TiSEM, Tilburg University, School of Economics and Management

1990

39. Realization of autoregressive equations in pencil and descriptor form
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
40. State representations of linear systems with output constraints
    Other publications TiSEM, Tilburg University, School of Economics and Management
41. System-theoretic trends in econometrics
    Research Memorandum, Tilburg University, School of Economics and Management
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990)

1989

42. Discrete events: perspectives from system theory
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1988)

1988

43. Robust control of flexible structures: a case study
    Other publications TiSEM, Tilburg University, School of Economics and Management
44. Transformations of linear systems under external equivalence
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)

1986

45. The regular local noninteracting control problem for nonlinear control systems
    Other publications TiSEM, Tilburg University, School of Economics and Management

1985

46. A geometric approach to the singular filtering problem
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
47. On the inherent integration structure of nonlinear systems
    Other publications TiSEM, Tilburg University, School of Economics and Management
48. Zeros at infinity for affine nonlinear control systems
    Other publications TiSEM, Tilburg University, School of Economics and Management

1984

49. A nine-fold canonical decomposition for linear systems
    Other publications TiSEM, Tilburg University, School of Economics and Management
50. Almost stabilizability subspaces and high gain feedback
    Other publications TiSEM, Tilburg University, School of Economics and Management
51. Les systèmes non linéaires à plus d'entrées que de sorties ne sont pas inversibles
    Other publications TiSEM, Tilburg University, School of Economics and Management

1983

52. A direct approach to compensator design for distributed parameter systems
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
53. Algebraic characterizations of almost invariance
    Other publications TiSEM, Tilburg University, School of Economics and Management
54. Finite-dimensional regulators for a class of infinite-dimensional systems
    Other publications TiSEM, Tilburg University, School of Economics and Management
55. On a conjecture of Basile and Marro
    Other publications TiSEM, Tilburg University, School of Economics and Management
56. On the structure of strongly controllable systems
    Other publications TiSEM, Tilburg University, School of Economics and Management
57. The algebraic regulator problem from the state-space point of view
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
58. The role of the dissipation matrix in singular optimal control
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)

1982

59. Regulator synthesis using (C,A,B)-pairs
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)

1980

60. A complement on pole placement
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
61. Compensator synthesis using (C,A,B)-pairs
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
62. On the minimal stable observer problem
    Other publications TiSEM, Tilburg University, School of Economics and Management
63. Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters
    Other publications TiSEM, Tilburg University, School of Economics and Management

Journal Articles

2024

1. Solving Maxmin Optimization Problems via Population Games
   Journal of Optimization Theory and Applications, 2024, 201, (2), 760-789

2022

2. Jump Equilibria in Public-Good Differential Games with a Single State Variable
   Dynamic Games and Applications, 2022, 12, (3), 784-812 View citations (1)
3. Utilitarian versus neutralitarian design of endowment fund policies
   Scandinavian Actuarial Journal, 2022, 2022, (8), 718-748

2021

4. A note on Gollier's model for a collective pension scheme
   Journal of Pension Economics and Finance, 2021, 20, (2), 187-211
5. Ex-ante estate division under strong Pareto efficiency
   Mathematical Social Sciences, 2021, 113, (C), 10-24

2020

6. Efficiency of institutional spending and investment rules
   Scandinavian Actuarial Journal, 2020, 2020, (5), 454-476

2018

7. A Multi-Objective Interpretation of Optimal Transport
   Journal of Optimization Theory and Applications, 2018, 176, (1), 94-119
8. Distortion risk measures, ROC curves, and distortion divergence
   Statistics & Risk Modeling, 2018, 35, (1-2), 35-50
9. LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS
   ASTIN Bulletin, 2018, 48, (3), 995-1024 View citations (9)

2017

10. Financial fairness and conditional indexation
    Scandinavian Actuarial Journal, 2017, 2017, (8), 651-669
11. Multi-period risk sharing under financial fairness
    Insurance: Mathematics and Economics, 2017, 72, (C), 49-66 View citations (3)
12. The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
    Journal of Mathematical Economics, 2017, 72, (C), 122-133 View citations (5)

2016

13. Cooperative investment in incomplete markets under financial fairness
    Insurance: Mathematics and Economics, 2016, 71, (C), 394-406 View citations (7)
14. Weakly time consistent concave valuations and their dual representations
    Finance and Stochastics, 2016, 20, (1), 123-151 View citations (1)
    Also in Finance and Stochastics, 2016, 20, (1), 123-151 (2016) View citations (1)

2013

15. Membership conditions for consistent families of monetary valuations
    Statistics & Risk Modeling, 2013, 30, (3), 255-280 View citations (3)

2011

16. Risk aversion for nonsmooth utility functions
    Journal of Mathematical Economics, 2011, 47, (2), 109-128 View citations (1)
17. The strictest common relaxation of a family of risk measures
    Insurance: Mathematics and Economics, 2011, 48, (1), 29-34

2010

18. Model risk and capital reserves
    Journal of Banking & Finance, 2010, 34, (1), 267-279 View citations (64)

2009

19. Welfare analysis of conditional indexation schemes from a two-reference-point perspective*
    Journal of Pension Economics and Finance, 2009, 8, (3), 321-350 View citations (1)

2007

20. Time consistency conditions for acceptability measures, with an application to Tail Value at Risk
    Insurance: Mathematics and Economics, 2007, 40, (2), 209-230 View citations (30)

2005

21. COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
    Mathematical Finance, 2005, 15, (4), 589-612 View citations (44)

2003

22. Robust Equilibria in Indefinite Linear-Quadratic Differential Games
    Journal of Optimization Theory and Applications, 2003, 119, (3), 565-595 View citations (18)
    See also Working Paper Robust equilibria in indefinite linear-quadratic differential games, Other publications TiSEM (2003) View citations (21) (2003)

1999

23. Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games
    Journal of Optimization Theory and Applications, 1999, 101, (3), 693-722 View citations (19)
24. Strategic behavior and noncooperative hierarchical control
    Journal of Economic Dynamics and Control, 1999, 23, (4), 641-669