Łukasz Delong

Backward stochastic differential equations with time delayed generators—results and counterexamples

Łukasz Delong, Peter Imkeller · The Annals of Applied Probability · 2010 · 91 citations · Full text

Time Delay System, Small Lipschitz Constant, Engineering +11

On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

Łukasz Delong, Peter Imkeller · Stochastic Processes and their Applications · 2010 · 75 citations

Engineering, Stochastic Calculus, Poisson Random Measures +6

Mean-variance portfolio selection for a non-life insurance company

Łukasz Delong, Russell Gerrard · Mathematical Methods of Operations Research · 2007 · 70 citations

Mean-variance Portfolio Selection, Portfolio Optimization, Portfolio Selection +7

Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients

Łukasz Delong, Claudia Klüppelberg · The Annals of Applied Probability · 2008 · 53 citations · Full text

Mean–variance optimization problems for an accumulation phase in a defined benefit plan

Łukasz Delong, Russell Gerrard, Steven Haberman · Insurance Mathematics and Economics · 2007 · 42 citations

Accumulation Phase, Engineering, Optimization Problem +5