Johannes M. Schumacher : Citation Profile


Are you Johannes M. Schumacher?

Universiteit van Amsterdam

6

H index

5

i10 index

152

Citations

RESEARCH PRODUCTION:

18

Articles

72

Papers

RESEARCH ACTIVITY:

   38 years (1980 - 2018). See details.
   Cites by year: 4
   Journals where Johannes M. Schumacher has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 32 (17.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc259
   Updated: 2019-11-16    RAS profile: 2019-10-14    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Johannes M. Schumacher.

Is cited by:

Engwerda, Jacob (35)

Weeren, Arie (9)

Maillet, Bertrand (6)

Plasmans, Joseph (4)

van Aarle, Bas (4)

van Aarle, Bas (4)

Pelsser, Antoon (4)

Danielsson, Jon (3)

Stadje, Mitja (3)

Melenberg, Bertrand (2)

Zhao, Yonggan (2)

Cites to:

Engwerda, Jacob (7)

Epstein, Larry (6)

Artzner, Philippe (6)

Jouini, Elyès (5)

Ponds, Eduard (5)

Gollier, Christian (4)

Schmeidler, David (4)

Gilboa, Itzhak (4)

Acerbi, Carlo (4)

Scandolo, Giacomo (4)

wang, tan (3)

Main data


Where Johannes M. Schumacher has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics4
Journal of Optimization Theory and Applications3
Statistics & Risk Modeling2
Finance and Stochastics2
Journal of Mathematical Economics2

Recent works citing Johannes M. Schumacher (2018 and 2017)


YearTitle of citing document
2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (2017). Stadje, Mitja ; Madan, Dilip ; Pistorius, Martijn. In: Papers. RePEc:arx:papers:1301.3531.

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2017A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (2017). Cialenco, Igor ; Bielecki, Tomasz R. ; Pitera, Marcin. In: Papers. RePEc:arx:papers:1409.7028.

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2018On representing and hedging claims for coherent risk measures. (2018). Armstrong, Seb ; Jacka, Saul ; Berkaoui, Abdelkarem . In: Papers. RePEc:arx:papers:1703.03638.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2019A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Papers. RePEc:arx:papers:1810.09112.

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2018Monetary Measures of Risk. (2018). Hamel, Andreas H. In: Papers. RePEc:arx:papers:1812.04354.

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2019Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach. (2019). Bianchi, Giulia ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1902.06623.

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2019Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU. In: Papers. RePEc:arx:papers:1903.00590.

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2018Challenges in Implementing Worst-Case Analysis. (2018). de Vries, Casper ; Danielsson, Jon ; Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:18-47.

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2017Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233.

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2018The economics of sharing macro-longevity risk. (2018). Ool, Annick ; Broeders, Dirk ; van Ool, Annick ; Mehlkopf, Roel. In: DNB Working Papers. RePEc:dnb:dnbwpp:618.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Efficient option risk measurement with reduced model risk. (2017). Mitra, Sovan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174.

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2017Sustainability of participation in collective pension schemes: An option pricing approach. (2017). Pelsser, Antoon ; Beetsma, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:182-196.

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2018Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2018A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection. (2018). Vallado, Davi Michel ; Street, Alexandre ; Veiga, Alvaro. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x.

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2019The Evaluation of Model Risk for Probability of Default and Expected Loss. (2019). Tiomo, Andre ; Gourieroux, Christian. In: MPRA Paper. RePEc:pra:mprapa:95795.

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2019Time-consistency of risk measures: how strong is such a property?. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Mastrogiacomo, Elisa . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00233-2.

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2018Stability of Feedback Solutions for Infinite Horizon Noncooperative Differential Games. (2018). Bressan, Alberto ; Nguyen, Khai T. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:8:y:2018:i:1:d:10.1007_s13235-016-0206-2.

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2017Optimal Control Formulation for Complementarity Dynamical Systems. (2017). Miri, Mohsen S ; Effati, Sohrab. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:175:y:2017:i:2:d:10.1007_s10957-017-1178-0.

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2018Risk measurement and risk-averse control of partially observable discrete-time Markov systems. (2018). Fan, Jingnan ; Ruszczyski, Andrzej. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0633-5.

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2017Iterative algorithms for computing the feedback Nash equilibrium point for positive systems. (2017). Ivanov, I ; Bogdanova, B ; Imsland, Lars . In: International Journal of Systems Science. RePEc:taf:tsysxx:v:48:y:2017:i:4:p:729-737.

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2017Stabilization of an Uncertain Simple Fishery Management Game. (2017). Engwerda, Jacob. In: Discussion Paper. RePEc:tiu:tiucen:3823c5f7-1ade-4bd2-bcb8-eff724c3d781.

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2019Theory and Application of Model Risk Quantification. (2019). Feng, YU. In: PhD Thesis. RePEc:uts:finphd:3-2019.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395.

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Works by Johannes M. Schumacher:


YearTitleTypeCited
2005COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS In: Mathematical Finance.
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article31
2013Membership conditions for consistent families of monetary valuations In: Statistics & Risk Modeling.
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article0
2013Membership conditions for consistent families of monetary valuations.(2013) In: Other publications TiSEM.
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2018Distortion risk measures, ROC curves, and distortion divergence In: Statistics & Risk Modeling.
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article0
2018LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article0
2009Welfare analysis of conditional indexation schemes from a two-reference-point perspective In: Journal of Pension Economics and Finance.
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article0
1999Strategic behavior and noncooperative hierarchical control In: Journal of Economic Dynamics and Control.
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article0
2007Time consistency conditions for acceptability measures, with an application to Tail Value at Risk In: Insurance: Mathematics and Economics.
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article20
2011The strictest common relaxation of a family of risk measures In: Insurance: Mathematics and Economics.
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article0
2011The strictest common relaxation of a family of risk measures.(2011) In: Other publications TiSEM.
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paper
2016Cooperative investment in incomplete markets under financial fairness In: Insurance: Mathematics and Economics.
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article0
2017Multi-period risk sharing under financial fairness In: Insurance: Mathematics and Economics.
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article1
2010Model risk and capital reserves In: Journal of Banking & Finance.
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article39
2011Risk aversion for nonsmooth utility functions In: Journal of Mathematical Economics.
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article0
2011Risk aversion for nonsmooth utility functions.(2011) In: Other publications TiSEM.
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2017The composite iteration algorithm for finding efficient and financially fair risk-sharing rules In: Journal of Mathematical Economics.
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article0
2016Weakly time consistent concave valuations and their dual representations In: Finance and Stochastics.
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article1
2016Weakly time consistent concave valuations and their dual representations.(2016) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 1
article
2016Weakly time consistent concave valuations and their dual representations.(2016) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 1
paper
1999Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications.
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article3
2003Robust Equilibria in Indefinite Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications.
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article11
2003Robust equilibria in indefinite linear-quadratic differential games.(2003) In: Other publications TiSEM.
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paper
2018A Multi-Objective Interpretation of Optimal Transport In: Journal of Optimization Theory and Applications.
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article0
1999Disturbance Decoupling in Dynamic Games In: Discussion Paper.
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paper0
2002An Irregular Grid Approach for Pricing High Dimensional American Options In: Discussion Paper.
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2004An Irregular Grid Approach for Pricing High-Dimensional American Options.(2004) In: Discussion Paper.
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2002Model Risk and Regulatory Capital In: Discussion Paper.
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paper6
2004Pricing High-Dimensional American Options Using Local Consistency Conditions In: Discussion Paper.
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paper1
2003Testing Expected Shortfall Models for Derivative Positions In: Discussion Paper.
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paper0
2004Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options In: Discussion Paper.
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1999Performance of Delta-hedging strategies in interval models - A robustness study In: Discussion Paper.
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paper1
2012Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model In: Discussion Paper.
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2000A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances In: Discussion Paper.
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1988Discrete events : Perspectives from system theory In: Research Memorandum.
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1989Discrete events : perspectives from system theory.(1989) In: Other publications TiSEM.
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1990System-theoretic trends in econometrics In: Research Memorandum.
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1994Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case In: Research Memorandum.
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1985A geometric approach to the singular filtering problem In: Other publications TiSEM.
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paper1
1986The regular local noninteracting control problem for nonlinear control systems In: Other publications TiSEM.
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1994Interpretations of the gap topology : a survey In: Other publications TiSEM.
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1996On behaviors and convolutional codes In: Other publications TiSEM.
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1997Realization by inspection In: Other publications TiSEM.
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1988Robust control of flexible structures : a case study In: Other publications TiSEM.
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1993Information and entropy In: Other publications TiSEM.
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1997Homogeneous behaviors In: Other publications TiSEM.
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1990State representations of linear systems with output constraints In: Other publications TiSEM.
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2011Observer-based control of linear complementarity systems In: Other publications TiSEM.
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paper1
1990Realization of autoregressive equations in pencil and descriptor form In: Other publications TiSEM.
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paper1
1984Almost stabilizability subspaces and high gain feedback In: Other publications TiSEM.
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1994Continuity of singular perturbations in the graph topology In: Other publications TiSEM.
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1991Minimality of descriptor representations under external equivalence In: Other publications TiSEM.
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1997Regulation as an interpolation problem In: Other publications TiSEM.
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2000Well-posedness of a class of linear networks with ideal diodes In: Other publications TiSEM.
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1983Finite-dimensional regulators for a class of infinite-dimensional systems In: Other publications TiSEM.
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1992Realization and partial fractions In: Other publications TiSEM.
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1983The algebraic regulator problem from the state-space point of view In: Other publications TiSEM.
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2002On the dynamic analysis of piecewise-linear networks In: Other publications TiSEM.
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1983A direct approach to compensator design for distributed parameter systems In: Other publications TiSEM.
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2000Linear complimentarity systems In: Other publications TiSEM.
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paper4
1980Compensator synthesis using (C,A,B)-pairs In: Other publications TiSEM.
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1984A nine-fold canonical decomposition for linear systems In: Other publications TiSEM.
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1996Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence In: Other publications TiSEM.
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2016Financial fairness and conditional indexation In: Other publications TiSEM.
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paper1
1985Zeros at infinity for affine nonlinear control systems In: Other publications TiSEM.
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1980Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters In: Other publications TiSEM.
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1983On the structure of strongly controllable systems In: Other publications TiSEM.
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2002Consistency of a time-stepping method for a class of piecewise-linear networks In: Other publications TiSEM.
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1995Generic eigenvalue assignment by memoryless real output feedback In: Other publications TiSEM.
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1993Input/output structure of linear differential/algebraic systems In: Other publications TiSEM.
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1980A complement on pole placement In: Other publications TiSEM.
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1994[Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991] In: Other publications TiSEM.
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1997A controlability test for general first-order representations In: Other publications TiSEM.
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1982Regulator synthesis using (C,A,B)-pairs In: Other publications TiSEM.
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2000Feedback Nash equilibria in uncertain infinite time horizon differential games In: Other publications TiSEM.
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1983On a conjecture of Basile and Marro In: Other publications TiSEM.
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1984Les systèmes non linéaires à plus dentrées que de sorties ne sont pas inversibles In: Other publications TiSEM.
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1983The role of the dissipation matrix in singular optimal control In: Other publications TiSEM.
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1995The regulator problem with robust stability In: Other publications TiSEM.
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2003An equivalence result in linear-quadratic theory In: Other publications TiSEM.
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1994[Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992] In: Other publications TiSEM.
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2016Linear passive systems and maximal monotone mappings In: Other publications TiSEM.
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1980On the minimal stable observer problem In: Other publications TiSEM.
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1985On the inherent integration structure of nonlinear systems In: Other publications TiSEM.
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1992A pointwise criterion for controller robustness In: Other publications TiSEM.
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1996[Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993] In: Other publications TiSEM.
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1983Algebraic characterizations of almost invariance In: Other publications TiSEM.
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1988Transformations of linear systems under external equivalence In: Other publications TiSEM.
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2011Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie? In: Other publications TiSEM.
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1996The complementary-slackness class of hybrid systems In: Other publications TiSEM.
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1996Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations In: Other publications TiSEM.
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