| Publication | Date of Publication | Type |
|---|
| On the analysis of Ait-Sahalia-type model for rough volatility modelling | 2024-04-02 | Paper |
| Restoration of well-posedness of infinite-dimensional singular ODE's via noise | 2024-02-21 | Paper |
| Existence of strong solutions of fractional Brownian sheet driven SDEs with integrable drift | 2023-07-18 | Paper |
| Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces | 2023-05-04 | Paper |
| Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths | 2023-05-03 | Paper |
| Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs | 2023-01-02 | Paper |
| Smoothness of solutions of hyperbolic stochastic partial differential equations with $L^{\infty}$-vector fields | 2022-12-16 | Paper |
| Girsanov theorem for multifractional Brownian processes | 2022-12-08 | Paper |
| Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise | 2022-05-04 | Paper |
| Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments | 2022-05-04 | Paper |
| On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model | 2022-05-02 | Paper |
| Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow | 2022-02-25 | Paper |
| Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach | 2021-07-16 | Paper |
| Small Noise Perturbations in Multidimensional Case | 2021-06-18 | Paper |
| Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility | 2021-05-03 | Paper |
| Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift | 2020-11-11 | Paper |
| Regularity properties of the stochastic flow of a skew fractional Brownian motion | 2020-07-14 | Paper |
| Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes | 2020-01-17 | Paper |
| Stochastic functional differential equations and sensitivity to their initial path | 2019-03-22 | Paper |
| Singular Control Optimal Stopping of Memory Mean-Field Processes | 2019-02-20 | Paper |
| Strong solutions of mean-field stochastic differential equations with irregular drift | 2019-02-14 | Paper |
| Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting | 2018-12-13 | Paper |
| On a selection problem for small noise perturbation in the multidimensional case | 2018-12-10 | Paper |
| Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle | 2018-11-09 | Paper |
| On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise | 2017-12-22 | Paper |
| C-infinity-regularization by Noise of Singular ODE's | 2017-10-13 | Paper |
| Strong Uniqueness of Singular Stochastic Delay Equations | 2017-07-07 | Paper |
| Maximum principles for jump diffusion processes with infinite horizon | 2017-06-06 | Paper |
| Computing deltas without derivatives | 2017-04-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2787491 | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2787535 | 2016-03-04 | Paper |
| Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation | 2015-07-06 | Paper |
| On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients | 2014-07-25 | Paper |
| Stochastic differential games in insider markets via Malliavin calculus | 2014-07-04 | Paper |
| Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps | 2014-04-25 | Paper |
| Sensitivity analysis in a market with memory | 2013-12-18 | Paper |
| A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs | 2013-11-18 | Paper |
| A Maximum Principle for Infinite Horizon Delay Equations | 2013-10-24 | Paper |
| A Bayes formula for nonlinear filtering with Gaussian and Cox noise | 2012-03-13 | Paper |
| A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading | 2011-08-08 | Paper |
| UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES | 2011-05-04 | Paper |
| A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets | 2010-08-19 | Paper |
| Construction of strong solutions of SDE's via Malliavin calculus | 2010-05-17 | Paper |
| Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes | 2010-04-23 | Paper |
| UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES | 2009-06-23 | Paper |
| Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading | 2009-06-05 | Paper |
| A maximum principle approach to risk indifference pricing with partial information | 2009-04-01 | Paper |
| Malliavin Calculus for Lévy Processes with Applications to Finance | 2008-05-28 | Paper |
| Infinite dimensional analysis of pure jump Lévy processes on the Poisson space | 2008-02-22 | Paper |
| Stochastic differential equations—some new ideas | 2008-01-09 | Paper |
| THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA | 2006-08-14 | Paper |
| On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients | 2006-07-11 | Paper |
| Optimal portfolio for an insider in a market driven by Lévy processes§ | 2006-06-16 | Paper |
| The stochastic transport equation driven by Lévy white noise | 2006-01-16 | Paper |
| Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields | 2005-12-09 | Paper |
| MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES | 2005-08-01 | Paper |
| White noise of Poisson random measures | 2005-01-17 | Paper |
| Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance | 2004-11-05 | Paper |
| ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION | 2004-10-25 | Paper |
| The Donsker delta function of a Lévy process with application to chaos expansion of local time | 2004-10-12 | Paper |
| Stochastic partial differential equations driven by Lévy space-time white noise. | 2004-09-15 | Paper |
| White noise analysis for Lévy processes. | 2004-03-15 | Paper |
| Central limit theorems for generalized set-valued random variables | 2003-09-25 | Paper |
| A strong law of large numbers for generalized random sets from the viewpoint of empirical processes | 2003-05-14 | Paper |
| Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes | 2003-01-01 | Paper |
| Strong law of large numbers for Banach space valued fuzzy random variables | 2002-08-20 | Paper |
| Central limit theorem for Banach space valued fuzzy random variables | 2002-03-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3840779 | 1998-08-11 | Paper |
| Optimal control of SPDEs driven by time-space Brownian motion | 0001-01-03 | Paper |
| Long-time behaviors of some stochastic differential equations driven by L\'{e}vy noise | 0001-01-03 | Paper |
| Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet | 0001-01-03 | Paper |
