| Publication | Date of Publication | Type |
|---|
| Nonparametric Bayesian inference for stochastic processes with piecewise constant priors | 2024-10-31 | Paper |
| Nonparametric statistical inference for compound models | 2024-10-22 | Paper |
| A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models | 2024-10-16 | Paper |
| Theoretical guarantees for neural control variates in MCMC | 2024-04-17 | Paper |
| Sparse constrained projection approximation subspace tracking | 2024-03-22 | Paper |
| Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization | 2024-02-27 | Paper |
| Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces | 2024-02-20 | Paper |
| From optimal martingales to randomized dual optimal stopping | 2023-09-25 | Paper |
| Weak solutions to gamma-driven stochastic differential equations | 2023-05-26 | Paper |
| Nonparametric Bayesian inference for stochastic processes with piecewise constant priors | 2023-05-12 | Paper |
| Sharp Deviations Bounds for Dirichlet Weighted Sums with Application to analysis of Bayesian algorithms | 2023-04-06 | Paper |
| Semiparametric estimation of McKean-Vlasov SDEs | 2023-02-28 | Paper |
| Reinforced optimal control | 2022-12-13 | Paper |
| Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations | 2022-09-28 | Paper |
| Solving optimal stopping problems under model uncertainty via empirical dual optimisation | 2022-07-05 | Paper |
| Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activations | 2022-06-19 | Paper |
| Empirical variance minimization with applications in variance reduction and optimal control | 2022-05-16 | Paper |
| Variance reduction for additive functionals of Markov chains via martingale representations | 2022-03-14 | Paper |
| Randomized Optimal Stopping Algorithms and Their Convergence Analysis | 2021-11-05 | Paper |
| Density deconvolution under general assumptions on the distribution of measurement errors | 2021-07-05 | Paper |
| Semiparametric estimation of McKean-Vlasov SDEs | 2021-07-01 | Paper |
| Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMC | 2021-06-23 | Paper |
| Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm | 2021-03-23 | Paper |
| Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity | 2021-03-06 | Paper |
| Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations | 2020-11-16 | Paper |
| Variance reduction for Markov chains with application to MCMC | 2020-08-27 | Paper |
| Solving linear parabolic rough partial differential equations | 2020-06-17 | Paper |
| Nonparametric density estimation from observations with multiplicative measurement errors | 2020-05-12 | Paper |
| Optimal stopping via reinforced regression | 2020-04-07 | Paper |
| Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems | 2020-02-26 | Paper |
| Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections | 2019-09-25 | Paper |
| Nonparametric Bayesian inference for Gamma-type Lévy subordinators | 2019-09-10 | Paper |
| Fourier transform MCMC, heavy tailed distributions and geometric ergodicity | 2019-09-02 | Paper |
| Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm | 2019-06-22 | Paper |
| Optimal stopping via pathwise dual empirical maximisation | 2019-06-19 | Paper |
| Sparse covariance matrix estimation in high-dimensional deconvolution | 2019-06-14 | Paper |
| Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\) | 2019-03-21 | Paper |
| Minimax theorems for American options without time-consistency | 2019-01-18 | Paper |
| Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes | 2018-11-09 | Paper |
| Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations | 2018-11-07 | Paper |
| Regression-Based Complexity Reduction of the Nested Monte Carlo Methods | 2018-08-10 | Paper |
| Advanced Simulation-Based Methods for Optimal Stopping and Control | 2018-06-11 | Paper |
| Regression-based variance reduction approach for strong approximation schemes | 2018-03-08 | Paper |
| Truncated control variates for weak approximation schemes | 2018-03-07 | Paper |
| Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control | 2017-12-13 | Paper |
| Correction to: ``Nonparametric Laguerre estimation in the multiplicative censoring model | 2017-12-08 | Paper |
| Variance reduction for discretised diffusions via regression | 2017-11-02 | Paper |
| SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION | 2017-10-13 | Paper |
| Optimal Stopping Under Probability Distortions | 2017-09-22 | Paper |
| Minimax theorems for American options in incomplete markets without time-consistency | 2017-08-29 | Paper |
| Addendum to: ``Optimal stopping under model uncertainty: randomized stopping times approach. | 2017-08-08 | Paper |
| Generalized Post-Widder inversion formula with application to statistics | 2017-08-03 | Paper |
| Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs | 2017-04-05 | Paper |
| Unbiased Simulation of Distributions with Explicitly Known Integral Transforms | 2017-01-20 | Paper |
| Nonparametric Laguerre estimation in the multiplicative censoring model | 2017-01-11 | Paper |
| Optimal stopping under model uncertainty: randomized stopping times approach | 2016-06-09 | Paper |
| Statistical inference for time-changed Lévy processes via Mellin transform approach | 2016-04-20 | Paper |
| Estimation and Calibration of Lévy Models via Fourier Methods | 2016-02-24 | Paper |
| Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity | 2015-09-09 | Paper |
| Statistical Skorohod embedding problem: optimality and asymptotic normality | 2015-08-19 | Paper |
| Addendum to: ``Multilevel dual approach for pricing American style derivatives | 2015-08-04 | Paper |
| Pricing Bermudan Options via Multilevel Approximation Methods | 2015-06-26 | Paper |
| Solving Stochastic Dynamic Programs by Convex Optimization and Simulation | 2015-06-18 | Paper |
| Optimal stopping under probability distortions and law invariant coherent risk measures | 2015-06-14 | Paper |
| Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates | 2014-12-18 | Paper |
| Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$ | 2014-12-12 | Paper |
| Lévy matters IV. Estimation for discretely observed Lévy processes | 2014-12-02 | Paper |
| Concentration Inequalities for Smooth Random Fields | 2014-08-27 | Paper |
| Statistical inference for exponential functionals of L\'evy processes | 2013-12-17 | Paper |
| Multilevel dual approach for pricing American style derivatives | 2013-11-06 | Paper |
| Solving optimal stopping problems via empirical dual optimization | 2013-10-25 | Paper |
| Central Limit Theorems for Law-Invariant Coherent Risk Measures | 2012-04-20 | Paper |
| Statistical inference for time-changed Lévy processes via composite characteristic function estimation | 2011-12-08 | Paper |
| Spectral estimation of the Lévy density in partially observed affine models | 2011-06-15 | Paper |
| A jump-diffusion Libor model and its robust calibration | 2011-06-09 | Paper |
| An iterative procedure for solving integral equations related to optimal stopping problems | 2011-03-11 | Paper |
| On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems | 2011-02-21 | Paper |
| Sensitivities for Bermudan options by regression methods | 2010-11-12 | Paper |
| Regression Methods for Stochastic Control Problems and Their Convergence Analysis | 2010-10-20 | Paper |
| PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL | 2010-05-19 | Paper |
| Spectral estimation of the fractional order of a Lévy process | 2010-02-19 | Paper |
| Multiple stochastic volatility extension of the Libor market model and its implementation | 2010-02-10 | Paper |
| Regression methods in pricing American and Bermudan options using consumption processes | 2009-09-13 | Paper |
| Holomorphic transforms with application to affine processes | 2009-07-24 | Paper |
| TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO | 2009-03-06 | Paper |
| Simulation Based Option Pricing | 2008-12-01 | Paper |
| Spatial aggregation of local likelihood estimates with applications to classification | 2008-01-16 | Paper |
| Spectral calibration of exponential Lévy models | 2007-05-29 | Paper |
| MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES | 2006-08-14 | Paper |
| Constraints on distributions imposed by properties of linear forms | 2003-06-23 | Paper |
| Rates of convergence for constrained deconvolution problem | 2003-06-16 | Paper |
| A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models | N/A | Paper |
| Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs | N/A | Paper |
| On nonparametric estimation of the interaction function in particle system models | N/A | Paper |
