| Publication | Date of Publication | Type |
|---|
Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
Bernoulli | 2024-03-26 | Paper |
Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
Bernoulli | 2024-03-26 | Paper |
| On SDEs for Bessel processes in low dimension and path-dependent extensions | 2024-02-05 | Paper |
On SDEs for Bessel processes in low dimension and path-dependent extensions
(available as arXiv preprint) | 2024-02-05 | Paper |
| The $L^2$-norm of the forward stochastic integral w.r.t. Fractional Brownian motion $H > \frac{1}{2}$ | 2023-10-24 | Paper |
| The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H< \frac{1}{2}$ | 2023-09-18 | Paper |
On path-dependent SDEs involving distributional drifts
Modern Stochastics. Theory and Applications | 2022-04-07 | Paper |
\(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
Electronic Communications in Probability | 2022-01-06 | Paper |
Smoothness of densities for path-dependent SDEs under Hörmander's condition
Journal of Functional Analysis | 2021-10-22 | Paper |
| Rough paths and regularization | 2021-06-15 | Paper |
Existence of densities for stochastic evolution equations driven by fractional Brownian motion
Stochastics and Dynamics | 2021-03-09 | Paper |
Discrete-type approximations for non-Markovian optimal stopping problems. II
Methodology and Computing in Applied Probability | 2021-01-18 | Paper |
Discrete-type approximations for non-Markovian optimal stopping problems. I
Journal of Applied Probability | 2019-12-17 | Paper |
A weak version of path-dependent functional Itô calculus
The Annals of Probability | 2018-11-08 | Paper |
A weak version of path-dependent functional Itô calculus
The Annals of Probability | 2018-11-08 | Paper |
Weak differentiability of Wiener functionals and occupation times
Bulletin des Sciences Mathématiques | 2018-10-29 | Paper |
Corrigendum to: ``Weak approximations for Wiener functionals.
The Annals of Applied Probability | 2017-08-08 | Paper |
| Stochastic Near-Optimal Controls for Path-Dependent Systems | 2017-07-16 | Paper |
A noisy principal component analysis for forward rate curves
European Journal of Operational Research | 2016-10-06 | Paper |
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
International Journal of Stochastic Analysis | 2016-04-25 | Paper |
| Classical solution to a multidimensional stochastic Burgers equation via forward-backward SDEs | 2016-02-19 | Paper |
| Path-dependent Itô formulas under \((p,q)\)-variations | 2016-02-04 | Paper |
| Corrigendum to "Weak Approximations for Wiener Functionals" [Ann. Appl. Probab. (2013), 23, 4, 1660-1691 | 2015-08-28 | Paper |
A note on the sharp \(L^p\)-convergence rate of upcrossings to the Brownian local time
Statistics & Probability Letters | 2015-06-11 | Paper |
| Path-dependent It\^o formulas under finite $(p,q)$-variation regularity | 2015-05-05 | Paper |
| Principal Components Analysis for Semimartingales and Stochastic PDE | 2015-03-19 | Paper |
| Weak Functional It\^o Calculus and Applications | 2014-08-06 | Paper |
| A Maximal Inequality of the 2D Young Integral based on Bivariations | 2014-08-06 | Paper |
Weak approximations for Wiener functionals
The Annals of Applied Probability | 2013-09-05 | Paper |
Weak approximations for Wiener functionals
The Annals of Applied Probability | 2013-09-05 | Paper |
A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility
(available as arXiv preprint) | 2013-08-07 | Paper |
| On the Discrete Cram\'er-von Mises Statistics under Random Censorship | 2012-01-11 | Paper |
Fractional term structure models: No-arbitrage and consistency
The Annals of Applied Probability | 2009-08-27 | Paper |
Stochastic Evolution Equations Driven by a Fractional White Noise
Stochastic Analysis and Applications | 2006-07-13 | Paper |
Solving non-Markovian Stochastic Control Problems driven by Wiener Functionals
(available as arXiv preprint) | N/A | Paper |
About semilinear low dimension Bessel PDEs
(available as arXiv preprint) | N/A | Paper |
