| Publication | Date of Publication | Type |
|---|
Mean reflected stochastic differential equations with jumps
Advances in Applied Probability | 2021-08-04 | Paper |
Mean reflected stochastic differential equations with jumps
Advances in Applied Probability | 2021-08-04 | Paper |
Mean square rate of convergence for random walk approximation of forward-backward SDEs
Advances in Applied Probability | 2021-08-04 | Paper |
Mean square rate of convergence for random walk approximation of forward-backward SDEs
Advances in Applied Probability | 2021-08-04 | Paper |
Donsker-type theorem for BSDEs: rate of convergence
Bernoulli | 2021-07-09 | Paper |
Particles systems and numerical schemes for mean reflected stochastic differential equations
The Annals of Applied Probability | 2021-03-18 | Paper |
Particles systems and numerical schemes for mean reflected stochastic differential equations
The Annals of Applied Probability | 2021-03-18 | Paper |
Random walk approximation of BSDEs with Hölder continuous terminal condition
Bernoulli | 2019-12-05 | Paper |
Random walk approximation of BSDEs with Hölder continuous terminal condition
Bernoulli | 2019-12-05 | Paper |
Erratum to: ``Simulation of BSDEs with jumps by Wiener chaos expansion.
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Journal of Mathematical Analysis and Applications | 2016-05-11 | Paper |
Simulation of BSDEs with jumps by Wiener chaos expansion
Stochastic Processes and their Applications | 2016-04-20 | Paper |
Stochastic local intensity loss models with interacting particle systems
Mathematical Finance | 2016-04-14 | Paper |
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Journal of Computational and Applied Mathematics | 2015-12-21 | Paper |
Simulation of BSDEs by Wiener chaos expansion
The Annals of Applied Probability | 2014-06-13 | Paper |
Simulation of BSDEs by Wiener chaos expansion
The Annals of Applied Probability | 2014-06-13 | Paper |
| An asymptotical method to estimate the parameters of a deteriorating system under condition-based maintenance | 2013-07-12 | Paper |
A parallel algorithm for solving BSDEs
Monte Carlo Methods and Applications | 2013-04-12 | Paper |
Solving BSDE with Adaptive Control Variate
SIAM Journal on Numerical Analysis | 2011-02-28 | Paper |
Sharp estimates for the convergence of the density of the Euler scheme in small time
Electronic Communications in Probability | 2009-11-20 | Paper |
Sharp estimates for the convergence of the density of the Euler scheme in small time
Electronic Communications in Probability | 2009-11-20 | Paper |
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
Error expansion for the discretization of backward stochastic differential equations
Stochastic Processes and their Applications | 2007-06-26 | Paper |
