| Publication | Date of Publication | Type |
|---|
On some semi-parametric estimates for European option prices
Journal of Applied Probability | 2024-10-11 | Paper |
On certain representations of pricing functionals
Annals of Finance | 2024-05-13 | Paper |
Nonparametric estimates of option prices via Hermite basis functions
Annals of Finance | 2024-01-10 | Paper |
On some semi-parametric estimates for European option prices
| 2023-06-19 | Paper |
On the positivity of local mild solutions to stochastic evolution equations
| 2022-12-01 | Paper |
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Journal of Differential Equations | 2022-11-11 | Paper |
Well-posedness of monotone semilinear SPDEs with semimartingale noise
| 2022-11-01 | Paper |
Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
Potential Analysis | 2022-06-24 | Paper |
An alternative proof of well-posedness of stochastic evolution equations in the variational setting
| 2022-05-09 | Paper |
On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs
| 2021-12-31 | Paper |
On the differentiability of solutions to singularly perturbed SPDEs
| 2020-12-30 | Paper |
Refined existence and regularity results for a class of semilinear dissipative SPDEs
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2020-11-12 | Paper |
An alternative proof of well-posedness of stochastic evolution equations in the variational setting
| 2020-09-21 | Paper |
Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum
Journal of Evolution Equations | 2020-09-07 | Paper |
Ergodicity and Kolmogorov equations for dissipative SPDEs with singular drift: a variational approach
Potential Analysis | 2020-01-22 | Paper |
Positivity of mild solution to stochastic evolution equations with an application to forward rates
| 2019-12-28 | Paper |
Strong solutions to SPDEs with monotone drift in divergence form
Stochastic and Partial Differential Equations. Analysis and Computations | 2019-07-31 | Paper |
A note on doubly nonlinear SPDEs with singular drift in divergence form
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni | 2019-03-05 | Paper |
On the well-posedness of SPDEs with singular drift in divergence form
| 2019-01-22 | Paper |
A variational approach to dissipative SPDEs with singular drift
The Annals of Probability | 2018-06-26 | Paper |
On maximal inequalities for purely discontinuous martingales in infinite dimensions
Lecture Notes in Mathematics | 2018-06-21 | Paper |
On well-posedness of semilinear stochastic evolution equations on \(L_p\) spaces
SIAM Journal on Mathematical Analysis | 2018-04-13 | Paper |
On the maximal inequalities of Burkholder, Davis and Gundy
Expositiones Mathematicae | 2016-03-03 | Paper |
On smoothing properties of transition semigroups associated to a class of SDEs with jumps
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2014-12-05 | Paper |
Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps
Journal of Functional Analysis | 2014-01-16 | Paper |
On maximal inequalities for purely discontinuous $L_q$-valued martingales
| 2013-11-27 | Paper |
Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
Potential Analysis | 2013-10-21 | Paper |
Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-05-13 | Paper |
On the relation between forecast precision and trading profitability of financial analysts
| 2013-01-28 | Paper |
Multivariate heavy-tailed models for value-at-risk estimation
International Journal of Theoretical and Applied Finance | 2012-08-30 | Paper |
Existence of weak solutions for a class of semilinear stochastic wave equations
SIAM Journal on Mathematical Analysis | 2012-08-23 | Paper |
Well posedness and asymptotic behavior for stochastic reaction-diffusion equations with multiplicative Poisson noise
Electronic Journal of Probability | 2011-09-09 | Paper |
ON UNIQUENESS OF MILD SOLUTIONS FOR DISSIPATIVE STOCHASTIC EVOLUTION EQUATIONS
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2010-11-18 | Paper |
LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
Mathematical Finance | 2010-08-03 | Paper |
Ergodicity for nonlinear stochastic evolution equations with multiplicative Poisson noise
Dynamics of Partial Differential Equations | 2010-07-30 | Paper |
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
Quantitative Finance | 2010-03-11 | Paper |
\(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures
Journal of Mathematical Analysis and Applications | 2010-02-19 | Paper |
Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
Journal of Functional Analysis | 2010-01-11 | Paper |
Stochastic FitzHugh-Nagumo equations on networks with impulsive noise
Electronic Journal of Probability | 2009-11-20 | Paper |
STRONG SOLUTIONS FOR STOCHASTIC POROUS MEDIA EQUATIONS WITH JUMPS
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2009-11-09 | Paper |
Variational inequalities in Hilbert spaces with measures and optimal stopping problems
Applied Mathematics and Optimization | 2008-09-22 | Paper |
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
Stability of sequential Markov Chain Monte Carlo methods
ESAIM: Proceedings | 2007-11-20 | Paper |
A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs
Journal of Physics A: Mathematical and Theoretical | 2007-10-19 | Paper |
Convergence of sequential Markov Chain Monte Carlo methods: I. Nonlinear flow of probability measures
| 2006-12-03 | Paper |
The stochastic goodwill problem
European Journal of Operational Research | 2006-10-25 | Paper |
scientific article; zbMATH DE number 5012789 (Why is no real title available?)
| 2006-03-16 | Paper |
Reconstructing the drift of a diffusion from partially observed transition probabilities
Stochastic Processes and their Applications | 2005-09-29 | Paper |
On the reconstruction of the drift of a diffusion from transition probabilities which are partially observed in space
| 2004-10-31 | Paper |
scientific article; zbMATH DE number 1532383 (Why is no real title available?)
| 2000-11-19 | Paper |
On mild solutions to some dissipative SPDEs on $L^p$ spaces with additive noise
| N/A | Paper |
