| Publication | Date of Publication | Type |
|---|
Two sided long-time optimization singular control problems for L\'evy processes and Dynkin's games
(available as arXiv preprint) | N/A | Paper |
Consistency and Convergence of the Backward-Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion
(available as arXiv preprint) | 2026-09-29 | Paper |
Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games
Applied Mathematics and Optimization | 2026-09-28 | Paper |
Two sided ergodic singular control and mean-field game for diffusions
Decisions in Economics and Finance | 2025-08-25 | Paper |
Optimal stopping for Markov processes with positive jumps
Journal of Mathematical Sciences (New York) | 2025-06-05 | Paper |
Minimum description length for selection of models of musical rhythm
Journal of Mathematics and Music | 2024-01-18 | Paper |
| Optimal stopping for a compound Poisson process with exponential jumps | 2024-01-10 | Paper |
| scientific article; zbMATH DE number 7786356 (Why is no real title available?) | 2024-01-10 | Paper |
| scientific article; zbMATH DE number 7786363 (Why is no real title available?) | 2024-01-10 | Paper |
Diffusion spiders: Green kernel, excessive functions and optimal stopping
Stochastic Processes and their Applications | 2024-01-09 | Paper |
| Two sided ergodic singular control and mean field game for diffusions | 2023-06-15 | Paper |
On the finiteness of the moments of the measure of level sets of random fields
Brazilian Journal of Probability and Statistics | 2023-06-05 | Paper |
Two consistent estimators for the skew Brownian motion
ESAIM: Probability and Statistics | 2023-03-09 | Paper |
An algorithm to solve optimal stopping problems for one-dimensional diffusions
(available as arXiv preprint) | 2023-01-09 | Paper |
| An algorithm to solve optimal stopping problems for one-dimensional diffusions | 2023-01-09 | Paper |
On the impact of the Covid-19 health crisis on GDP forecasting: an empirical approach
Journal of Dynamics and Games | 2022-09-23 | Paper |
Large deviation principle for the greedy exploration algorithm over Erdős-Rényi graphs
(available as arXiv preprint) | 2022-02-08 | Paper |
| Large deviation principle for the greedy exploration algorithm over Erdős-Rényi graphs | 2022-02-08 | Paper |
Two-sided optimal stopping for Lévy processes
Electronic Communications in Probability | 2022-01-06 | Paper |
Level set and drift estimation from a reflected Brownian motion with drift
(available as arXiv preprint) | 2021-04-27 | Paper |
Optimal stopping of oscillating Brownian motion
Electronic Communications in Probability | 2019-09-19 | Paper |
Optimal stopping of oscillating Brownian motion
Electronic Communications in Probability | 2019-09-19 | Paper |
A non-iterative algorithm for generalized pig games
Journal of Dynamics and Games | 2019-08-20 | Paper |
On optimal stopping of multidimensional diffusions
Stochastic Processes and their Applications | 2019-06-28 | Paper |
Asymptotic normality of high level-large time crossings of a Gaussian process
Stochastic Processes and their Applications | 2019-06-04 | Paper |
| Optimal stopping of Brownian motion with broken drift | 2018-11-14 | Paper |
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
Computing Greeks for Lévy Models: The Fourier Transform Approach
Trends in Mathematical Economics | 2018-03-09 | Paper |
Modelling the Uruguayan debt through Gaussians models
Trends in Mathematical Economics | 2018-03-09 | Paper |
Pricing bond options in emerging markets: a case study
Journal of Dynamics and Games | 2018-01-12 | Paper |
Hierarchical Cucker-Smale Model Subject to Random Failure
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
Optimal stopping for Lévy processes with one-sided solutions
SIAM Journal on Control and Optimization | 2016-10-05 | Paper |
A finite exact algorithm to solve a dice game
Journal of Applied Probability | 2016-04-29 | Paper |
A finite exact algorithm to solve a dice game
Journal of Applied Probability | 2016-04-29 | Paper |
| Optimal stopping for Levy processes with polynomial rewards | 2015-07-22 | Paper |
| On the number of open knight's tours | 2015-07-13 | Paper |
Skewness premium with Lévy processes
Quantitative Finance | 2015-04-16 | Paper |
Rice formula for processes with jumps and applications
Extremes | 2015-04-15 | Paper |
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
Stochastics | 2014-08-14 | Paper |
Is a Brownian Motion Skew?
Scandinavian Journal of Statistics | 2014-05-26 | Paper |
Is a Brownian Motion Skew?
Scandinavian Journal of Statistics | 2014-05-26 | Paper |
| Robustness of Cucker-Smale flocking model | 2014-05-01 | Paper |
Cucker-Smale flocking under hierarchical leadership and random interactions
SIAM Journal on Applied Mathematics | 2011-11-10 | Paper |
Is a Brownian skew?
(available as arXiv preprint) | 2011-01-05 | Paper |
Adaptive Weak Approximation of Diffusions with Jumps
SIAM Journal on Numerical Analysis | 2009-08-20 | Paper |
| Symmetry and Time Changed Brownian Motions | 2008-10-23 | Paper |
Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
Journal of Applied Probability | 2008-04-30 | Paper |
Flocking in noisy environments
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2008-04-10 | Paper |
Optimal stopping of Hunt and Lévy processes
Stochastics | 2007-03-30 | Paper |
A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
From Stochastic Calculus to Mathematical Finance | 2006-10-23 | Paper |
| Counting Knight's Tours through the Randomized Warnsdorff Rule | 2006-08-31 | Paper |
Symmetry and duality in Lévy markets
Quantitative Finance | 2006-08-21 | Paper |
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
International Journal of Theoretical and Applied Finance | 2006-05-10 | Paper |
Approximation of the occupation measure of Lévy processes
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2005-06-13 | Paper |
| scientific article; zbMATH DE number 2173967 (Why is no real title available?) | 2005-06-07 | Paper |
Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
Theory of Probability & Its Applications | 2004-12-16 | Paper |
Optimal stopping and perpetual options for Lévy processes
Finance and Stochastics | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 1995723 (Why is no real title available?) | 2003-10-22 | Paper |
| scientific article; zbMATH DE number 1897410 (Why is no real title available?) | 2003-04-27 | Paper |
| scientific article; zbMATH DE number 1897422 (Why is no real title available?) | 2003-04-27 | Paper |
Necessary Conditions for Stable Convergence\\ of Semimartingales
Theory of Probability & Its Applications | 2000-10-19 | Paper |
Optimal stopping for a diffusion with jumps
Finance and Stochastics | 1999-09-14 | Paper |
| scientific article; zbMATH DE number 1069537 (Why is no real title available?) | 1999-01-18 | Paper |
| scientific article; zbMATH DE number 796444 (Why is no real title available?) | 1996-02-20 | Paper |
Asymptotic mixed normality and hellinger processes
Stochastics and Stochastic Reports | 1995-12-12 | Paper |
