| Publication | Date of Publication | Type |
|---|
Consistent causal inference for high-dimensional time series
Journal of Econometrics | 2025-01-16 | Paper |
Identification of vector autoregressive models with nonlinear contemporaneous structure
Journal of Economic Dynamics and Control | 2024-07-16 | Paper |
Transient impact from the Nash equilibrium of a permanent market impact game
Dynamic Games and Applications | 2024-06-17 | Paper |
Instabilities in multi-asset and multi-agent market impact games
Annals of Operations Research | 2024-06-04 | Paper |
A spatial measure-valued model for radiation-induced DNA damage kinetics and repair under protracted irradiation condition
Journal of Mathematical Biology | 2024-02-20 | Paper |
Bilateral teleoperation of stochastic port‐Hamiltonian systems using energy tanks
International Journal of Robust and Nonlinear Control | 2023-11-29 | Paper |
Weak Energy Shaping for Stochastic Controlled Port-Hamiltonian Systems
SIAM Journal on Control and Optimization | 2023-10-11 | Paper |
Uncertainty in firm valuation and a cross-sectional misvaluation measure
Annals of Finance | 2023-04-04 | Paper |
Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
| 2022-12-01 | Paper |
Stochastic port-Hamiltonian systems
Journal of Nonlinear Science | 2022-10-10 | Paper |
A maximum principle for a stochastic control problem with multiple random terminal times
Mathematics in Engineering | 2022-04-22 | Paper |
Discrete stochastic port-Hamiltonian systems
Automatica | 2022-01-31 | Paper |
Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
Applied Mathematics and Optimization | 2021-10-19 | Paper |
Stabilization of bilateral teleoperators with asymmetric stochastic delay
Systems & Control Letters | 2021-01-06 | Paper |
A lending scheme for a system of interconnected banks with probabilistic constraints of failure
Automatica | 2020-10-01 | Paper |
A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
Stochastic Processes and their Applications | 2020-02-24 | Paper |
Asymptotic expansion for some local volatility models arising in finance
Decisions in Economics and Finance | 2020-01-31 | Paper |
Stochastic port--Hamiltonian systems
| 2019-10-04 | Paper |
Stochastic systems with memory and jumps
Journal of Differential Equations | 2019-03-26 | Paper |
Optimal control for the stochastic Fitzhugh-Nagumo model with recovery variable
Evolution Equations and Control Theory | 2019-01-18 | Paper |
A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
NoDEA. Nonlinear Differential Equations and Applications | 2017-10-20 | Paper |
Gaussian estimates on networks with dynamic stochastic boundary conditions
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2017-04-06 | Paper |
Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions
Journal of Mathematical Analysis and Applications | 2017-03-28 | Paper |
A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
International Journal of Stochastic Analysis | 2017-02-07 | Paper |
Optimal control of stochastic Fitzhugh-Nagumo equation
International Journal of Control | 2016-05-25 | Paper |
Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
| 2015-10-20 | Paper |
Lie symmetry approach to the CEV model
| 2015-05-18 | Paper |
Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
International Journal of Stochastic Analysis | 2014-10-20 | Paper |
Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model
International Journal of Applied Mathematics | 2014-10-15 | Paper |
Transition density for CIR process by Lie symmetries and application to ZCB pricing
International Journal of Pure and Applied Mathematics | 2013-12-20 | Paper |
