| Publication | Date of Publication | Type |
|---|
SDEs with singular coefficients: The martingale problem view and the stochastic dynamics view
(available as arXiv preprint) | N/A | Paper |
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
(available as arXiv preprint) | N/A | Paper |
About semilinear low dimension Bessel PDEs
(available as arXiv preprint) | N/A | Paper |
Exponential twist of probability measures: drift correction in term of a generalized gradient
Stochastic Processes and their Applications | 2026-09-04 | Paper |
The superposition principle for solutions to Fokker-Planck-Kolmogorov equations with potential terms
Pure and Applied Functional Analysis | 2026-07-27 | Paper |
Verification theorem related to a zero sum stochastic differential game based on a chain rule for nonsmooth functions
SIAM Journal on Control and Optimization | 2026-02-03 | Paper |
An entropy penalized approach for stochastic control problems
SIAM Journal on Control and Optimization | 2026-02-03 | Paper |
Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result
Stochastics | 2026-01-16 | Paper |
Backward stochastic differential equations with no driving martingale and pseudo-PDEs
Journal of Stochastic Analysis | 2025-09-30 | Paper |
Rough paths and regularization
Journal of Stochastic Analysis | 2025-09-30 | Paper |
A note on time-dependent additive functionals
Communications on Stochastic Analysis | 2025-09-25 | Paper |
\(C^{0, 1}\)-Itô chain rules and generalized solutions of parabolic PDEs
Stochastics and Dynamics | 2025-07-29 | Paper |
Stochastic differential equations with singular coefficients: the martingale problem view and the stochastic dynamics view
Journal of Theoretical Probability | 2024-08-24 | Paper |
A PDE with drift of negative Besov index and linear growth solutions.
Differential and Integral Equations | 2024-08-07 | Paper |
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 |
Weak Dirichlet processes and generalized martingale problems
Stochastic Processes and their Applications | 2024-03-04 | Paper |
On SDEs for Bessel processes in low dimension and path-dependent extensions
(available as arXiv preprint) | 2024-02-05 | Paper |
| On SDEs for Bessel processes in low dimension and path-dependent extensions | 2024-02-05 | Paper |
McKean SDEs with singular coefficients
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2024-01-16 | 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 |
| An entropy penalized approach for stochastic control problems. Complete version | 2023-09-04 | Paper |
| Reduced dissipation effect in stochastic transport by Gaussian noise with regularity greater than 1/2 | 2023-05-30 | Paper |
| A pde with drift of negative Besov index and linear growth solutions | 2022-12-08 | Paper |
McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
(available as arXiv preprint) | 2022-12-01 | Paper |
| Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties | 2022-11-07 | Paper |
Stochastic Calculus via Regularizations
Bocconi & Springer Series | 2022-07-11 | Paper |
Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations
Stochastics | 2022-07-08 | Paper |
On path-dependent SDEs involving distributional drifts
Modern Stochastics. Theory and Applications | 2022-04-07 | Paper |
Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
Stochastics and Dynamics | 2022-03-18 | Paper |
Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
Bernoulli | 2022-02-01 | Paper |
Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
Bernoulli | 2022-02-01 | Paper |
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
Monte Carlo Methods and Applications | 2022-01-17 | Paper |
Fokker-Planck equations with terminal condition and related McKean probabilistic representation
NoDEA. Nonlinear Differential Equations and Applications | 2022-01-12 | Paper |
Smoothness of densities for path-dependent SDEs under Hörmander's condition
Journal of Functional Analysis | 2021-10-22 | Paper |
Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples
Journal of Theoretical Probability | 2021-07-26 | Paper |
| Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions | 2021-07-13 | Paper |
| Rough paths and regularization | 2021-06-15 | Paper |
Martingale driven BSDEs, PDEs and other related deterministic problems
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Discrete-type approximations for non-Markovian optimal stopping problems. II
Methodology and Computing in Applied Probability | 2021-01-18 | Paper |
The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
Stochastics and Dynamics | 2020-11-11 | Paper |
Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
Potential Analysis | 2020-07-20 | Paper |
About classical solutions of the path-dependent heat equation
Random Operators and Stochastic Equations | 2020-04-07 | Paper |
On the well-posedness of a class of McKean Feynman-Kac equations
(available as arXiv preprint) | 2020-03-06 | Paper |
Discrete-type approximations for non-Markovian optimal stopping problems. I
Journal of Applied Probability | 2019-12-17 | Paper |
A Feynman-Kac result via Markov BSDEs with generalised drivers
Bernoulli | 2019-12-05 | Paper |
A Feynman-Kac result via Markov BSDEs with generalised drivers
Bernoulli | 2019-12-05 | Paper |
Path-dependent martingale problems and additive functionals
Stochastics and Dynamics | 2019-08-13 | Paper |
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Probability on Algebraic and Geometric Structures | 2019-07-19 | Paper |
Strong-viscosity solutions: classical and path-dependent PDEs
Osaka Journal of Mathematics | 2019-07-12 | Paper |
Strong-viscosity solutions: classical and path-dependent PDEs
Osaka Journal of Mathematics | 2019-07-12 | Paper |
Path dependent equations driven by Hölder processes
Stochastic Analysis and Applications | 2019-05-28 | Paper |
Stochastic porous media equations in \(\mathbb R^d\)
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2019-01-14 | Paper |
Srishti Dhar Chatterji, my Ph.D. advisor
Expositiones Mathematicae | 2019-01-11 | Paper |
Infinite-dimensional calculus under weak spatial regularity of the processes
Journal of Theoretical Probability | 2018-08-16 | Paper |
Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
Monte Carlo Methods and Applications | 2018-04-25 | Paper |
Special weak Dirichlet processes and BSDEs driven by a random measure
Bernoulli | 2018-03-27 | Paper |
Special weak Dirichlet processes and BSDEs driven by a random measure
Bernoulli | 2018-03-27 | Paper |
Doubly probabilistic representation for the stochastic porous media type equation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Doubly probabilistic representation for the stochastic porous media type equation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Uniqueness for a class of stochastic Fokker-Planck and porous media equations
Journal of Evolution Equations | 2018-01-05 | Paper |
HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
SIAM Journal on Control and Optimization | 2018-01-04 | Paper |
Weak Dirichlet processes with jumps
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Weak Dirichlet processes with jumps
Stochastic Processes and their Applications | 2017-11-09 | Paper |
| A note on time-dependent additive functionals | 2017-08-17 | Paper |
Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
Stochastics and Dynamics | 2017-06-20 | Paper |
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2017-04-20 | Paper |
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2017-01-18 | Paper |
Probabilistic representation of a class of non-conservative nonlinear partial differential equations
(available as arXiv preprint) | 2017-01-13 | Paper |
| Probabilistic representation of a class of non-conservative nonlinear partial differential equations | 2017-01-13 | Paper |
| Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations | 2017-01-11 | Paper |
Multidimensional stochastic differential equations with distributional drift
Transactions of the American Mathematical Society | 2016-12-13 | Paper |
Multidimensional stochastic differential equations with distributional drift
Transactions of the American Mathematical Society | 2016-12-13 | Paper |
Infinite dimensional weak Dirichlet processes and convolution type processes
Stochastic Processes and their Applications | 2016-11-30 | Paper |
BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
SIAM Journal on Financial Mathematics | 2016-06-15 | Paper |
Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Gaussian and non-Gaussian processes of zero power variation
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2016-02-12 | Paper |
On countably skewed Brownian motion with accumulation point
Electronic Journal of Probability | 2015-11-27 | Paper |
Second order PDEs with Dirichlet white noise boundary conditions
Journal of Evolution Equations | 2015-06-26 | Paper |
Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: The case of the half-line.
Differential and Integral Equations | 2015-01-06 | Paper |
Generalized covariation for Banach space valued processes, Itō formula and applications
Osaka Journal of Mathematics | 2014-11-11 | Paper |
Generalized covariation for Banach space valued processes, Itō formula and applications
Osaka Journal of Mathematics | 2014-11-11 | Paper |
BSDEs under partial information and financial applications
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Variance optimal hedging for continuous time additive processes and applications
Stochastics | 2014-08-14 | Paper |
| Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus | 2014-07-17 | Paper |
GKW representation theorem under restricted information. An application to risk-minimization
Stochastics and Dynamics | 2014-05-16 | Paper |
| A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation | 2014-04-21 | Paper |
The covariation for Banach space valued processes and applications
Metrika | 2014-03-24 | Paper |
| A regularization approach to functional It\^o calculus and strong-viscosity solutions to path-dependent PDEs | 2014-01-20 | Paper |
| Gas storage valuation and hedging. A quantification of the model risk | 2013-12-13 | Paper |
Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation
Stochastic and Partial Differential Equations. Analysis and Computations | 2013-10-22 | Paper |
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stochastic Analysis and Applications | 2013-04-22 | Paper |
Uniqueness for Fokker-Planck equations with measurable coefficients and applications to the fast diffusion equation
Electronic Journal of Probability | 2012-10-23 | Paper |
Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2012-08-30 | Paper |
| Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control | 2012-07-24 | Paper |
| Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets | 2012-05-18 | Paper |
A probabilistic algorithm approximating solutions of a singular PDE of porous media type
Monte Carlo Methods and Applications | 2012-04-18 | Paper |
On stochastic calculus related to financial assets without semimartingales
Bulletin des Sciences Mathématiques | 2011-11-11 | Paper |
Probabilistic representation for solutions of an irregular porous media type equation: The degenerate case
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-11-07 | Paper |
Clark-Ocone type formula for non-semimartingales with finite quadratic variation
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2011-03-03 | Paper |
| Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes | 2010-11-30 | Paper |
Probabilistic representation for solutions of an irregular porous media type equation
The Annals of Probability | 2010-09-29 | Paper |
| Variance Optimal Hedging for continuous time processes with independent increments and applications | 2009-12-02 | Paper |
On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-08-24 | Paper |
On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-08-24 | Paper |
Some parabolic PDEs whose drift is an irregular random noise in space
The Annals of Probability | 2007-11-14 | Paper |
Some parabolic PDEs whose drift is an irregular random noise in space
The Annals of Probability | 2007-11-14 | Paper |
Elements of Stochastic Calculus via Regularization
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Wiener integrals, Malliavin calculus and covariance measure structure
Journal of Functional Analysis | 2007-08-20 | Paper |
Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
The Annals of Probability | 2007-05-08 | Paper |
Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
Stochastic Processes and their Applications | 2006-12-07 | Paper |
Weak Dirichlet processes with a stochastic control perspective
Stochastic Processes and their Applications | 2006-12-07 | Paper |
