| Publication | Date of Publication | Type |
|---|
White noise analysis for the canonical Lévy process
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Mathematical modeling and stability analysis of systemic risk in the banking ecosystem
Journal of Applied Mathematics | 2024-02-01 | Paper |
Discussion on temperature reconstruction with sediment core data in Ilvonen <i>et al</i>.
Environmetrics | 2023-12-18 | Paper |
| The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H< \frac{1}{2}$ | 2023-09-18 | Paper |
| Irregularity scales for Gaussian processes: Hausdorff dimensions and hitting probabilities | 2023-07-31 | Paper |
Static Markowitz mean-variance portfolio selection model with long-term bonds
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Yule's ``nonsense correlation'' for Gaussian random walks
Stochastic Processes and their Applications | 2023-07-12 | Paper |
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
Scandinavian Actuarial Journal | 2022-10-26 | Paper |
Poisson Approximation to the Convolution of Power Series Distributions
Probability and Mathematical Statistics | 2022-10-06 | Paper |
Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach
Electronic Journal of Statistics | 2022-07-15 | Paper |
Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach
Electronic Journal of Statistics | 2022-07-15 | Paper |
AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
Stochastic Processes and their Applications | 2022-06-20 | Paper |
| Hausdorff dimensions and Hitting probabilities for some general Gaussian processes | 2021-12-07 | Paper |
A probabilistic approach to Adomian polynomials
Stochastic Analysis and Applications | 2021-03-02 | Paper |
Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
Scandinavian Actuarial Journal | 2020-08-26 | Paper |
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Applied Mathematics and Optimization | 2020-07-17 | Paper |
Optimal rates for parameter estimation of stationary Gaussian processes
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Donsker type theorem for fractional Poisson process
Statistics & Probability Letters | 2019-09-05 | Paper |
Extreme-strike asymptotics for general Gaussian stochastic volatility models
Annals of Finance | 2019-06-18 | Paper |
| Berry-Esseen bounds for parameter estimation of general Gaussian processes | 2019-05-15 | Paper |
Berry-Esseen bounds for parameter estimation of general Gaussian processes
(available as arXiv preprint) | 2019-05-15 | Paper |
A didactic introduction to risk management via hedging in discrete and continuous time
Springer Proceedings in Mathematics & Statistics | 2018-11-30 | Paper |
Anderson polymer in a fractional Brownian environment: asymptotic behavior of the partition function
Journal of Theoretical Probability | 2018-10-26 | Paper |
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
Insurance Mathematics & Economics | 2018-06-15 | Paper |
Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
Stochastics | 2017-04-11 | Paper |
Parameter estimation of Gaussian stationary processes using the generalized method of moments
Electronic Journal of Statistics | 2017-04-07 | Paper |
Parameter estimation of Gaussian stationary processes using the generalized method of moments
Electronic Journal of Statistics | 2017-04-07 | Paper |
Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
Insurance Mathematics & Economics | 2017-01-31 | Paper |
A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2016-05-11 | Paper |
A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2016-05-11 | Paper |
Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
Communications on Stochastic Analysis | 2016-03-04 | 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 |
| Space regularity of stochastic heat equations driven by irregular Gaussian processes | 2016-01-04 | Paper |
Dynamic portfolio selection with mispricing and model ambiguity
Annals of Finance | 2015-03-24 | Paper |
Reconstructing past temperatures from natural proxies and estimated climate forcings using short- and long-memory models
The Annals of Applied Statistics | 2015-02-26 | Paper |
Reconstructing past temperatures from natural proxies and estimated climate forcings using short- and long-memory models
The Annals of Applied Statistics | 2015-02-26 | Paper |
| Parameter estimation for SDEs related to stationary Gaussian processes | 2015-01-20 | Paper |
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Annals of Finance | 2014-11-12 | Paper |
Symposium on stochastic volatility: an introductory overview
Annals of Finance | 2014-11-12 | Paper |
Estimation and pricing under long-memory stochastic volatility
Annals of Finance | 2014-11-12 | Paper |
Quadratic variations for the fractional-colored stochastic heat equation
Electronic Journal of Probability | 2014-09-24 | Paper |
| Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus | 2014-07-17 | Paper |
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Comparison inequalities on Wiener space
Stochastic Processes and their Applications | 2014-02-26 | Paper |
General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Stochastic volatility and option pricing with long-memory in discrete and continuous time
Quantitative Finance | 2014-01-17 | Paper |
Two-dimensional stochastic Navier-Stokes equations with fractional Brownian noise
Random Operators and Stochastic Equations | 2013-07-26 | Paper |
Variations and Hurst index estimation for a Rosenblatt process using longer filters
Electronic Journal of Statistics | 2013-05-27 | Paper |
Variations and Hurst index estimation for a Rosenblatt process using longer filters
Electronic Journal of Statistics | 2013-05-27 | Paper |
| Hitting probabilities for general Gaussian processes | 2013-05-08 | Paper |
Arbitrage-free models in markets with transaction costs
Electronic Communications in Probability | 2012-06-22 | Paper |
Option pricing under a gamma-modulated diffusion process
Annals of Finance | 2011-11-15 | Paper |
Mutual fund performance: false discoveries, bias, and power
Annals of Finance | 2011-11-15 | Paper |
| Hurst index estimation for self-similar processes with long-memory | 2010-09-02 | Paper |
Variations and estimators for self-similarity parameters via Malliavin calculus
The Annals of Probability | 2010-05-17 | Paper |
Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
Journal of Functional Analysis | 2010-02-24 | Paper |
Density formula and concentration inequalities with Malliavin calculus
Electronic Journal of Probability | 2009-11-20 | Paper |
Density formula and concentration inequalities with Malliavin calculus
Electronic Journal of Probability | 2009-11-20 | Paper |
Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent
Stochastic Processes and their Applications | 2009-10-13 | Paper |
Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-06-10 | Paper |
The fractional stochastic heat equation on the circle: Time regularity and potential theory
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Almost sure exponential behavior of a directed polymer in a fractional Brownian environment
Journal of Functional Analysis | 2008-12-22 | Paper |
LYAPUNOV EXPONENTS FOR STOCHASTIC ANDERSON MODELS WITH NON-GAUSSIAN NOISE
Stochastics and Dynamics | 2008-12-11 | Paper |
| Portfolio optimization with consumption in a fractional Black-Scholes market | 2008-10-23 | Paper |
Superdiffusivity for a Brownian polymer in a continuous Gaussian environment
The Annals of Probability | 2008-10-20 | Paper |
Sharp asymptotics for the partition function of some continuous-time directed polymers
Potential Analysis | 2008-09-15 | Paper |
| Density estimates and concentration inequalities with Malliavin calculus | 2008-08-14 | Paper |
| Some applications of the Malliavin calculus to sub-Gaussian and non-sub-Gaussian random fields | 2008-07-01 | Paper |
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
Applied Mathematical Finance | 2008-05-22 | Paper |
Time regularity of the evolution solution to the fractional stochastic heat equation
Discrete and Continuous Dynamical Systems. Series B | 2008-02-22 | Paper |
Statistical aspects of the fractional stochastic calculus
The Annals of Statistics | 2007-09-04 | Paper |
| scientific article; zbMATH DE number 5176686 (Why is no real title available?) | 2007-08-01 | Paper |
Supremum concentration inequality and modulus of continuity for sub-\(n\)th chaos processes
Journal of Functional Analysis | 2007-07-16 | Paper |
Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
Stochastics | 2007-03-08 | Paper |
Sharp estimation of the almost-sure Lyapunov exponent for the Anderson model in continuous space
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2006-08-11 | Paper |
| Convergence of a branching and interacting particle system to the solution of a nonlinear stochastic PDE | 2006-05-24 | Paper |
| Superdiffusive behavior for a Brownian polymer in a Gaussian medium | 2006-03-16 | Paper |
Skorohod integration and stochastic calculus beyond the fractional Brownian scale
Journal of Functional Analysis | 2005-06-13 | Paper |
Relating the almost-sure Lyapunov exponent of a parabolic SPDE and its coefficients' spatial regularity
Potential Analysis | 2005-04-29 | Paper |
Itô formula and local time for the fractional {B}rownian sheet
Electronic Journal of Probability | 2005-03-08 | Paper |
Itô formula and local time for the fractional {B}rownian sheet
Electronic Journal of Probability | 2005-03-08 | Paper |
Almost sure exponential behaviour for a parabolic SPDE on a manifold.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Sharp Gaussian regularity on the circle, and applications to the fractional stochastic heat equation
Journal of Functional Analysis | 2005-01-26 | Paper |
| scientific article; zbMATH DE number 1971734 (Why is no real title available?) | 2004-02-08 | Paper |
Stochastic evolution equations with fractional Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2003-12-16 | Paper |
Evolution equation of a stochastic semigroup with white-noise drift.
The Annals of Probability | 2003-05-06 | Paper |
| scientific article; zbMATH DE number 1971702 (Why is no real title available?) | 2002-01-01 | Paper |
Stochastic heat equation with white-noise drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2001-06-27 | Paper |
Stochastic heat equation with white-noise drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2001-06-27 | Paper |
On space-time regularity for the stochastic heat equation on Lie groups
Journal of Functional Analysis | 2000-07-31 | Paper |
| scientific article; zbMATH DE number 1254176 (Why is no real title available?) | 1999-09-23 | Paper |
Almost-sure exponential behavior of a stochastic anderson model with continuous space parameter
Stochastics and Stochastic Reports | 1998-08-05 | Paper |
Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation
Random Operators and Stochastic Equations | 1996-11-07 | Paper |
