Introduction to Malliavin calculus
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- A stochastic calculus for Rosenblatt processes
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Central limit theorems for stochastic wave equations in dimensions one and two
- Spatial integral of the solution to hyperbolic Anderson model with time-independent noise
- Averaging Gaussian functionals
- Continuous Breuer-Major theorem: tightness and nonstationarity
- Gaussian fluctuations for the stochastic heat equation with colored noise
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- On the density of the supremum of the solution to the linear stochastic heat equation
- Integration-by-parts characterizations of Gaussian processes
- Averaging 2D stochastic wave equation
- Hölder continuity of the solutions to a class of SPDE's arising from branching particle systems in a random environment
- The functional Breuer-Major theorem
- Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
- Optimal angle of the holomorphic functional calculus for the Ornstein-Uhlenbeck operator
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- Malliavin calculus and its applications
- scientific article; zbMATH DE number 5554638 (Why is no real title available?)
- scientific article; zbMATH DE number 3986319 (Why is no real title available?)
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
- Spatial stationarity, ergodicity, and CLT for parabolic Anderson model with delta initial condition in dimension d 1
- Deviation properties for linear self-attracting diffusion process and applications
- Influence of risk tolerance on long-term investments: a Malliavin calculus approach
- Bounds for the expected supremum of some non-stationary Gaussian processes
- Existence and uniqueness for non-Markovian triangular quadratic BSDEs
- Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
- Existence and smoothness of the density of the solution to fractional stochastic integral Volterra equations
- Restricted hypercontractivity on the Poisson space
- Optimal gamma approximation on Wiener space
- Rate of convergence in the Breuer-Major theorem via chaos expansions
- Malliavin calculus for Lévy processes and infinite-dimensional Brownian motion. An introduction
- Introduction to stochastic analysis and Malliavin calculus
- Malliavin's calculus and applications in stochastic control and finance
- Gaussian fluctuation for spatial average of parabolic Anderson model with Neumann/Dirichlet/periodic boundary conditions
- Ergodic stationary distribution and extinction of stochastic delay chemostat system with Monod-Haldane functional response and higher-order Lévy jumps
- Interpolating the stochastic heat and wave equations with time-independent noise: solvability and exact asymptotics
- Central limit theorems for heat equation with time-independent noise: The regular and rough cases
- Yule's ``nonsense correlation for Gaussian random walks
- On the two-point function of the one-dimensional KPZ equation
- Optimal rate of convergence for vector-valued Wiener-Itô integral
- Central limit theorems for spatial averages of the stochastic heat equation via Malliavin-Stein's method
- Feynman-Kac formula for iterated derivatives of the parabolic Anderson model
- Ausgewählte Themen des Malliavin-Kalküls
- Stochastic wave equation with Lévy white noise
- Stochastic transmission in epidemiological models
- Rate of convergence for the Smoluchowski-Kramers approximation for distribution-dependent SDEs driven by fractional Brownian motions
- Hyperbolic Anderson model with Lévy white noise: spatial ergodicity and fluctuation
- Functional Gaussian approximations on Hilbert-Poisson spaces
- On the Implied Volatility of Asian Options Under Stochastic Volatility Models
- Central limit theorems for nonlinear stochastic wave equations in dimension three
- Steady states of an Elo-type rating model for players of varying strength
- A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
- Joint density of the stable process and its supremum: regularity and upper bounds
- Absolute continuity of the solution to stochastic generalized Burgers-Huxley equation
- Regularization by noise for rough differential equations driven by Gaussian rough paths
- On the implied volatility of inverse options under stochastic volatility models
- Robust pointwise second-order necessary conditions for singular stochastic optimal control with model uncertainty
- Asymptotic properties of a stochastic predator-prey model with a general functional response driven by dual stochastic perturbations
- Optimal investment with insider information using Skorokhod \& Russo-Vallois integration
- Optimal strategy of mean-field FBSDE games with delay and noisy memory based on Malliavin calculus
- Derivative-informed neural operator acceleration of geometric MCMC for infinite-dimensional Bayesian inverse problems
- An integral representation of the local time of the Brownian motion via the Clark-Ocone formula
- Central limit theorems for stochastic wave equations in high dimensions
- On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
- Properties for transposition solutions to operator-valued BSEEs, and applications to robust second order necessary conditions for controlled SEEs
- Asymptotic normality and Cramér-type moderate deviations of Yule's nonsense correlation statistic for Ornstein-Uhlenbeck processes
- Fluctuations of the nodal number in the two-energy planar Berry's random wave model
- The Breuer-Major theorem in total variation: improved rates under minimal regularity
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
- Dirichlet-Neumann averaging: the DNA of efficient Gaussian process simulation
- Optimal rates for ergodic SDEs driven by multiplicative -stable processes in Wasserstein-1 distance
- On the regularity of a weak formulation of stochastic differential mean-field games
- Central limit theorem for stochastic nonlinear wave equation with pure-jump Lévy white noise
- Estimates of the numerical density for stochastic differential equations with multiplicative noise
- Local risk-minimization in exponential Lévy models: explicit representation and jump-adapted discretization
- A Taylor-type formula for pure jump additive processes and its application to risk minimization
- On a two-dimensional analogue of Tanaka's formula
- Locally Lipschitz path dependent FBSDEs with unbounded terminal conditions in Brownian and Lévy settings
- Deviation inequalities and Cramér-type moderate deviations of self-repelling diffusions
- An exercise in Malliavin's calculus
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