| Publication | Date of Publication | Type |
|---|
On Lamperti transformation and AR(1) type characterisations of discrete random fields
Theory of Probability and Mathematical Statistics | 2024-11-06 | Paper |
On the existence and regularity of local times
Electronic Journal of Probability | 2024-10-07 | Paper |
On extreme quantile region estimation under heavy-tailed elliptical distributions
Journal of Multivariate Analysis | 2024-05-13 | Paper |
On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
Journal of Theoretical Probability | 2024-04-02 | Paper |
Long-range dependent completely correlated mixed fractional Brownian motion
Stochastic Processes and their Applications | 2024-03-04 | Paper |
Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2024-01-16 | Paper |
Transfer principle for fractional Ornstein-Uhlenbeck processes
| 2023-11-01 | Paper |
Geometric characterization of the Eyring-Kramers formula
Communications in Mathematical Physics | 2023-10-25 | Paper |
Stochastic differential equations with discontinuous diffusion coefficients
Theory of Probability and Mathematical Statistics | 2023-10-12 | Paper |
Hill estimator and extreme quantile estimator for functionals of approximated stochastic processes
| 2023-07-07 | Paper |
Optimizing high-dimensional stochastic forestry \textit{via} reinforcement learning
Journal of Economic Dynamics and Control | 2023-07-03 | Paper |
Discretisation error for stochastic integrals with respect to the fractional Brownian motion with discontinuous integrands and local times
| 2023-05-08 | Paper |
Necessary and sufficient conditions for continuity of hypercontractive processes and fields
| 2023-01-30 | Paper |
On Lamperti transformation and characterisations of discrete random fields
| 2023-01-04 | Paper |
Note on asymptotic behavior of spatial sign autocovariance matrices
Statistics \& Probability Letters | 2022-12-02 | Paper |
On the existence and regularity of local times
| 2022-11-02 | Paper |
Vector-valued generalized Ornstein-Uhlenbeck processes: properties and parameter estimation
Scandinavian Journal of Statistics | 2022-10-06 | Paper |
Flexible transition probability model for assessing cost-effectiveness of breast cancer screening
| 2022-09-02 | Paper |
On optimal prediction of missing functional data with memory
| 2022-08-21 | Paper |
Sobolev regularity of occupation measures and paths, variability and compositions
Electronic Journal of Probability | 2022-06-27 | Paper |
Quantitative normal approximations for the stochastic fractional heat equation
Stochastic and Partial Differential Equations. Analysis and Computations | 2022-04-14 | Paper |
Integrated shape-sensitive functional metrics
Journal of Multivariate Analysis | 2022-03-01 | Paper |
Least-square estimators in linear regression models under negatively superadditive dependent random observations
Statistics | 2022-01-25 | Paper |
Modeling temporally uncorrelated components of complex-valued stationary processes
Modern Stochastics. Theory and Applications | 2022-01-20 | Paper |
Least square estimators in linear regression models under negatively superadditive dependent random observations
| 2021-10-06 | Paper |
On existence and uniqueness of the solution for stochastic partial differential equations
Theory of Probability and Mathematical Statistics | 2021-09-29 | Paper |
Integrated shape-sensitive functional metrics
| 2021-06-14 | Paper |
Oscillating Gaussian processes
Statistical Inference for Stochastic Processes | 2021-05-03 | Paper |
A central limit theorem for the stochastic heat equation
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Integration-by-parts characterizations of Gaussian processes
Collectanea Mathematica | 2021-02-17 | Paper |
On the ARCH model with stationary liquidity
Metrika | 2021-02-10 | Paper |
Flexible integrated functional depths
Bernoulli | 2020-12-07 | Paper |
Gaussian fluctuations for the stochastic heat equation with colored noise
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-08-26 | Paper |
Local times and sample path properties of the Rosenblatt process
| 2020-05-08 | Paper |
Volatility estimation in fractional Ornstein-Uhlenbeck models
Stochastic Models | 2020-04-22 | Paper |
Latent Model Extreme Value Index Estimation
| 2020-03-23 | Paper |
Prediction law of mixed Gaussian Volterra processes
Statistics \& Probability Letters | 2020-01-20 | Paper |
Limit theorems for quadratic variations of the Lei-Nualart process
| 2019-10-17 | Paper |
Note on AR(1)-characterisation of stationary processes and model fitting
Modern Stochastics. Theory and Applications | 2019-10-08 | Paper |
Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Transfer principle for \(n\)th order fractional Brownian motion with applications to prediction and equivalence in law
Theory of Probability and Mathematical Statistics | 2019-08-21 | Paper |
Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
Probability Surveys | 2019-06-11 | Paper |
On the regularity of complex multiplicative chaos
| 2019-05-28 | Paper |
Stochastic differential equations with noise perturbations and Wong-Zakai approximation of fractional Brownian motion
| 2019-05-19 | Paper |
On generalized ARCH model with stationary liquidity
| 2018-06-22 | Paper |
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
On model Fitting and estimation of strictly stationary processes
Modern Stochastics. Theory and Applications | 2018-02-15 | Paper |
Prediction law of fractional Brownian motion
Statistics \& Probability Letters | 2017-12-22 | Paper |
Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
Journal of the Korean Statistical Society | 2017-11-01 | Paper |
On modeling weakly stationary processes
| 2017-07-29 | Paper |
A general non-existence result for linear BSDEs driven by Gaussian processes
Stochastic Processes and their Applications | 2017-03-20 | Paper |
Stochastic analysis of Gaussian processes via Fredholm representation
International Journal of Stochastic Analysis | 2017-02-07 | Paper |
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Pathwise integrals and Itô-Tanaka formula for Gaussian processes
Journal of Theoretical Probability | 2016-06-27 | Paper |
Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
Statistics \& Probability Letters | 2016-05-20 | Paper |
Adapted integral representations of random variables
International Journal of Modern Physics: Conference Series | 2016-05-02 | Paper |
Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise
| 2016-03-01 | Paper |
Integral representation of random variables with respect to Gaussian processes
Bernoulli | 2016-02-22 | Paper |
Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
Statistical Inference for Stochastic Processes | 2015-10-05 | Paper |
Rate of convergence for discretization of integrals with respect to fractional Brownian motion
Journal of Theoretical Probability | 2015-05-26 | Paper |
Sufficient and Necessary Conditions for Limit Theorems for Quadratic Variations of Gaussian Sequences
| 2015-02-04 | Paper |
Integral representation with adapted continuous integrand with respect to fractional Brownian motion
Stochastic Analysis and Applications | 2015-01-09 | Paper |
Necessary and sufficient conditions for Hölder continuity of Gaussian processes
Statistics \& Probability Letters | 2014-11-03 | Paper |
Aspects of Stochastic Integration with Respect to Processes of Unbounded p-variation
| 2014-07-22 | Paper |
A general approach to small deviation via concentration of measures
| 2014-07-14 | Paper |
Note on multidimensional Breeden-Litzenberger representation for state price densities
Mathematics and Financial Economics | 2014-05-30 | Paper |
Multidimensional Breeden-Litzenberger representation for state price densities and static hedging
| 2014-01-20 | Paper |
Pathwise stochastic integrals and It\^o formula for multidimensional Gaussian processes
| 2014-01-19 | Paper |
Rate of convergence for discrete approximation of option prices
| 2012-07-29 | Paper |
Option prices with call prices
| 2012-07-26 | Paper |
1D stochastic pressure equation with log-correlated Gaussian coefficients
| N/A | Paper |
