| Publication | Date of Publication | Type |
|---|
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction
Journal of Theoretical Probability | 2025-01-10 | Paper |
Markovian projections for Itô semimartingales with jumps
Electronic Communications in Probability | 2024-12-20 | Paper |
On concentration of the empirical measure for radial transport costs
Stochastic Processes and their Applications | 2024-11-12 | Paper |
Minimum curvature flow and martingale exit times
Electronic Journal of Probability | 2024-08-30 | Paper |
Open markets and hybrid Jacobi processes
The Annals of Applied Probability | 2024-08-22 | Paper |
Controlled measure-valued martingales: a viscosity solution approach
The Annals of Applied Probability | 2024-08-21 | Paper |
Martin Larsson and Johannes Ruf's contribution to the discussion of `Estimating means of bounded random variables by betting' by Waudby-Smith and Ramdas
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
Sequential testing for elicitable functionals via supermartingales
Bernoulli | 2024-03-26 | Paper |
A composite generalization of Ville's martingale theorem using e-processes
Electronic Journal of Probability | 2024-01-17 | Paper |
Propagation of chaos for maxima of particle systems with mean-field drift interaction
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2023-11-20 | Paper |
Relative arbitrage: Sharp time horizons and motion by curvature
Mathematical Finance | 2023-09-28 | Paper |
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
Mathematical Finance | 2023-09-28 | Paper |
Ergodic robust maximization of asymptotic growth under stochastic volatility
| 2022-11-28 | Paper |
Deep neural networks, generic universal interpolation, and controlled ODEs
SIAM Journal on Mathematics of Data Science | 2022-03-01 | Paper |
A weak solution theory for stochastic Volterra equations of convolution type
The Annals of Applied Probability | 2022-02-14 | Paper |
Testing exchangeability: fork-convexity, supermartingales and e-processes
International Journal of Approximate Reasoning | 2022-01-20 | Paper |
Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
Electronic Journal of Probability | 2021-07-21 | Paper |
Convergence of local supermartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
On A Class Of Rank-Based Continuous Semimartingales
| 2021-04-09 | Paper |
Testing exchangeability: fork-convexity, supermartingales, and e-processes
| 2021-01-31 | Paper |
Informational efficiency with trading constraints: a characterization
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
A multifactor polynomial framework for long-term electricity forwards with delivery period
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
Polynomial jump-diffusion models
Stochastic Systems | 2020-09-04 | Paper |
Markov cubature rules for polynomial processes
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Minimum curvature flow and martingale exit times
| 2020-03-30 | Paper |
Affine Volterra processes
The Annals of Applied Probability | 2020-01-22 | Paper |
On the relation between linearity-generating processes and linear-rational models
Mathematical Finance | 2019-10-31 | Paper |
Unspanned stochastic volatility in the multifactor CIR model
Mathematical Finance | 2019-10-31 | Paper |
Probability measure-valued polynomial diffusions
Electronic Journal of Probability | 2019-05-16 | Paper |
Stochastic exponentials and logarithms on stochastic intervals. A survey
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Affine Rough Models
| 2018-12-20 | Paper |
Polynomial jump-diffusions on the unit simplex
The Annals of Applied Probability | 2018-11-07 | Paper |
Immersed boundary method for viscous compressible flows around moving bodies
Computers and Fluids | 2018-07-18 | Paper |
Affine processes with compact state space
Electronic Journal of Probability | 2018-05-15 | Paper |
Conditional infimum and recovery of monotone processes
| 2018-02-23 | Paper |
On aggregation and representative agent equilibria
Journal of Mathematical Economics | 2018-02-09 | Paper |
Semi-static completeness and robust pricing by informed investors
The Annals of Applied Probability | 2017-11-07 | Paper |
The space of outcomes of semi-static trading strategies need not be closed
Finance and Stochastics | 2017-07-21 | Paper |
Polynomial diffusions on compact quadric sets
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Polynomial diffusions and applications in finance
Finance and Stochastics | 2016-10-27 | Paper |
Extremal dependence measure and extremogram: the regularly varying case
Extremes | 2016-01-22 | Paper |
Informational efficiency under short sale constraints
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Matrix-valued Bessel processes
Electronic Journal of Probability | 2015-08-07 | Paper |
Default and systemic risk in equilibrium
Mathematical Finance | 2015-02-20 | Paper |
Will banning naked CDS impact bond prices?
Annals of Finance | 2014-12-12 | Paper |
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps
| 2014-11-23 | Paper |
Filtration shrinkage, strict local martingales and the Föllmer measure
The Annals of Applied Probability | 2014-08-06 | Paper |
Linking progressive and initial filtration expansions
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
Discretely sampled variance and volatility swaps versus their continuous approximations
Finance and Stochastics | 2013-04-02 | Paper |
The meaning of market efficiency
Mathematical Finance | 2013-02-28 | Paper |
Numerical simulation of confined pulsating jets in human phonation
Computers and Fluids | 2012-07-11 | Paper |
Numerical simulation of fluid-structure interaction in human phonation: verification of structure part
Lecture Notes in Computational Science and Engineering | 2011-05-18 | Paper |
Numerical Simulation of Fluid–Structure Interaction in Human Phonation: Application
Numerical Mathematics and Advanced Applications 2009 | 2011-05-18 | Paper |
Extremal behavior of Archimedean copulas
Advances in Applied Probability | 2011-05-03 | Paper |
Credit contagion and risk management with multiple non-ordered defaults
| 2011-04-27 | Paper |
Tail Properties of Multivariate Archimedean Copulas
| 2010-08-10 | Paper |
Open Markets and Hybrid Jacobi Processes
| N/A | Paper |
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction
| N/A | Paper |
On concentration of the empirical measure for radial transport costs
| N/A | Paper |
Distribution-uniform strong laws of large numbers
| N/A | Paper |
Markovian projections for It\^o semimartingales with jumps
| N/A | Paper |
