| Publication | Date of Publication | Type |
|---|
Asymptotic analysis of \(k\)-hop connectivity in the 1D unit disk random graph model
Methodology and Computing in Applied Probability | 2025-01-07 | Paper |
Normal approximation of subgraph counts in the random-connection model
Bernoulli | 2024-08-20 | Paper |
Normal approximation of compound Hawkes functionals
Journal of Theoretical Probability | 2024-04-02 | Paper |
A deep branching solver for fully nonlinear partial differential equations
Journal of Computational Physics | 2024-03-14 | Paper |
Mixing of linear operators under infinitely divisible measures on Banach spaces
Journal of Mathematical Analysis and Applications | 2024-03-06 | Paper |
Graph connectivity with fixed endpoints in the random-connection model
| 2023-12-19 | Paper |
A q -binomial extension of the CRR asset pricing model
Stochastic Models | 2023-11-23 | Paper |
Combinatorics of Poisson Stochastic Integrals with Random Integrands
Stochastic Analysis for Poisson Point Processes | 2023-11-17 | Paper |
Determinantal Point Processes
Stochastic Analysis for Poisson Point Processes | 2023-11-17 | Paper |
Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees
Japan Journal of Industrial and Applied Mathematics | 2023-10-13 | Paper |
Numerical Solution of the Incompressible Navier-Stokes Equation by a Deep Branching Algorithm
Communications in Computational Physics | 2023-09-15 | Paper |
Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls
Communications on Pure and Applied Analysis | 2023-08-22 | Paper |
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
SN Partial Differential Equations and Applications | 2023-08-14 | Paper |
Semilinear fractional elliptic PDEs with gradient nonlinearities on open balls: existence of solutions and probabilistic representation
| 2023-06-19 | Paper |
A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
Journal of Evolution Equations | 2023-03-15 | Paper |
Normal approximation of subgraph counts in the random-connection model
| 2023-01-28 | Paper |
Moments of Markovian growth–collapse processes
Advances in Applied Probability | 2022-12-13 | Paper |
Wasserstein distance estimates for jump-diffusion processes
| 2022-12-09 | Paper |
Invariance of Poisson point processes by moment identities with statistical applications
| 2022-12-01 | Paper |
Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series
BIT | 2022-11-22 | Paper |
Closed-form modeling of neuronal spike train statistics using multivariate Hawkes cumulants
| 2022-10-27 | Paper |
\( G\)-expectation approach to stochastic ordering
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
Stochastic and Partial Differential Equations. Analysis and Computations | 2022-07-26 | Paper |
Normal approximation for generalized \(U\)-statistics and weighted random graphs
Stochastics | 2022-07-08 | Paper |
Berry-Esseen bounds for functionals of independent random variables
Electronic Journal of Probability | 2022-06-27 | Paper |
Asymptotic analysis of k-hop connectivity in the 1D unit disk random graph model
| 2022-03-28 | Paper |
Characterization of stochastic equilibrium controls by the Malliavin calculus
Stochastics and Dynamics | 2022-03-18 | Paper |
A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
SIAM Journal on Control and Optimization | 2022-03-18 | Paper |
Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
Potential Analysis | 2022-01-26 | Paper |
A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
| 2022-01-11 | Paper |
Recursive computation of the Hawkes cumulants
Statistics \& Probability Letters | 2021-11-12 | Paper |
Computation of coverage probabilities in a spherical germ-grain model
Methodology and Computing in Applied Probability | 2021-11-09 | Paper |
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
Quantitative Finance | 2021-07-16 | Paper |
Stochastic ordering by \(g\)-expectations
Probability, Uncertainty and Quantitative Risk | 2021-07-06 | Paper |
Cardinality estimation for random stopping sets based on Poisson point processes
ESAIM: Probability and Statistics | 2021-06-01 | Paper |
Connectivity of 1d random geometric graphs
| 2021-05-17 | Paper |
Stochastic SIR Lévy jump model with heavy-tailed increments
Journal of Nonlinear Science | 2021-04-29 | Paper |
Surface measures and related functional inequalities on configuration spaces
| 2021-03-21 | Paper |
Nonstationary shot noise modeling of neuron membrane potentials by closed-form moments and Gram-Charlier expansions
Biological Cybernetics | 2021-02-12 | Paper |
Second-order multi-object filtering with target interaction using determinantal point processes
MCSS. Mathematics of Control, Signals, and Systems | 2021-02-09 | Paper |
Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
Advanced Series on Statistical Science & Applied Probability | 2021-01-09 | Paper |
Integrability and regularity of the flow of stochastic differential equations with jumps
Theory of Probability & Its Applications | 2020-04-28 | Paper |
Cournot games with limited demand: from multiple equilibria to stochastic equilibrium
Applied Mathematics and Optimization | 2020-02-25 | Paper |
Bounds in total variation distance for discrete-time processes on the sequence space
Potential Analysis | 2020-02-20 | Paper |
Moments of \(k\)-hop counts in the random-connection model
Journal of Applied Probability | 2019-12-17 | Paper |
Functional inequalities for marked point processes
Electronic Journal of Probability | 2019-12-12 | Paper |
Normal approximation for sums of weighted \(U\)-statistics -- application to Kolmogorov bounds in random subgraph counting
Bernoulli | 2019-12-05 | Paper |
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Third cumulant Stein approximation for Poisson stochastic integrals
Journal of Theoretical Probability | 2019-07-18 | Paper |
scientific article; zbMATH DE number 7047643 (Why is no real title available?)
| 2019-04-24 | Paper |
Risk-neutral hedging of interest rate derivatives
Risk and Decision Analysis | 2019-03-12 | Paper |
A stochastic newsvendor game with dynamic retail prices
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
Pricing CIR yield options by conditional moment matching
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Variance-GGC asset price models and their sensitivity analysis
Springer Proceedings in Mathematics & Statistics | 2018-11-30 | Paper |
Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
| 2018-10-30 | Paper |
Understanding Markov chains. Examples and applications
Springer Undergraduate Mathematics Series | 2018-06-29 | Paper |
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
ASTIN Bulletin | 2018-06-05 | Paper |
Stein approximation for functionals of independent random sequences
Electronic Journal of Probability | 2018-05-15 | Paper |
Extended Mellin integral representations for the absolute value of the gamma function
Analysis (München) | 2018-04-13 | Paper |
Conditional Stein approximation for Itô and Skorohod integrals
Statistics \& Probability Letters | 2017-10-06 | Paper |
Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
Lecture Notes in Mathematics | 2017-06-22 | Paper |
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals
Taiwanese Journal of Mathematics | 2017-03-09 | Paper |
Poisson sphere counting processes with random radii
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2016-08-08 | Paper |
Mixing of Poisson random measures under interacting transformations
Stochastics | 2016-05-04 | Paper |
Large deviations for Bernstein bridges
Stochastic Processes and their Applications | 2016-04-04 | Paper |
Clark-Ocone formula by the \(S\)-transform on the Poisson white noise space
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Covariance identities and mixing of random transformations on the Wiener space
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Conditionally Gaussian stochastic integrals
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2016-03-02 | Paper |
Laplace transform identities for the volume of stopping sets based on Poisson point processes
Advances in Applied Probability | 2016-02-12 | Paper |
Convex comparison inequalities for exponential jump-diffusion processes
| 2016-01-04 | Paper |
Supermodular ordering of binomial, Poisson and Gaussian random vectors by tree-based correlations
| 2015-12-30 | Paper |
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
Applied Mathematics Letters | 2015-12-28 | Paper |
Probability on Real Lie Algebras
| 2015-12-21 | Paper |
Blowup estimates for a family of semilinear SPDEs with time-dependent coefficients
Differential Equations & Applications | 2015-12-04 | Paper |
Closed form modeling of evolutionary rates by exponential Brownian functionals
Journal of Mathematical Biology | 2015-11-20 | Paper |
Gaussian estimates for the solutions of some one-dimensional stochastic equations
Potential Analysis | 2015-09-02 | Paper |
The Stein and Chen-Stein methods for functionals of non-symmetric Bernoulli processes
| 2015-08-25 | Paper |
Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions
Electronic Communications in Probability | 2015-08-17 | Paper |
Measure invariance on the Lie-Wiener path space
Springer Proceedings in Mathematics & Statistics | 2015-07-02 | Paper |
Stochastic deformation of integrable dynamical systems and random time symmetry
Journal of Mathematical Physics | 2015-05-27 | Paper |
Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals
Journal of Theoretical Probability | 2015-05-26 | Paper |
Supermodular ordering of Poisson arrays
Statistics \& Probability Letters | 2015-03-24 | Paper |
Infinite divisibility of interpolated gamma powers
Journal of Mathematical Analysis and Applications | 2015-02-24 | Paper |
Feynman-Kac formula for Levy processes and semiclassical (Euclidean) momentum representation
| 2015-01-26 | Paper |
On the integral representations of $|\Gamma (z)|^2$ and its Fourier transform
| 2014-10-19 | Paper |
Factorial moments of point processes
Stochastic Processes and their Applications | 2014-09-04 | Paper |
scientific article; zbMATH DE number 6304887 (Why is no real title available?)
| 2014-06-17 | Paper |
Convex comparison inequalities for non-Markovian stochastic integrals
Stochastics | 2014-04-17 | Paper |
Probability approximation by Clark-Ocone covariance representation
Electronic Journal of Probability | 2014-01-17 | Paper |
Monte Carlo computation of the Laplace transform of exponential Brownian functionals
Methodology and Computing in Applied Probability | 2013-09-20 | Paper |
Convex concentration for some additive functionals of jump stochastic differential equations
Acta Mathematica Sinica, English Series | 2013-08-06 | Paper |
Cumulant operators and moments of the Itô and Skorohod integrals
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2013-07-30 | Paper |
Independence of some multiple Poisson stochastic integrals with variable-sign kernels
| 2013-06-12 | Paper |
SURE shrinkage of Gaussian paths and signal identification
ESAIM: Probability and Statistics | 2013-04-25 | Paper |
Hedging in bond markets by the Clark-Ocone formula
| 2013-04-23 | Paper |
Understanding Markov Chains
Springer Undergraduate Mathematics Series | 2013-04-08 | Paper |
Moments of Poisson stochastic integrals with random integrands
| 2013-03-07 | Paper |
Invariance of Poisson measures under random transformations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2013-01-11 | Paper |
Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
Journal of Functional Analysis | 2012-11-23 | Paper |
Stochastic dynamics of determinantal processes by integration by parts
| 2012-10-22 | Paper |
Erratum to: Convex ordering for random vectors using predictable representation
Potential Analysis | 2012-07-31 | Paper |
Girsanov identities for Poisson measures under quasi-nilpotent transformations
The Annals of Probability | 2012-06-19 | Paper |
An elementary introduction to stochastic interest rate modeling.
Advanced Series on Statistical Science \& Applied Probability | 2012-06-18 | Paper |
Density estimation of functionals of spatial point processes with application to wireless networks
SIAM Journal on Mathematical Analysis | 2011-11-10 | Paper |
Large time behavior of reaction-diffusion equations with Bessel generators
Journal of Mathematical Analysis and Applications | 2011-08-09 | Paper |
Generalized Bell polynomials and the combinatorics of Poisson central moments
The Electronic Journal of Combinatorics | 2011-06-01 | Paper |
Bounds on option prices in point process diffusion models
International Journal of Theoretical and Applied Finance | 2011-04-27 | Paper |
The Dothan pricing model revisited
Mathematical Finance | 2011-03-25 | Paper |
Deviation inequalities for exponential jump-diffusion processes
| 2011-02-22 | Paper |
Stein estimation of Poisson process intensities
Statistical Inference for Stochastic Processes | 2011-02-15 | Paper |
RANDOM HERMITE POLYNOMIALS AND GIRSANOV IDENTITIES ON THE WIENER SPACE
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2011-02-02 | Paper |
A direct solution to the Fokker-Planck equation for exponential Brownian functionals
Analysis and Applications | 2010-08-11 | Paper |
Stochastic analysis of Bernoulli processes
Probability Surveys | 2010-06-29 | Paper |
Moment identities for Skorohod integrals on the Wiener space and applications
Electronic Communications in Probability | 2009-11-20 | Paper |
Numerical computation of Theta in a jump-diffusion model by integration by parts
Quantitative Finance | 2009-10-16 | Paper |
Stochastic analysis in discrete and continuous settings. With normal martingales.
Lecture Notes in Mathematics | 2009-10-01 | Paper |
Isoperimetric and related bounds on configuration spaces
Statistics \& Probability Letters | 2009-09-30 | Paper |
Moment identities for Poisson-Skorohod integrals and application to measure invariance
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-09-15 | Paper |
Sensitivity analysis and density estimation for finite-time ruin probabilities
Journal of Computational and Applied Mathematics | 2009-06-25 | Paper |
Potential Theory in Classical Probability
Quantum Potential Theory | 2009-01-07 | Paper |
Convex ordering for random vectors using predictable representation
Potential Analysis | 2008-11-25 | Paper |
Stein estimation for the drift of Gaussian processes using the Malliavin calculus
The Annals of Statistics | 2008-11-18 | Paper |
scientific article; zbMATH DE number 5347026 (Why is no real title available?)
| 2008-09-25 | Paper |
An elementary introduction to stochastic interest rate modeling.
| 2008-08-11 | Paper |
Critical exponents for semilinear PDEs with bounded potentials
| 2008-07-01 | Paper |
Stochastic analysis on Gaussian space applied to drift estimation
| 2008-05-14 | Paper |
A logarithmic Sobolev inequality for an interacting spin system under a geometric reference measure
| 2008-02-11 | Paper |
Integration by Parts for Point Processes and Monte Carlo Estimation
Journal of Applied Probability | 2008-02-05 | Paper |
FKG inequality on the Wiener space via predictable representation
| 2007-12-04 | Paper |
Dimension free and infinite variance tail estimates on Poisson space
Acta Applicandae Mathematicae | 2007-06-07 | Paper |
Quantum stochastic calculus applied to path spaces over Lie groups
| 2007-02-02 | Paper |
Superefficient drift estimation on the Wiener space
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
Convex concentration inequalities and forward-backward stochastic calculus
Electronic Journal of Probability | 2006-11-03 | Paper |
Deviation inequalities and the law of iterated logarithm on the path space over a loop group
Stochastics | 2006-01-31 | Paper |
A Malliavin calculus approach to sensitivity analysis in insurance
Insurance Mathematics \& Economics | 2005-08-05 | Paper |
Euclidean quantum mechanics in the momentum representation
Journal of Mathematical Physics | 2005-06-30 | Paper |
Blow-up and stability of semilinear PDEs with gamma generators
Journal of Mathematical Analysis and Applications | 2005-06-10 | Paper |
Functional inequalities for discrete gradients and application to the geometric distribution
ESAIM: Probability and Statistics | 2005-04-26 | Paper |
Non-Gaussian Malliavin calculus on real Lie algebras
Journal of Functional Analysis | 2005-02-22 | Paper |
Computations of Greeks in a market with jumps via the Malliavin calculus
Finance and Stochastics | 2004-11-24 | Paper |
Markovian bridges and reversible diffusion processes with jumps
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2004-10-12 | Paper |
SPLITTING OF POISSON NOISE AND LÉVY PROCESSES ON REAL LIE ALGEBRAS
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-09-24 | Paper |
scientific article; zbMATH DE number 2098654 (Why is no real title available?)
| 2004-09-07 | Paper |
Asymptotic estimates for white noise distributions
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2004-08-20 | Paper |
QUASI-INVARIANCE FORMULAS FOR COMPONENTS OF QUANTUM LÉVY PROCESSES
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-07-12 | Paper |
scientific article; zbMATH DE number 2046330 (Why is no real title available?)
| 2004-02-23 | Paper |
scientific article; zbMATH DE number 2034505 (Why is no real title available?)
| 2004-01-28 | Paper |
Smoothness of Wigner densities on the affine algebra
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2004-01-28 | Paper |
Clark formula and logarithmic Sobolev inequalities for Bernoulli measures
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-09-23 | Paper |
scientific article; zbMATH DE number 1981810 (Why is no real title available?)
| 2003-09-16 | Paper |
Chaotic Kabanov formula for the Azéma martingales
Bernoulli | 2003-09-10 | Paper |
Hedging in complete markets driven by normal martingales
Applicationes Mathematicae | 2003-09-09 | Paper |
Concentration and deviation inequalities in infinite dimensions via covariance representations
Bernoulli | 2003-06-06 | Paper |
Discrete chaotic calculus and covariance identities
Stochastics and Stochastic Reports | 2003-03-20 | Paper |
Connections and curvature in the Riemannian geometry of configuration spaces
Journal of Functional Analysis | 2003-03-04 | Paper |
Conditional Calculus on Poisson Space and Enlargement of Filtration
Stochastic Analysis and Applications | 2003-02-24 | Paper |
scientific article; zbMATH DE number 1785255 (Why is no real title available?)
| 2003-01-30 | Paper |
Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals
Publicacions Matemàtiques | 2002-12-01 | Paper |
A characterization of grand canonical Gibbs measures by duality
Potential Analysis | 2002-09-25 | Paper |
Extended covariance identities and inequalities
Statistics \& Probability Letters | 2002-09-05 | Paper |
On logarithmic Sobolev inequalities for normal martingales
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2002-05-20 | Paper |
scientific article; zbMATH DE number 1595038 (Why is no real title available?)
| 2002-01-15 | Paper |
scientific article; zbMATH DE number 1971729 (Why is no real title available?)
| 2002-01-01 | Paper |
A pointwise equivalence of gradients on configuration spaces
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2001-11-12 | Paper |
scientific article; zbMATH DE number 1619448 (Why is no real title available?)
| 2001-07-12 | Paper |
Skorokhod and pathwise stochastic calculus with respect to an \(L^2\) process
Random Operators and Stochastic Equations | 2001-07-11 | Paper |
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
Finance and Stochastics | 2001-03-01 | Paper |
Hypothesis testing and Skorokhod stochastic integration
Journal of Applied Probability | 2000-12-03 | Paper |
scientific article; zbMATH DE number 1302562 (Why is no real title available?)
| 2000-11-19 | Paper |
Equivalence of gradients on configuration spaces
Random Operators and Stochastic Equations | 2000-10-11 | Paper |
Connection, parallel transport, curvature and energy identities on spaces of configurations
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2000-08-10 | Paper |
Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds
Journal of Functional Analysis | 2000-07-17 | Paper |
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
Statistics \& Probability Letters | 2000-06-21 | Paper |
Poisson stochastic integration in Hilbert spaces.
Annales Mathématiques Blaise Pascal | 2000-06-04 | Paper |
scientific article; zbMATH DE number 1342048 (Why is no real title available?)
| 1999-11-21 | Paper |
A calculus on Fock space and its probabilistic interpretations
Bulletin des Sciences Mathématiques | 1999-11-11 | Paper |
scientific article; zbMATH DE number 1241989 (Why is no real title available?)
| 1999-08-17 | Paper |
An analytic approach to stochastic calculus
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1999-06-10 | Paper |
Skorohod stochastic integration with respect to non-adapted processes on wiener space
Stochastics and Stochastic Reports | 1999-04-22 | Paper |
Absolute continuity in infinite dimensions and anticipating stochastic calculus
Potential Analysis | 1999-04-06 | Paper |
scientific article; zbMATH DE number 1121869 (Why is no real title available?)
| 1998-11-11 | Paper |
scientific article; zbMATH DE number 1121868 (Why is no real title available?)
| 1998-10-01 | Paper |
Stochastic variational calculus for the uniform density measure
Potential Analysis | 1998-08-31 | Paper |
scientific article; zbMATH DE number 952481 (Why is no real title available?)
| 1997-07-07 | Paper |
scientific article; zbMATH DE number 952096 (Why is no real title available?)
| 1997-04-21 | Paper |
scientific article; zbMATH DE number 906965 (Why is no real title available?)
| 1996-11-07 | Paper |
Chaotic and variational calculus in discrete and continuous time for the poisson process
Stochastics and Stochastic Reports | 1996-11-04 | Paper |
A transfer principle from Wiener to Poisson space and applications
Journal of Functional Analysis | 1996-09-30 | Paper |
scientific article; zbMATH DE number 850219 (Why is no real title available?)
| 1996-09-24 | Paper |
A different quantum stochastic calculus for the Poisson process
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-08-20 | Paper |
Girsanov theorem for anticipative shifts on Poisson space
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-05-27 | Paper |
scientific article; zbMATH DE number 847813 (Why is no real title available?)
| 1996-02-26 | Paper |
scientific article; zbMATH DE number 599145 (Why is no real title available?)
| 1994-11-01 | Paper |
scientific article; zbMATH DE number 447039 (Why is no real title available?)
| 1994-01-09 | Paper |
scientific article; zbMATH DE number 203211 (Why is no real title available?)
| 1993-08-08 | Paper |
On the random generation of Butcher trees
| N/A | Paper |
