| Publication | Date of Publication | Type |
|---|
Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time
(available as arXiv preprint) | N/A | Paper |
Existence of Lévy's area and pathwise integration
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Differentiability of quadratic forward-backward SDEs with rough drift
The Annals of Applied Probability | 2024-10-16 | Paper |
A Fourier analysis based new look at integration
Annales Mathematicae Silesianae | 2023-10-25 | Paper |
| Differentiability of quadratic forward-backward SDEs with rough drift | 2022-10-11 | Paper |
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
(available as arXiv preprint) | 2022-10-10 | Paper |
| Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure | 2022-10-10 | Paper |
Utility maximization via decoupling fields
The Annals of Applied Probability | 2021-11-04 | Paper |
Utility maximization via decoupling fields
The Annals of Applied Probability | 2021-11-04 | Paper |
On the strict value of the non-linear optimal stopping problem
Electronic Communications in Probability | 2020-09-29 | Paper |
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
(available as arXiv preprint) | 2020-09-08 | Paper |
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
Journal of Theoretical Probability | 2020-08-06 | Paper |
Optimal stopping with f-expectations: the irregular case
Stochastic Processes and their Applications | 2020-02-24 | Paper |
Dynkin game with asymmetric information
Bulletin of the Iranian Mathematical Society | 2019-03-22 | Paper |
Differentiability of SDEs with drifts of super-linear growth
Electronic Journal of Probability | 2019-02-14 | Paper |
Differentiability of SDEs with drifts of super-linear growth
Electronic Journal of Probability | 2019-02-14 | Paper |
Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
Electronic Journal of Probability | 2019-02-14 | Paper |
Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
Electronic Journal of Probability | 2019-02-14 | Paper |
| On the Hausdorff dimension of a 2-dimensional Weierstrass curve | 2018-06-25 | Paper |
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
The Annals of Applied Probability | 2018-01-04 | Paper |
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
The Annals of Applied Probability | 2018-01-04 | Paper |
American options with asymmetric information and reflected BSDE
Bernoulli | 2017-09-21 | Paper |
American options with asymmetric information and reflected BSDE
Bernoulli | 2017-09-21 | Paper |
A Fourier analytic approach to pathwise stochastic integration
Electronic Journal of Probability | 2016-05-23 | Paper |
A Fourier analytic approach to pathwise stochastic integration
Electronic Journal of Probability | 2016-05-23 | Paper |
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
Stochastic Processes and their Applications | 2016-02-15 | Paper |
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
Electronic Journal of Probability | 2016-02-02 | Paper |
Die Wiederentdeckung eines Mathematikers: Wolfgang Döblin
Mitteilungen der Deutschen Mathematiker-Vereinigung | 2016-01-21 | Paper |
A note on the Malliavin-Sobolev spaces
Statistics & Probability Letters | 2015-12-30 | Paper |
The existence of dominating local martingale measures
Finance and Stochastics | 2015-11-09 | Paper |
Paracontrolled distributions and singular PDEs
Forum of Mathematics, Pi | 2015-08-27 | Paper |
Comparison principle approach to utility maximization
Banach Center Publications | 2015-07-28 | Paper |
Stable CLTs and rates for power variation of \(\alpha\)-stable Lévy processes
Methodology and Computing in Applied Probability | 2015-04-16 | Paper |
Forward-backward systems for expected utility maximization
Stochastic Processes and their Applications | 2014-08-27 | Paper |
2D-stochastic currents over the Wiener sheet
Journal of Theoretical Probability | 2014-06-27 | Paper |
| Existence of L\'evy's area and pathwise integration | 2014-04-14 | Paper |
Dimensional reduction in nonlinear filtering: a homogenization approach
The Annals of Applied Probability | 2014-01-17 | Paper |
Stochastic resonance. A mathematical approach in the small noise limit
Mathematical Surveys and Monographs | 2014-01-15 | Paper |
| Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs | 2013-10-01 | Paper |
Large deviations for Hilbert-space-valued Wiener processes: a sequence space approach
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
The dynamics of nonlinear reaction-diffusion equations with small Lévy noise
Lecture Notes in Mathematics | 2013-06-13 | Paper |
Existence and stability of measure solutions for BSDE with generators of quadratic growth
(available as arXiv preprint) | 2013-06-12 | Paper |
Hedging with residual risk: a BSDE approach
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
The asymptotic stability of a noisy non-linear oscillator
Journal of Sound and Vibration | 2012-05-03 | Paper |
Differentiability of quadratic BSDEs generated by continuous martingales
The Annals of Applied Probability | 2012-04-20 | Paper |
Differentiability of quadratic BSDEs generated by continuous martingales
The Annals of Applied Probability | 2012-04-20 | Paper |
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise
Electronic Communications in Probability | 2011-09-09 | Paper |
Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise
Electronic Communications in Probability | 2011-09-09 | Paper |
Results on numerics for FBSDE with drivers of quadratic growth
Contemporary Quantitative Finance | 2011-05-31 | Paper |
First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise
Journal of Statistical Physics | 2010-12-01 | Paper |
Corrigendum to ``Path regularity and explicit convergence rate for BSDE with truncated quadratic growth''
Stochastic Processes and their Applications | 2010-11-19 | Paper |
| Limit theorems for p-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data | 2010-09-02 | Paper |
Backward stochastic differential equations with time delayed generators -- results and counterexamples
The Annals of Applied Probability | 2010-09-01 | Paper |
On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
Stochastic Processes and their Applications | 2010-08-18 | Paper |
Pricing and hedging of derivatives based on nontradable underlyings
Mathematical Finance | 2010-04-22 | Paper |
Time irregularity of generalized Ornstein-Uhlenbeck processes
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2010-03-29 | Paper |
Metastable behaviour of small noise Lévy-Driven diffusions
ESAIM: Probability and Statistics | 2010-03-15 | Paper |
Metastable behaviour of small noise Lévy-Driven diffusions
ESAIM: Probability and Statistics | 2010-03-15 | Paper |
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
Stochastic Processes and their Applications | 2010-03-01 | Paper |
On measure solutions of backward stochastic differential equations
Stochastic Processes and their Applications | 2009-09-17 | Paper |
First exit times for Lévy-driven diffusions with exponentially light jumps
The Annals of Probability | 2009-05-27 | Paper |
| Malliavin's calculus and applications in stochastic control and finance | 2009-01-08 | Paper |
| Limit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable Levy noise | 2008-11-23 | Paper |
A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
Stochastics and Dynamics | 2008-08-26 | Paper |
Large deviations and a Kramers' type law for self-stabilizing diffusions
The Annals of Applied Probability | 2008-08-20 | Paper |
Optimal Cross Hedging of Insurance Derivatives
Stochastic Analysis and Applications | 2008-08-07 | Paper |
| Financial markets with asymmetric information: information drift, additional utility and entropy | 2008-06-11 | Paper |
Classical and variational differentiability of BSDEs with quadratic growth
Electronic Journal of Probability | 2007-11-23 | Paper |
Classical and variational differentiability of BSDEs with quadratic growth
Electronic Journal of Probability | 2007-11-23 | Paper |
Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach
The Annals of Applied Probability | 2007-08-06 | Paper |
Global flows for stochastic differential equations without global Lipschitz conditions
The Annals of Probability | 2007-05-08 | Paper |
The Shannon information of filtrations and the additional logarithmic utility of insiders
The Annals of Probability | 2006-07-26 | Paper |
Lévy flights: transitions and meta-stability
Journal of Physics A: Mathematical and General | 2006-05-03 | Paper |
First exit times of SDEs driven by stable Lévy processes
Stochastic Processes and their Applications | 2006-04-28 | Paper |
Noise-Induced Resonance in Bistable Systems Caused by Delay Feedback
Stochastic Analysis and Applications | 2006-03-14 | Paper |
| scientific article; zbMATH DE number 2247651 (Why is no real title available?) | 2006-01-16 | Paper |
A TWO-STATE MODEL FOR NOISE-INDUCED RESONANCE IN BISTABLE SYSTEMS WITH DELAY
Stochastics and Dynamics | 2005-09-30 | Paper |
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Additional utility of insiders with imperfect dynamical information
Finance and Stochastics | 2005-05-20 | Paper |
The exit problem for diffusions with time-periodic drift and stochastic resonance
The Annals of Applied Probability | 2005-04-29 | Paper |
The Reduction of Potential Diffusions to Finite State Markov Chains and Stochastic Resonance
Solid Mechanics and Its Applications | 2005-02-11 | Paper |
| scientific article; zbMATH DE number 2127968 (Why is no real title available?) | 2005-01-14 | Paper |
Free lunch and arbitrage possibilities in a financial market model with an insider.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
| First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable components | 2004-09-15 | Paper |
On the Computation of Invariant Measures in Random Dynamical Systems
Stochastics and Dynamics | 2004-03-01 | Paper |
MODEL REDUCTION AND STOCHASTIC RESONANCE
Stochastics and Dynamics | 2004-01-03 | Paper |
Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
Mathematical Finance | 2003-12-16 | Paper |
BARRIER CROSSINGS CHARACTERIZE STOCHASTIC RESONANCE
Stochastics and Dynamics | 2003-11-03 | Paper |
CONCEPTUAL STOCHASTIC CLIMATE MODELS
Stochastics and Dynamics | 2003-10-24 | Paper |
Stochastic resonance in two-state Markov chains
Archiv der Mathematik | 2003-10-15 | Paper |
THE COHOMOLOGY OF STOCHASTIC AND RANDOM DIFFERENTIAL EQUATIONS, AND LOCAL LINEARIZATION OF STOCHASTIC FLOWS
Stochastics and Dynamics | 2003-09-24 | Paper |
The conjugacy of stochastic and random differential equations and the existence of global attractors
Journal of Dynamics and Differential Equations | 2003-02-08 | Paper |
On the cohomology of flows of stochastic and random differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-09-15 | Paper |
| Some support properties of the laws of invariant spaces of stochastic differential equations | 2002-09-02 | Paper |
MOMENT LYAPUNOV EXPONENT FOR CONSERVATIVE SYSTEMS WITH SMALL PERIODIC AND RANDOM PERTURBATIONS
Stochastics and Dynamics | 2002-08-19 | Paper |
Double points of the Brownian sheet in R<sup>d</sup> and the geometry.of the parameter space
Stochastics and Stochastics Reports | 2002-05-05 | Paper |
| scientific article; zbMATH DE number 1639838 (Why is no real title available?) | 2002-01-27 | Paper |
Random times at which insiders can have free lunches
Stochastics and Stochastic Reports | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1639833 (Why is no real title available?) | 2001-11-04 | Paper |
| scientific article; zbMATH DE number 1639839 (Why is no real title available?) | 2001-08-30 | Paper |
Critical dimensions for the existence of self-intersection local times of the N-parameter Brownian motion in R^d
Journal of Theoretical Probability | 2001-03-02 | Paper |
Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum
Dynamical Systems | 2001-01-01 | Paper |
An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator
Dynamics and Stability of Systems | 2000-12-05 | Paper |
| scientific article; zbMATH DE number 1341819 (Why is no real title available?) | 2000-11-22 | Paper |
| scientific article; zbMATH DE number 1304731 (Why is no real title available?) | 2000-11-19 | Paper |
On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations
Stochastics and Stochastic Reports | 2000-10-23 | Paper |
Additional logarithmic utility of an insider
Stochastic Processes and their Applications | 1999-11-18 | Paper |
On the spatial asymptotic behavior of stochastic flows in Euclidean space
The Annals of Probability | 1999-11-09 | Paper |
Rotation numbers for linear stochastic differential equations
The Annals of Probability | 1999-11-09 | Paper |
