| Publication | Date of Publication | Type |
|---|
Obliquely reflecting Brownian motion in nonpolyhedral, piecewise smooth cones, with an example of application to diffusion approximation of bandwidth-sharing queues
Queueing Systems | 2025-03-03 | Paper |
A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
The Annals of Applied Probability | 2024-10-09 | Paper |
Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains
Stochastic Processes and their Applications | 2024-03-04 | Paper |
| Existence and uniqueness of obliquely reflecting Brownian motion in nonpolyhedral, piecewise smooth cones, with an example of application to diffusion approximation of bandwidth sharing queues | 2023-08-13 | Paper |
Inflation, central bank and short-term interest rates: a new model with calibration to market data
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
| A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions | 2021-06-14 | Paper |
Markov selection for constrained martingale problems
Electronic Journal of Probability | 2019-12-12 | Paper |
Markov selection for constrained martingale problems
Electronic Journal of Probability | 2019-12-12 | Paper |
Existence and uniqueness of reflecting diffusions in cusps
Electronic Journal of Probability | 2018-10-25 | Paper |
Existence and uniqueness of reflecting diffusions in cusps
Electronic Journal of Probability | 2018-10-25 | Paper |
Wright-Fisher construction of the two-parameter Poisson-Dirichlet diffusion
The Annals of Applied Probability | 2017-09-15 | Paper |
Viscosity methods giving uniqueness for martingale problems
Electronic Journal of Probability | 2015-08-07 | Paper |
Singular risk-neutral valuation equations
Finance and Stochastics | 2012-11-15 | Paper |
Boundary sensitivities for diffusion processes in time dependent domains
Applied Mathematics and Optimization | 2006-11-17 | Paper |
DIFFUSION APPROXIMATION FOR TRANSPORT PROCESSES WITH GENERAL REFLECTION BOUNDARY CONDITIONS
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2006-08-14 | Paper |
Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-10-22 | Paper |
A simple variance reduction method with applications to finance and queueing theory
Monte Carlo Methods and Applications | 2003-06-17 | Paper |
Numerical Approximation for Functionals of Reflecting Diffusion Processes
SIAM Journal on Applied Mathematics | 1998-05-10 | Paper |
Explicit solution of an optimal stopping problem: the burn-in of conditionally exponential components
Journal of Applied Probability | 1997-11-02 | Paper |
Hydrodynamics limits for the Boltzmann process
Journal of Statistical Physics | 1994-09-28 | Paper |
The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1992-06-28 | Paper |
Diffusion approximation for a class of transport processes with physical reflection boundary conditions
The Annals of Probability | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4203413 (Why is no real title available?) | 1991-01-01 | Paper |
Law of Large Numbers for DNA Distribution in an Interacting Cell Population
SIAM Journal on Applied Mathematics | 1991-01-01 | Paper |
A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
Stochastic Processes and their Applications | 1988-01-01 | Paper |
On the convergence of sequences of stationary jump Markov processes
Statistics & Probability Letters | 1983-01-01 | Paper |
Some results on weak convergence of jump Markov processes and their stability properties
Systems & Control Letters | 1982-01-01 | Paper |
