| Publication | Date of Publication | Type |
|---|
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Stochastics and Dynamics | 2024-12-06 | Paper |
Stability, uniqueness and existence of solutions to McKean-Vlasov stochastic differential equations in arbitrary moments
Journal of Theoretical Probability | 2024-11-05 | Paper |
\(C^{\infty}\)-regularization by noise of singular ODE's
Journal of Dynamics and Differential Equations | 2024-07-04 | Paper |
On the analysis of Ait-Sahalia-type model for rough volatility modelling
Journal of Theoretical Probability | 2024-04-02 | Paper |
Restoration of well-posedness of infinite-dimensional singular ODE's via noise
Potential Analysis | 2024-02-21 | Paper |
Existence of strong solutions of fractional Brownian sheet driven SDEs with integrable drift
| 2023-07-18 | Paper |
Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
Journal of Physics A: Mathematical and Theoretical | 2023-05-04 | Paper |
Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths
Journal of Differential Equations | 2023-05-03 | Paper |
Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
Stochastic Processes and their Applications | 2023-01-02 | Paper |
Smoothness of solutions of hyperbolic stochastic partial differential equations with $L^{\infty}$-vector fields
| 2022-12-16 | Paper |
Girsanov theorem for multifractional Brownian processes
Stochastics | 2022-12-08 | Paper |
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
Journal of Theoretical Probability | 2022-05-04 | Paper |
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments
| 2022-05-04 | Paper |
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model
| 2022-05-02 | Paper |
Optimal stopping, randomized stopping, and singular control with general information flow
Theory of Probability & Its Applications | 2022-02-25 | Paper |
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
| 2021-07-16 | Paper |
Small Noise Perturbations in Multidimensional Case
| 2021-06-18 | Paper |
Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility
Communications in Mathematical Sciences | 2021-05-03 | Paper |
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
Journal of Dynamics and Differential Equations | 2020-11-11 | Paper |
Regularity properties of the stochastic flow of a skew fractional Brownian motion
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2020-07-14 | Paper |
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Scandinavian Actuarial Journal | 2020-01-17 | Paper |
Stochastic functional differential equations and sensitivity to their initial path
| 2019-03-22 | Paper |
Singular control optimal stopping of memory mean-field processes
SIAM Journal on Mathematical Analysis | 2019-02-20 | Paper |
Strong solutions of mean-field stochastic differential equations with irregular drift
Electronic Journal of Probability | 2019-02-14 | Paper |
Sensitivity with respect to the yield curve: duration in a stochastic setting
Inspired by Finance | 2018-12-13 | Paper |
On a selection problem for small noise perturbation in the multidimensional case
Stochastics and Dynamics | 2018-12-10 | Paper |
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise
Statistics & Probability Letters | 2017-12-22 | Paper |
C-infinity-regularization by Noise of Singular ODE's
| 2017-10-13 | Paper |
Strong Uniqueness of Singular Stochastic Delay Equations
| 2017-07-07 | Paper |
Maximum principles for jump diffusion processes with infinite horizon
Automatica | 2017-06-06 | Paper |
Computing deltas without derivatives
Finance and Stochastics | 2017-04-13 | Paper |
SDE solutions in the space of smooth random variables
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Risk indifference pricing of functional claims of the yield surface in the presence of partial information
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
The Annals of Probability | 2015-07-06 | Paper |
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
Journal of Functional Analysis | 2014-07-25 | Paper |
Stochastic differential games in insider markets via Malliavin calculus
Journal of Optimization Theory and Applications | 2014-07-04 | Paper |
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Stochastics | 2014-04-25 | Paper |
Sensitivity analysis in a market with memory
| 2013-12-18 | Paper |
A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
Mathematische Annalen | 2013-11-18 | Paper |
A maximum principle for infinite horizon delay equations
SIAM Journal on Mathematical Analysis | 2013-10-24 | Paper |
A Bayes formula for nonlinear filtering with Gaussian and Cox noise
Journal of Probability and Statistics | 2012-03-13 | Paper |
A general maximum principle for anticipative stochastic control and applications to insider trading
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Uniqueness of decompositions of Skorohod-semimartingales
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2011-05-04 | Paper |
A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
Stochastics | 2010-08-19 | Paper |
Construction of strong solutions of SDE's via Malliavin calculus
Journal of Functional Analysis | 2010-05-17 | Paper |
Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
Journal of Theoretical Probability | 2010-04-23 | Paper |
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
A maximum principle approach to risk indifference pricing with partial information
Journal of Applied Mathematics and Stochastic Analysis | 2009-04-01 | Paper |
Malliavin Calculus for Lévy Processes with Applications to Finance
Universitext | 2008-05-28 | Paper |
Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
MATHEMATICA SCANDINAVICA | 2008-02-22 | Paper |
Stochastic differential equations—some new ideas
Stochastics | 2008-01-09 | Paper |
THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2006-08-14 | Paper |
On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
Communications in Mathematical Sciences | 2006-07-11 | Paper |
Optimal portfolio for an insider in a market driven by Lévy processes§
Quantitative Finance | 2006-06-16 | Paper |
The stochastic transport equation driven by Lévy white noise
Communications in Mathematical Sciences | 2006-01-16 | Paper |
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
Stochastics | 2005-12-09 | Paper |
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2005-08-01 | Paper |
White noise of Poisson random measures
Potential Analysis | 2005-01-17 | Paper |
Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
Applied Mathematics and Optimization | 2004-11-05 | Paper |
ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-10-25 | Paper |
The Donsker delta function of a Lévy process with application to chaos expansion of local time
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2004-10-12 | Paper |
Stochastic partial differential equations driven by Lévy space-time white noise.
The Annals of Applied Probability | 2004-09-15 | Paper |
White noise analysis for Lévy processes.
Journal of Functional Analysis | 2004-03-15 | Paper |
Central limit theorems for generalized set-valued random variables
Journal of Mathematical Analysis and Applications | 2003-09-25 | Paper |
A strong law of large numbers for generalized random sets from the viewpoint of empirical processes
Proceedings of the American Mathematical Society | 2003-05-14 | Paper |
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
Mathematical Finance | 2003-01-01 | Paper |
Strong law of large numbers for Banach space valued fuzzy random variables
Journal of Theoretical Probability | 2002-08-20 | Paper |
Central limit theorem for Banach space valued fuzzy random variables
Proceedings of the American Mathematical Society | 2002-03-19 | Paper |
scientific article; zbMATH DE number 1188114 (Why is no real title available?)
| 1998-08-11 | Paper |
Optimal control of SPDEs driven by time-space Brownian motion
| N/A | Paper |
Long-time behaviors of some stochastic differential equations driven by L\'{e}vy noise
| N/A | Paper |
Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet
| N/A | Paper |
