Michael A. Kouritzin

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients Potential Analysis	2024-03-11	Paper
Stochastic differential equations with local interactions Electronic Communications in Probability	2024-01-17	Paper
On mean-field super-Brownian motions The Annals of Applied Probability	2024-01-15	Paper
On mean-field super-Brownian motions The Annals of Applied Probability	2024-01-15	Paper
Sampling and Filtering with Markov Chains	2023-08-11	Paper
Explicit solution simulation method for the 3/2 model (available as arXiv preprint)	2022-10-07	Paper
On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes Stochastic Processes and their Applications	2022-08-29	Paper
Long-time limits and occupation times for stable Fleming-Viot processes with decaying sampling rates Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-06-03	Paper
Long-time limits and occupation times for stable Fleming-Viot processes with decaying sampling rates Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-06-03	Paper
Replication and Its Application to Weak Convergence	2020-11-01	Paper
On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes (available as arXiv preprint)	2020-07-12	Paper
Branching particle pricers with Heston examples International Journal of Theoretical and Applied Finance	2020-03-26	Paper
Laws of large numbers for supercritical branching Gaussian processes Stochastic Processes and their Applications	2019-09-19	Paper
On explicit local solutions of Itô diffusions Journal of Mathematical Analysis and Applications	2019-03-21	Paper
A graph theoretic approach to simulation and classification Computational Statistics and Data Analysis	2018-11-02	Paper
VIX-linked fees for GMWBs via explicit solution simulation methods Insurance Mathematics & Economics	2018-08-28	Paper
Microstructure models with short-term inertia and stochastic volatility Mathematical Problems in Engineering	2018-08-27	Paper
Residual and stratified branching particle filters Computational Statistics and Data Analysis	2018-08-07	Paper
Explicit Heston solutions and stochastic approximation for path-dependent option pricing International Journal of Theoretical and Applied Finance	2018-03-15	Paper
On Random Field Completely Automated Public Turing Test to Tell Computers and Humans Apart Generation IEEE Transactions on Image Processing	2017-10-27	Paper
Convergence rates for residual branching particle filters Journal of Mathematical Analysis and Applications	2017-02-08	Paper
Erratum to: ``Nonlinear filtering for reflecting diffusions in random environments via nonparametric estimation Electronic Journal of Probability	2017-02-07	Paper
On explicit solutions to Ito diffusions	2016-08-18	Paper
Marcinkiewicz law of large numbers for outer products of heavy-tailed, long-range dependent data Advances in Applied Probability	2016-07-27	Paper
Marcinkiewicz law of large numbers for outer products of heavy-tailed, long-range dependent data Advances in Applied Probability	2016-07-27	Paper
On tightness of probability measures on Skorokhod spaces Transactions of the American Mathematical Society	2016-03-08	Paper
Convergence rates and decoupling in linear stochastic approximation algorithms SIAM Journal on Control and Optimization	2015-06-10	Paper
A strong law of large numbers for super-stable processes Stochastic Processes and their Applications	2014-02-06	Paper
Properties of Quick Simulation Random Fields	2012-12-03	Paper
On convergence determining and separating classes of functions Stochastic Processes and their Applications	2010-09-15	Paper
Nonlinear filtering with signal dependent observation noise Electronic Journal of Probability	2009-11-20	Paper
Nonlinear filtering with signal dependent observation noise Electronic Journal of Probability	2009-11-20	Paper
On Detecting Fake Coin Flip Sequences Institute of Mathematical Statistics Collections	2009-05-22	Paper
On extending classical filtering equations Statistics & Probability Letters	2008-12-10	Paper
Rates for branching particle approximations of continuous-discrete filters The Annals of Applied Probability	2006-07-10	Paper
Markov chain approximations to filtering equations for reflecting diffusion processes. Stochastic Processes and their Applications	2005-11-29	Paper
BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE International Journal of Theoretical and Applied Finance	2005-05-06	Paper
Nonlinear filtering for reflecting diffusions in random environments via nonparametric estimation Electronic Journal of Probability	2005-03-08	Paper
Nonlinear filtering for reflecting diffusions in random environments via nonparametric estimation Electronic Journal of Probability	2005-03-08	Paper
Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods	2005-02-09	Paper
Convergence of Markov chain approximations to stochastic reaction-diffusion equations The Annals of Applied Probability	2003-05-06	Paper
Nonlinear filtering for diffusions in random environments Journal of Theoretical Probability	2003-04-27	Paper
On Markov Chain Approximations to Semilinear Partial Differential Equations Driven by Poisson Measure Noise Stochastic Analysis and Applications	2003-03-25	Paper
Approximations for singularly perturbed parabolic equations of arbitrary order Nonlinear Studies	2002-09-01	Paper
Hölder continuity for spatial and path processes via spectral analysis Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2002-02-24	Paper
On a class of discrete generation interacting particle systems Electronic Journal of Probability	2001-12-10	Paper
On a class of discrete generation interacting particle systems Electronic Journal of Probability	2001-12-10	Paper
On explicit solutions to stochastic differential equations Stochastic Analysis and Applications	2001-06-04	Paper
scientific article; zbMATH DE number 1453174 (Why is no real title available?)	2000-05-25	Paper
Averaging for fundamental solutions of parabolic equations Journal of Differential Equations	1999-05-04	Paper
On exact filters for continuous signals with discrete observations IEEE Transactions on Automatic Control	1998-10-18	Paper
Invariance principles for parabolic equations with random coefficients Journal of Functional Analysis	1998-08-31	Paper
Stochastic processes and perturbation problems defined by parabolic equations with a small parameter Nonlinear Analysis: Theory, Methods & Applications	1998-07-01	Paper
On the interrelation of almost sure invariance principles for certain stochastic adaptive algorithms and for partial sums of random variables Journal of Theoretical Probability	1997-12-18	Paper
On the convergence of linear stochastic approximation procedures IEEE Transactions on Information Theory	1997-01-05	Paper
Inductive methods and rates of R^th-mean convergence in adaptive filtering Stochastics and Stochastic Reports	1996-11-04	Paper
Strong approximation for cross-covariances of linear variables with long-range dependence Stochastic Processes and their Applications	1996-07-18	Paper
Strong convergence in the stochastic averaging principle Journal of Mathematical Analysis and Applications	1995-05-30	Paper
On almost-sure bounds for the LMS algorithm IEEE Transactions on Information Theory	1994-12-04	Paper
A law of the iterated logarithm for stochastic processes defined by differential equations with a small parameter The Annals of Probability	1994-11-20	Paper
Rates of convergence in a central limit theorem for stochastic processes defined by differential equations with a small parameter Journal of Multivariate Analysis	1993-01-17	Paper

Research outcomes over time

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