| Publication | Date of Publication | Type |
|---|
| Modeling diffusion in one dimensional discontinuous media under generalized permeable interface conditions: theory and algorithms | 2024-07-16 | Paper |
| General diffusion processes as limit of time-space Markov chains | 2024-01-15 | Paper |
| Probabilistic representations of fragmentation equations | 2023-03-20 | Paper |
| Two consistent estimators for the skew Brownian motion | 2023-03-09 | Paper |
| Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance | 2023-02-17 | Paper |
| Maximum likelihood estimator for skew Brownian motion: the convergence rate | 2023-02-06 | Paper |
| A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations | 2022-04-11 | Paper |
| Book Review: A course on rough paths: With an introduction to regularity structures; Second edition | 2022-04-01 | Paper |
| Constructing general rough differential equations through flow approximations | 2022-02-22 | Paper |
| The non-linear sewing lemma. II. Lipschitz continuous formulation | 2021-08-06 | Paper |
| A Course on Rough Paths: With an Introduction to Regularity Structures | 2021-06-02 | Paper |
| A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers | 2021-03-01 | Paper |
| An exponential timestepping algorithm for diffusion with discontinuous coefficients | 2021-01-27 | Paper |
| A recommendation system for car insurance | 2021-01-20 | Paper |
| Maximum likelihood drift estimation for a threshold diffusion | 2020-11-30 | Paper |
| The Girsanov Theorem Without (So Much) Stochastic Analysis | 2020-10-20 | Paper |
| The non-linear sewing lemma III: stability and generic properties | 2020-09-16 | Paper |
| Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients | 2019-09-18 | Paper |
| The non-linear sewing lemma I: weak formulation | 2019-08-06 | Paper |
| A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA | 2019-06-24 | Paper |
| Statistical estimation of the oscillating Brownian motion | 2018-05-18 | Paper |
| Sensitivity of rough differential equations: an approach through the omega lemma | 2018-01-19 | Paper |
| Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift | 2017-08-01 | Paper |
| Approximation of CVaR minimization for hedging under exponential-Lévy models | 2017-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5270012 | 2017-06-28 | Paper |
| An Efficient Algorithm to Simulate a Brownian Motion Over Irregular Domains | 2017-06-20 | Paper |
| Simulating diffusion processes in discontinuous media: benchmark tests | 2016-12-05 | Paper |
| The snapping out Brownian motion | 2016-08-23 | Paper |
| Détection de courants marins côtiers à partir de séquences vidéo | 2016-01-29 | Paper |
| Perturbed linear rough differential equations | 2014-08-12 | Paper |
| Is a Brownian Motion Skew? | 2014-05-26 | Paper |
| Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps | 2014-04-22 | Paper |
| New Monte Carlo schemes for simulating diffusions in discontinuous media | 2013-04-22 | Paper |
| Global Solutions to Rough Differential Equations with Unbounded Vector Fields | 2012-08-29 | Paper |
| Simulation of a stochastic process in a discontinuous layered medium | 2012-06-22 | Paper |
| Simulating diffusions with piecewise constant coefficients using a kinetic approximation | 2012-02-08 | Paper |
| Is a Brownian skew? | 2011-01-05 | Paper |
| Controlled differential equations as Young integrals: a simple approach | 2010-10-19 | Paper |
| A probabilistic interpretation of the transmission conditions using the skew Brownian motion | 2010-09-02 | Paper |
| Simulation of diffusions by means of importance sampling paradigm | 2010-09-01 | Paper |
| On the constructions of the skew Brownian motion | 2010-06-29 | Paper |
| Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results | 2010-03-15 | Paper |
| Yet another introduction to rough paths | 2009-12-18 | Paper |
| On rough differential equations | 2009-11-20 | Paper |
| Global existence for rough differential equations under linear growth conditions | 2009-05-14 | Paper |
| Estimation of the Brownian dimension of a continuous Itô process | 2009-03-02 | Paper |
| Rough Paths: An Introduction Using Classical Analysis | 2009-01-22 | Paper |
| Computing the principal eigenelements of some linear operators using a branching Monte Carlo method | 2008-11-25 | Paper |
| A Donsker theorem to simulate one-dimensional processes with measurable coefficients | 2007-11-30 | Paper |
| Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem | 2007-11-30 | Paper |
| Computing the principal eigenvalue of the Laplace operator by a stochastic method | 2007-03-12 | Paper |
| Young integrals and SPDEs | 2006-12-06 | Paper |
| Semi-martingales and rough paths theory | 2006-11-03 | Paper |
| A random walk on rectangles algorithm | 2006-10-27 | Paper |
| On \((p,q)\)-rough paths | 2006-07-20 | Paper |
| A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients | 2006-06-29 | Paper |
| A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. | 2005-11-29 | Paper |
| Monte Carlo methods for fissured porous media: a gridless approach * | 2005-03-10 | Paper |
| BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion. | 2005-02-25 | Paper |
| Simulating a diffusion on a graph. Application to reservoir engineering | 2004-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4453255 | 2004-03-07 | Paper |
| Séminaire de Probabilités XXXVI | 2004-02-23 | Paper |
| On the convergence of stochastic integrals driven by processes converging on account of a homogenization property | 2003-02-13 | Paper |
| A probabilistic approach to the homogenization of divergence-form operators in periodic media | 2002-11-25 | Paper |
| A Monte Carlo method without grid for a fractured porous domain model | 2002-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4543595 | 2002-08-08 | Paper |
| Homogenization of divergence-form operators with lower-order terms in random media | 2002-06-13 | Paper |
| Weak solution of semi-linear PDE, BSDE and homogenization | 2002-06-13 | Paper |
| A Monte Carlo method to compute the exchange coefficient in the double porosity model. | 2001-01-01 | Paper |
| Beyond the delta method | N/A | Paper |
