Salvador Ortiz-Latorre

Available identifiers

zbMath Open ortiz-latorre.salvadorMaRDI QIDQ2093307

List of research outcomes

Publication	Date of Publication	Type
SPDE bridges with observation noise and their spatial approximation	2023-03-14	Paper
Pathwise Approximations for the Solution of the Non-Linear Filtering Problem	2022-11-15	Paper
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations	2022-11-07	Paper
Change of measure in a Heston-Hawkes stochastic volatility model	2022-10-27	Paper
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise	2022-05-04	Paper
SPDE bridges with observation noise and their spatial approximation	2021-12-21	Paper
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations	2021-04-10	Paper
Self-exciting multifractional processes	2021-03-03	Paper
A high order time discretization of the solution of the non-linear filtering problem	2021-01-20	Paper
A decomposition formula for fractional Heston jump diffusion models	2020-07-28	Paper
Variance and interest rate risk in unit-linked insurance policies	2020-06-26	Paper
A Kusuoka–Lyons–Victoir particle filter	2017-09-29	Paper
https://portal.mardi4nfdi.de/entity/Q3195632	2015-10-20	Paper
A Pricing Measure to Explain the Risk Premium in Power Markets	2015-01-20	Paper
Optimal simulation schemes for Lévy driven stochastic differential equations	2014-09-10	Paper
A second order time discretization of the solution of the non-linear filtering problem	2014-08-25	Paper
https://portal.mardi4nfdi.de/entity/Q3094151	2011-10-21	Paper
MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME	2011-10-11	Paper
Weak Kyle–Back Equilibrium Models for Max and ArgMax	2010-06-01	Paper
An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach	2008-11-14	Paper
Central limit theorems for multiple stochastic integrals and Malliavin calculus	2008-03-18	Paper
Intersection local time for two independent fractional Brownian motions	2008-02-18	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Salvador Ortiz-Latorre