| Publication | Date of Publication | Type |
|---|
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations
Journal of Stochastic Analysis | 2025-09-30 | Paper |
SPDE bridges with observation noise and their spatial approximation
Stochastic Processes and their Applications | 2023-03-14 | Paper |
Pathwise approximations for the solution of the non-linear filtering problem
Stochastic Analysis, Filtering, and Stochastic Optimization | 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
Stochastic and Partial Differential Equations. Analysis and Computations | 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
Journal of Theoretical Probability | 2022-05-04 | Paper |
SPDE bridges with observation noise and their spatial approximation
(available as arXiv preprint) | 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
Journal of Applied Probability | 2021-03-03 | Paper |
A high order time discretization of the solution of the non-linear filtering problem
Stochastic and Partial Differential Equations. Analysis and Computations | 2021-01-20 | Paper |
A high order time discretization of the solution of the non-linear filtering problem
Stochastic and Partial Differential Equations. Analysis and Computations | 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
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2017-09-29 | Paper |
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
(available as arXiv preprint) | 2015-10-20 | Paper |
A pricing measure to explain the risk premium in power markets
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Optimal simulation schemes for Lévy driven stochastic differential equations
Mathematics of Computation | 2014-09-10 | Paper |
| A second order time discretization of the solution of the non-linear filtering problem | 2014-08-25 | Paper |
| scientific article; zbMATH DE number 5961452 (Why is no real title available?) | 2011-10-21 | Paper |
Modeling of financial markets with inside information in continuous time
Stochastics and Dynamics | 2011-10-11 | Paper |
Weak Kyle-Back equilibrium models for Max and ArgMax
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach
Stochastic Processes and their Applications | 2008-11-14 | Paper |
Central limit theorems for multiple stochastic integrals and Malliavin calculus
Stochastic Processes and their Applications | 2008-03-18 | Paper |
Intersection local time for two independent fractional Brownian motions
Journal of Theoretical Probability | 2008-02-18 | Paper |
Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
(available as arXiv preprint) | N/A | Paper |
