Lucia Caramellino

Available identifiers

zbMath Open caramellino.luciaMaRDI QIDQ220898

List of research outcomes

Publication	Date of Publication	Type
Convergence in total variation for nonlinear functionals of random hyperspherical harmonics	2024-01-05	Paper
A hybrid approach for the implementation of the Heston model	2022-11-09	Paper
Using moment approximations to study the density of jump driven SDEs	2022-06-13	Paper
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model	2021-02-23	Paper
Regularization lemmas and convergence in total variation	2020-07-29	Paper
Total variation distance between stochastic polynomials and invariance principles	2020-06-15	Paper
Large deviations of conditioned diffusions and applications	2020-02-24	Paper
Tube estimates for diffusions under a local strong Hörmander condition	2020-01-31	Paper
NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS	2020-01-02	Paper
Non universality for the variance of the number of real roots of random trigonometric polynomials	2019-07-17	Paper
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model	2019-06-18	Paper
Transfer of regularity for Markov semigroups	2019-05-15	Paper
Monte Carlo methods for pricing and hedging American options in high dimension	2019-03-12	Paper
Convergence in distribution norms in the CLT for non identical distributed random variables	2018-08-24	Paper
Convergence and regularity of probability laws by using an interpolation method	2017-10-24	Paper
Regularity of Wiener functionals under a Hörmander type condition of order one	2017-07-28	Paper
Diffusions under a local strong H\"ormander condition. Part II: tube estimates	2016-07-15	Paper
Asymptotic development for the CLT in total variation distance	2016-07-14	Paper
An Invariance Principle for Stochastic Series II. Non Gaussian Limits	2016-07-13	Paper
Integration by parts formulas and the Riesz transform	2016-06-24	Paper
Construction of integration by parts formulas	2016-06-24	Paper
Regularity of probability laws by using an interpolation method	2016-06-24	Paper
On Sharp Large Deviations for the Bridge of a General Diffusion	2016-04-13	Paper
An invariance principle for stochastic series I. Gaussian limits	2015-10-13	Paper
Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes	2015-07-31	Paper
On the distances between probability density functions	2015-02-03	Paper
Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion	2014-06-18	Paper
Positivity and lower bounds for the density of Wiener functionals	2013-08-05	Paper
Tubes estimates for diffusion processes under a local H\"ormander condition of order one	2012-02-21	Paper
General Freidlin-Wentzell large deviations and positive diffusions	2011-07-26	Paper
Riesz transform and integration by parts formulas for random variables	2011-06-15	Paper
Large deviation estimates of the crossing probability for pinned Gaussian processes	2008-08-05	Paper
A mixed PDE-Monte Carlo approach for pricing credit default index swaptions	2007-05-24	Paper
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach	2005-09-12	Paper
Asymptotics of hitting probabilities for general one-dimensional pinned diffusions	2003-05-06	Paper
Law of the iterated logarithm for random walks on nilpotent groups	2003-04-28	Paper
Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers	2003-03-20	Paper
Large and moderate deviations for random walks on nilpotent groups	2002-02-24	Paper
Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations	2001-11-26	Paper
https://portal.mardi4nfdi.de/entity/Q4934370	2000-06-14	Paper
https://portal.mardi4nfdi.de/entity/Q4384986	2000-03-13	Paper
Some remarks on a Markov chain modelling cooperative biological systems	2000-01-24	Paper
Strassen's law of the iterated logarithm for diffusion processes for small time	1999-11-18	Paper
Diffusion approximations for random walks on nilpotent Lie groups	1999-11-11	Paper
WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survival functions	1996-06-16	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Lucia Caramellino