| Publication | Date of Publication | Type |
|---|
Stochastic sewing lemma on Wasserstein space
Electronic Journal of Probability | 2025-11-01 | Paper |
Transfer of regularity for Markov semigroups by using an interpolation technique
Journal of Stochastic Analysis | 2025-09-30 | Paper |
Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts
SIAM Journal on Mathematical Analysis | 2025-06-12 | Paper |
Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
Journal of Mathematical Analysis and Applications | 2024-05-23 | Paper |
Convergence in total variation for nonlinear functionals of random hyperspherical harmonics
Journal of Functional Analysis | 2024-01-05 | Paper |
A hybrid approach for the implementation of the Heston model
IMA Journal of Management Mathematics | 2022-11-09 | Paper |
Using moment approximations to study the density of jump driven SDEs
Electronic Journal of Probability | 2022-06-13 | Paper |
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
SIAM Journal on Numerical Analysis | 2021-02-23 | Paper |
Regularization lemmas and convergence in total variation
Electronic Journal of Probability | 2020-07-29 | Paper |
Regularization lemmas and convergence in total variation
Electronic Journal of Probability | 2020-07-29 | Paper |
Total variation distance between stochastic polynomials and invariance principles
The Annals of Probability | 2020-06-15 | Paper |
Total variation distance between stochastic polynomials and invariance principles
The Annals of Probability | 2020-06-15 | Paper |
Large deviations of conditioned diffusions and applications
Stochastic Processes and their Applications | 2020-02-24 | Paper |
Tube estimates for diffusions under a local strong Hörmander condition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-01-31 | Paper |
Tube estimates for diffusions under a local strong Hörmander condition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-01-31 | Paper |
Numerical stability of a hybrid method for pricing options
International Journal of Theoretical and Applied Finance | 2020-01-02 | Paper |
Non universality for the variance of the number of real roots of random trigonometric polynomials
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-07-17 | Paper |
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
IMA Journal of Management Mathematics | 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
Risk and Decision Analysis | 2019-03-12 | Paper |
Convergence in distribution norms in the CLT for non identical distributed random variables
Electronic Journal of Probability | 2018-08-24 | Paper |
Convergence in distribution norms in the CLT for non identical distributed random variables
Electronic Journal of Probability | 2018-08-24 | Paper |
Convergence and regularity of probability laws by using an interpolation method
The Annals of Probability | 2017-10-24 | Paper |
Convergence and regularity of probability laws by using an interpolation method
The Annals of Probability | 2017-10-24 | Paper |
Regularity of Wiener functionals under a Hörmander type condition of order one
The Annals of Probability | 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
Bernoulli | 2016-07-14 | Paper |
Asymptotic development for the CLT in total variation distance
Bernoulli | 2016-07-14 | Paper |
| An Invariance Principle for Stochastic Series II. Non Gaussian Limits | 2016-07-13 | Paper |
Regularity of probability laws by using an interpolation method
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Integration by parts formulas and the Riesz transform
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Construction of integration by parts formulas
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
On sharp large deviations for the bridge of a general diffusion
Lecture Notes in Mathematics | 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
Methodology and Computing in Applied Probability | 2015-07-31 | Paper |
On the distances between probability density functions
Electronic Journal of Probability | 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
Potential Analysis | 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
Statistics & Probability Letters | 2011-07-26 | Paper |
Riesz transform and integration by parts formulas for random variables
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Large deviation estimates of the crossing probability for pinned Gaussian processes
Advances in Applied Probability | 2008-08-05 | Paper |
A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
Decisions in Economics and Finance | 2007-05-24 | Paper |
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
Monte Carlo Methods and Applications | 2005-09-12 | Paper |
Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
The Annals of Applied Probability | 2003-05-06 | Paper |
Law of the iterated logarithm for random walks on nilpotent groups
Bernoulli | 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
Monte Carlo Methods and Applications | 2003-03-20 | Paper |
Large and moderate deviations for random walks on nilpotent groups
Journal of Theoretical Probability | 2002-02-24 | Paper |
Pricing general barrier options: a numerical approach using sharp large deviations
Mathematical Finance | 2001-11-26 | Paper |
| scientific article; zbMATH DE number 1390103 (Why is no real title available?) | 2000-06-14 | Paper |
scientific article; zbMATH DE number 1139813 (Why is no real title available?)
Open Systems & Information Dynamics | 2000-03-13 | Paper |
Some remarks on a Markov chain modelling cooperative biological systems
Open Systems & Information Dynamics | 2000-01-24 | Paper |
Strassen's law of the iterated logarithm for diffusion processes for small time
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Diffusion approximations for random walks on nilpotent Lie groups
Statistics & Probability Letters | 1999-11-11 | Paper |
WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survival functions
Journal of Multivariate Analysis | 1996-06-16 | Paper |
Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts
(available as arXiv preprint) | N/A | Paper |
