| Publication | Date of Publication | Type |
|---|
The exponential Lie series and a Chen-Strichartz formula for Lévy processes
Stochastic Processes and their Applications | 2026-07-22 | Paper |
The Exponential Lie Series and a Chen-Strichartz Formula for Levy Processes
(available as arXiv preprint) | 2024-01-01 | Paper |
Direct Inversion for the Squared Bessel Process and Applications
(available as arXiv preprint) | 2024-01-01 | Paper |
Applications of Grassmannian flows to coagulation equations
Physica D | 2023-06-13 | Paper |
Time evolution in quantum systems and stochastics
Quantum Theory and Symmetries | 2021-08-27 | Paper |
Series Expansions and Direct Inversion for the Heston Model
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Stochastic analysis \& discrete quantum systems
Nuclear Physics B | 2020-02-13 | Paper |
Algebraic structures and stochastic differential equations driven by Lévy processes
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2019-11-19 | Paper |
| Applications of Grassmannian flows to integrable systems | 2019-05-13 | Paper |
Applications of Grassmannian flows to integrable systems
(available as arXiv preprint) | 2019-01-01 | Paper |
Algebraic structure of stochastic expansions and efficient simulation
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2017-09-29 | Paper |
The exponential Lie series for continuous semimartingales
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2017-09-29 | Paper |
Lévy processes and quasi-shuffle algebras
Stochastics | 2016-06-10 | Paper |
Flows and stochastic Taylor series in Itô calculus
Journal of Physics A: Mathematical and Theoretical | 2016-01-15 | Paper |
Efficient almost-exact Lévy area sampling
Statistics & Probability Letters | 2014-06-11 | Paper |
Chi-square simulation of the CIR process and the Heston model
International Journal of Theoretical and Applied Finance | 2013-07-24 | Paper |
Stochastic expansions and Hopf algebras
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-10-02 | Paper |
| An introduction to SDE simulation | 2010-04-05 | Paper |
Efficient strong integrators for linear stochastic systems
SIAM Journal on Numerical Analysis | 2010-01-06 | Paper |
An introduction to SDE simulation
(available as arXiv preprint) | 2010-01-01 | Paper |
Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis
ASTIN Bulletin | 2009-06-25 | Paper |
Stochastic Lie Group Integrators
SIAM Journal on Scientific Computing | 2009-03-27 | Paper |
