| Publication | Date of Publication | Type |
|---|
Kernel-based Sensitivity Analysis for (Excursion) Sets
Technometrics | 2024-11-13 | Paper |
A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations
Statistical Inference for Stochastic Processes | 2024-04-29 | Paper |
A sampling criterion for constrained Bayesian optimization with uncertainties
The SMAI journal of computational mathematics | 2024-04-09 | Paper |
Gaussian Process Regression on Nested Spaces
SIAM/ASA Journal on Uncertainty Quantification | 2023-06-30 | Paper |
First passage time density of an Ornstein-Uhlenbeck process with broken drift
Stochastic Models | 2022-04-22 | Paper |
| Coupling and selecting constraints in Bayesian optimization under uncertainties | 2022-04-01 | Paper |
Gambling for resurrection and the heat equation on a triangle
Applied Mathematics and Optimization | 2021-10-19 | Paper |
Enlargement of Filtration in Discrete Time
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
Joint law of an Ornstein-Uhlenbeck process and its supremum
Journal of Applied Probability | 2020-07-22 | Paper |
Last minute panic in zero sum games
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
Four algorithms to construct a sparse kriging kernel for dimensionality reduction
Computational Statistics | 2020-01-08 | Paper |
A model-point approach to indifference pricing of life insurance portfolios with dependent lives
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
Successive enlargement of filtrations and application to insider information
Advances in Applied Probability | 2019-09-16 | Paper |
The de Vylder-Goovaerts conjecture holds within the diffusion limit
Journal of Applied Probability | 2019-07-31 | Paper |
Controlling the occupation time of an exponential martingale
Applied Mathematics and Optimization | 2017-11-17 | Paper |
| Risk assessment using suprema data | 2017-10-12 | Paper |
Optimal portfolio liquidation with additional information
Mathematics and Financial Economics | 2016-03-08 | Paper |
Max-min optimization problem for variable annuities pricing
International Journal of Theoretical and Applied Finance | 2016-02-03 | Paper |
The density of a passage time for a renewal-reward process perturbed by a diffusion
Applied Mathematics Letters | 2012-11-15 | Paper |
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
International Journal of Theoretical and Applied Finance | 2011-01-13 | Paper |
| Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs | 2010-01-13 | Paper |
Dynamic asset pricing theory with uncertain time-horizon
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
| Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon | 2008-11-25 | Paper |
Optimal investment decisions when time-horizon is uncertain
Journal of Mathematical Economics | 2008-11-13 | Paper |
| Counterparty risk valuation for CDS | 2008-07-02 | Paper |
| Technical analysis techniques versus mathematical models: boundaries of their validity domains | 2006-08-28 | Paper |
Hazard rate for credit risk and hedging defaultable contingent claims
Finance and Stochastics | 2004-11-24 | Paper |
Kernel-based sensitivity analysis for (excursion) sets
(available as arXiv preprint) | N/A | Paper |
