| Publication | Date of Publication | Type |
|---|
Strong solutions of fractional Brownian sheet-driven stochastic differential equations with integrable drift
Journal of Theoretical Probability | 2025-12-19 | Paper |
On the valuation of life insurance policies for dependent coupled lives
Scandinavian Actuarial Journal | 2025-11-06 | Paper |
Smoothness of solutions of hyperbolic stochastic partial differential equations with \(L^{\infty}\)-vector fields
Mathematische Annalen | 2025-11-03 | Paper |
Optimal premium policy of an insurance firm with delay and stochastic interest rate
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Book review of: M. V. Wüthrich and M. Merz, Statistical foundations of actuarial learning and its applications
SIAM Review | 2025-08-21 | Paper |
Correction to: ``Stochastic extinction and persistence of a heterogeneous epidemiological model''
Journal of Applied Mathematics and Computing | 2025-08-12 | Paper |
Stochastic extinction and persistence of a heterogeneous epidemiological model
Journal of Applied Mathematics and Computing | 2025-05-06 | Paper |
Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
Bernoulli | 2024-11-12 | Paper |
Differentiability of quadratic forward-backward SDEs with rough drift
The Annals of Applied Probability | 2024-10-16 | Paper |
Modeling and simulation of the input–output behavior of a geothermal energy storage
Mathematical Methods in the Applied Sciences | 2024-03-21 | Paper |
| Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts | 2024-02-05 | Paper |
Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
(available as arXiv preprint) | 2024-02-05 | Paper |
Optimization of Wi-Fi direct average time to discovery: a global channel randomization approach
Optimization and Engineering | 2023-09-18 | Paper |
| Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts | 2023-09-14 | Paper |
| Existence of strong solutions of fractional Brownian sheet driven SDEs with integrable drift | 2023-07-18 | Paper |
Maximum principle for stochastic control of SDEs with measurable drifts
Journal of Optimization Theory and Applications | 2023-07-07 | Paper |
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
Quantitative Finance | 2023-06-20 | Paper |
Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift
Stochastic Analysis and Applications | 2023-05-15 | Paper |
| Smoothness of solutions of hyperbolic stochastic partial differential equations with $L^{\infty}$-vector fields | 2022-12-16 | Paper |
An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
Journal of Computational and Applied Mathematics | 2022-11-09 | Paper |
| Differentiability of quadratic forward-backward SDEs with rough drift | 2022-10-11 | Paper |
| Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure | 2022-10-10 | Paper |
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
(available as arXiv preprint) | 2022-10-10 | Paper |
Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
Electronic Journal of Probability | 2022-10-04 | Paper |
Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
Electronic Journal of Probability | 2022-10-04 | Paper |
Global stability dynamics and sensitivity assessment of COVID-19 with timely-delayed diagnosis in Ghana
Computational and Mathematical Biophysics | 2022-08-01 | Paper |
A class of quadratic forward-backward stochastic differential equations
Journal of Mathematical Analysis and Applications | 2022-06-20 | Paper |
A stochastic delay model for pricing debt and loan guarantees: theoretical results
(available as arXiv preprint) | 2022-03-17 | Paper |
Strong solutions of forward-backward stochastic differential equations with measurable coefficients
Stochastic Processes and their Applications | 2022-01-17 | Paper |
Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
(available as arXiv preprint) | 2021-12-01 | Paper |
| Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths | 2021-12-01 | Paper |
| Short-Term Behavior of a Geothermal Energy Storage: Modeling and Theoretical Results | 2021-04-11 | Paper |
| Short-Term Behavior of a Geothermal Energy Storage: Numerical Applications | 2021-04-11 | Paper |
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
(available as arXiv preprint) | 2020-09-08 | Paper |
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
SIAM Journal on Mathematical Analysis | 2019-10-23 | Paper |
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Journal of Theoretical Probability | 2019-10-22 | Paper |
Flows for singular stochastic differential equations with unbounded drifts
Journal of Functional Analysis | 2019-06-25 | Paper |
Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
Methodology and Computing in Applied Probability | 2019-04-26 | Paper |
The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
Stochastic Analysis and Applications | 2019-02-18 | Paper |
A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
ESAIM: Control, Optimisation and Calculus of Variations | 2018-12-21 | Paper |
On the price of risk under a regime switching CGMY process
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
A maximum principle for controlled stochastic factor model
ESAIM: Control, Optimisation and Calculus of Variations | 2018-11-07 | Paper |
On some applications of Sobolev flows of SDEs with unbounded drift coefficients
Statistics & Probability Letters | 2018-07-27 | Paper |
| Viscosity Solution for Optimal Stopping Problems of Feller Processes | 2018-03-10 | Paper |
Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
Journal of Optimization Theory and Applications | 2017-12-15 | Paper |
A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Mathematical Methods of Operations Research | 2017-10-09 | Paper |
On the optimal investment
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
International Journal of Theoretical and Applied Finance | 2017-07-26 | Paper |
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
Stochastic Processes and their Applications | 2017-06-30 | Paper |
| scientific article; zbMATH DE number 6692334 (Why is no real title available?) | 2017-03-06 | Paper |
Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
Journal of Optimization Theory and Applications | 2016-03-29 | Paper |
A general theorem for portfolio generating functions
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Non-linear time-advanced backward stochastic partial differential equations with jumps
Stochastic Analysis and Applications | 2015-10-23 | Paper |
Local risk-minimization under Markov-modulated exponential Lévy model
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
Journal of Mathematical Analysis and Applications | 2014-10-07 | Paper |
Stochastic differential games in insider markets via Malliavin calculus
Journal of Optimization Theory and Applications | 2014-07-04 | Paper |
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Stochastics | 2014-04-25 | Paper |
A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
Mathematische Annalen | 2013-11-18 | Paper |
A general maximum principle for anticipative stochastic control and applications to insider trading
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Uniqueness of decompositions of Skorohod-semimartingales
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2011-05-04 | Paper |
Decomposition of order statistics of semimartingales using local times
Stochastic Analysis and Applications | 2010-07-20 | Paper |
Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time
(available as arXiv preprint) | N/A | Paper |
