| Publication | Date of Publication | Type |
|---|
On the chaotic expansion for counting processes
Electronic Journal of Probability | 2024-10-16 | Paper |
Normal approximation of compound Hawkes functionals
Journal of Theoretical Probability | 2024-04-02 | Paper |
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Stochastic Processes and their Applications | 2023-05-17 | Paper |
| Explicit correlations for the Hawkes processes | 2023-04-05 | Paper |
| The Malliavin-Stein method for Hawkes functionals | 2023-01-09 | Paper |
The Malliavin-Stein method for Hawkes functionals
(available as arXiv preprint) | 2023-01-09 | 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 |
| On the chaotic expansion for counting processes | 2022-09-05 | Paper |
| The It{\^o}-Tanaka Trick: a non-semimartingale approach | 2022-08-02 | Paper |
The It{\^o}-Tanaka Trick: a non-semimartingale approach
(available as arXiv preprint) | 2022-08-02 | Paper |
On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion
Annales Henri Lebesgue | 2022-05-10 | Paper |
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
(available as arXiv preprint) | 2020-09-08 | Paper |
Pricing formulae for derivatives in insurance using Malliavin calculus
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
| Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{\"o}lder inequality | 2018-09-19 | Paper |
| On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for the white noise dispersion | 2017-11-20 | Paper |
Likelihood Ratios and Inference for Poisson Channels
IEEE Transactions on Information Theory | 2017-06-08 | Paper |
On the Malliavin differentiability of BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-04-06 | Paper |
On the Malliavin differentiability of BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-04-06 | Paper |
Stochastic regularization effects of semi-martingales on random functions
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2016-11-03 | Paper |
Density analysis of BSDEs
The Annals of Probability | 2016-09-30 | Paper |
Density analysis of BSDEs
The Annals of Probability | 2016-09-30 | Paper |
Functional limit theorems for generalized variations of the fractional Brownian sheet
Bernoulli | 2016-05-12 | Paper |
Functional limit theorems for generalized variations of the fractional Brownian sheet
Bernoulli | 2016-05-12 | Paper |
Utility maximization with random horizon: a BSDE approach
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
A note on the Malliavin-Sobolev spaces
Statistics & Probability Letters | 2015-12-30 | Paper |
A note on BSDEs with singular driver coefficients
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
BSDEs with weak terminal condition
The Annals of Probability | 2015-03-27 | Paper |
BSDEs with weak terminal condition
The Annals of Probability | 2015-03-27 | Paper |
Risk measures for processes and BSDEs
Finance and Stochastics | 2015-01-19 | Paper |
Forward-backward systems for expected utility maximization
Stochastic Processes and their Applications | 2014-08-27 | Paper |
SURE shrinkage of Gaussian paths and signal identification
ESAIM: Probability and Statistics | 2013-04-25 | Paper |
Hermite variations of the fractional Brownian sheet
Stochastics and Dynamics | 2012-08-27 | Paper |
Differentiability of quadratic BSDEs generated by continuous martingales
The Annals of Applied Probability | 2012-04-20 | Paper |
Differentiability of quadratic BSDEs generated by continuous martingales
The Annals of Applied Probability | 2012-04-20 | Paper |
On the orthogonal component of BSDEs in a Markovian setting
Statistics & Probability Letters | 2011-12-28 | Paper |
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
Electronic Journal of Probability | 2011-09-09 | Paper |
The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
Electronic Journal of Probability | 2011-09-09 | Paper |
| Weak martingale representation for continuous Markov processes and application to quadratic growth BSDEs | 2011-08-19 | Paper |
FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
Stochastic Processes and their Applications | 2011-08-04 | Paper |
| CRRA Utility Maximization under Risk Constraints | 2011-06-09 | Paper |
Stein estimation of Poisson process intensities
Statistical Inference for Stochastic Processes | 2011-02-15 | Paper |
Multivariate normal approximation using Stein's method and Malliavin calculus
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2010-06-07 | Paper |
Multivariate normal approximation using Stein's method and Malliavin calculus
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2010-06-07 | Paper |
Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
The Annals of Probability | 2010-05-17 | Paper |
Estimation of quadratic variation for two-parameter diffusions
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
Stochastic Analysis and Applications | 2009-03-03 | Paper |
Stein estimation for the drift of Gaussian processes using the Malliavin calculus
The Annals of Statistics | 2008-11-18 | Paper |
| Stochastic analysis on Gaussian space applied to drift estimation | 2008-05-14 | Paper |
Superefficient drift estimation on the Wiener space
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
Poisson imbedding meets the Clark-Ocone formula
(available as arXiv preprint) | N/A | Paper |
