Anthony Réveillac

Available identifiers

zbMath Open reveillac.anthonyMaRDI QIDQ282555

List of research outcomes

Publication	Date of Publication	Type
Normal approximation of compound Hawkes functionals	2024-04-02	Paper
An expansion formula for Hawkes processes and application to cyber-insurance derivatives	2023-05-17	Paper
The Malliavin-Stein method for Hawkes functionals	2023-01-09	Paper
https://portal.mardi4nfdi.de/entity/Q5039933	2022-10-10	Paper
The It{\^o}-Tanaka Trick: a non-semimartingale approach	2022-08-02	Paper
On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion	2022-05-10	Paper
Pricing formulae for derivatives in insurance using Malliavin calculus	2020-02-17	Paper
Likelihood Ratios and Inference for Poisson Channels	2017-06-08	Paper
On the Malliavin differentiability of BSDEs	2017-04-06	Paper
Stochastic regularization effects of semi-martingales on random functions	2016-11-03	Paper
Density analysis of BSDEs	2016-09-30	Paper
Functional limit theorems for generalized variations of the fractional Brownian sheet	2016-05-12	Paper
UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH	2016-01-08	Paper
A note on the Malliavin-Sobolev spaces	2015-12-30	Paper
A Note on BSDEs with Singular Driver Coefficients	2015-10-21	Paper
BSDEs with weak terminal condition	2015-03-27	Paper
Risk measures for processes and BSDEs	2015-01-19	Paper
Forward-backward systems for expected utility maximization	2014-08-27	Paper
SURE shrinkage of Gaussian paths and signal identification	2013-04-25	Paper
HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET	2012-08-27	Paper
Differentiability of quadratic BSDEs generated by continuous martingales	2012-04-20	Paper
On the orthogonal component of BSDEs in a Markovian setting	2011-12-28	Paper
SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION	2011-10-24	Paper
The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6	2011-09-09	Paper
FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity	2011-08-04	Paper
Stein estimation of Poisson process intensities	2011-02-15	Paper
Multivariate normal approximation using Stein's method and Malliavin calculus	2010-06-07	Paper
Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)	2010-05-17	Paper
Estimation of quadratic variation for two-parameter diffusions	2009-05-06	Paper
Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets	2009-03-03	Paper
Stein estimation for the drift of Gaussian processes using the Malliavin calculus	2008-11-18	Paper
Superefficient drift estimation on the Wiener space	2006-12-14	Paper

Research outcomes over time

Doctoral students

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