| Publication | Date of Publication | Type |
|---|
A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
Stochastic Analysis and Applications | 2025-01-22 | Paper |
Matthieu Dolbeault is the winner of the 2024 Joseph F. Traub information-based complexity Young researcher award
Journal of Complexity | 2024-12-06 | Paper |
Stochastic differential equations with irregular coefficients: mind the gap!
Internationale Mathematische Nachrichten | 2024-10-22 | Paper |
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
BIT | 2024-10-14 | Paper |
Numerical methods for SDEs with drift discontinuous on a set of positive reach
Internationale Mathematische Nachrichten | 2024-08-14 | Paper |
Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
Journal of Computational and Applied Mathematics | 2024-04-09 | Paper |
Kateryna Pozharska is the winner of the 2023 Joseph F. Traub information-based complexity young researcher award
Journal of Complexity | 2024-02-05 | Paper |
| Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift | 2023-03-10 | Paper |
Information-based complexity young researcher award
Journal of Complexity | 2023-02-17 | Paper |
| A higher order approximation method for jump-diffusion SDEs with discontinuous drift coefficient | 2022-11-16 | Paper |
The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
IMA Journal of Numerical Analysis | 2022-05-17 | Paper |
| A Skorohod measurable universal functional representation of solutions to semimartingale SDEs | 2022-01-17 | Paper |
Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
Statistics & Probability Letters | 2021-11-12 | Paper |
Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
Applied Mathematics and Computation | 2021-11-10 | Paper |
| Stochastic differential equations with irregular coefficients:~mind the gap! | 2021-04-23 | Paper |
Optimal liquidation under partial information with price impact
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
(available as arXiv preprint) | 2019-12-09 | Paper |
Approximation methods for piecewise deterministic Markov processes and their costs
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem
(available as arXiv preprint) | 2019-04-16 | Paper |
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
SIAM Journal on Numerical Analysis | 2019-02-20 | Paper |
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
Numerische Mathematik | 2018-01-26 | Paper |
Utility indifference pricing of insurance catastrophe derivatives
European Actuarial Journal | 2018-01-12 | Paper |
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
The Annals of Applied Probability | 2017-11-07 | Paper |
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
The Annals of Applied Probability | 2017-11-07 | Paper |
| Numerical methods for SDEs with drift discontinuous on a set of positive reach | 2017-08-21 | Paper |
Optimal control of an energy storage facility under a changing economic environment and partial information
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Dividend maximization in a hidden Markov switching model
Statistics & Risk Modeling | 2016-06-09 | Paper |
A numerical method for SDEs with discontinuous drift
BIT | 2016-05-19 | Paper |
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
Electronic Communications in Probability | 2015-02-03 | Paper |
Bayesian dividend optimization and finite time ruin probabilities
Stochastic Models | 2014-06-25 | Paper |
Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift
(available as arXiv preprint) | N/A | Paper |
Bicausal optimal transport for SDEs with irregular coefficients
(available as arXiv preprint) | N/A | Paper |
