| Publication | Date of Publication | Type |
|---|
Functional Limit Theorems for Hawkes Processes
(available as arXiv preprint) | N/A | Paper |
Mean-field limits for nearly unstable Hawkes processes
Electronic Journal of Probability | 2026-07-29 | Paper |
Functional limit theorems for Hawkes processes
Probability Theory and Related Fields | 2026-03-03 | Paper |
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
(available as arXiv preprint) | 2026-01-01 | Paper |
Large Excursions of Reflected Lévy Processes: Local Asymptotics
(available as arXiv preprint) | 2026-01-01 | Paper |
Second-order regular variation and second-order approximation of Hawkes processes
Journal of Mathematical Analysis and Applications | 2025-06-10 | Paper |
Diffusion approximations for self-excited systems with applications to general branching processes
The Annals of Applied Probability | 2024-08-22 | Paper |
Stochastic Volterra equations for the local times of spectrally positive stable processes
The Annals of Applied Probability | 2024-08-22 | Paper |
Stochastic Volterra Equations for Local Times of Spectrally Positive Levy Processes with Gaussian Components
(available as arXiv preprint) | 2024-01-01 | Paper |
Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
(available as arXiv preprint) | 2024-01-01 | Paper |
| Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility | 2023-12-14 | Paper |
| Second-Order Regular Variation and Second-Order Approximation of Hawkes Processes | 2023-11-05 | Paper |
The microstructure of stochastic volatility models with self-exciting jump dynamics
The Annals of Applied Probability | 2022-12-20 | Paper |
Joint angle and frequency estimation in linear arrays based on covariance reconstruction and ESPRIT
Mathematical Problems in Engineering | 2022-01-25 | Paper |
Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
Bernoulli | 2021-09-10 | Paper |
Functional limit theorems for marked Hawkes point measures
Stochastic Processes and their Applications | 2021-04-27 | Paper |
Asymptotic Results for Rough Continuous-state Branching Processes
(available as arXiv preprint) | 2021-01-01 | Paper |
A scaling limit for limit order books driven by Hawkes processes
SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
Functional Limit Theorems for Marked Hawkes Point Measures
(available as arXiv preprint) | 2019-01-01 | Paper |
Continuous-state branching processes in Lévy random environments
Journal of Theoretical Probability | 2018-10-24 | Paper |
Asymptotic results for exponential functionals of Lévy processes
Stochastic Processes and their Applications | 2017-12-01 | Paper |
Backward doubly stochastic equations with jumps and comparison theorems
Journal of Mathematical Analysis and Applications | 2016-06-20 | Paper |
Asymptotic results for exponential functionals of Levy processes
(available as arXiv preprint) | 2016-01-01 | Paper |
Parameter estimation in two-type continuous-state branching processes with immigration
Statistics & Probability Letters | 2014-06-12 | Paper |
Nonparametric Estimation for Jump-Diffusion CIR Model
(available as arXiv preprint) | 2013-01-01 | Paper |
