| Publication | Date of Publication | Type |
|---|
Estimation of a pure-jump stable Cox-Ingersoll-Ross process
Bernoulli | 2024-11-05 | Paper |
Hellinger and total variation distance in approximating Lévy driven SDEs
The Annals of Applied Probability | 2023-06-05 | Paper |
Joint estimation for SDE driven by locally stable Lévy processes
Electronic Journal of Statistics | 2020-08-17 | Paper |
Estimating functions for SDE driven by stable Lévy processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-11-20 | Paper |
Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient
The Annals of Applied Probability | 2017-11-07 | Paper |
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
Monte Carlo Methods and Applications | 2016-09-06 | Paper |
| Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case | 2016-05-26 | Paper |
| Asymptotics for the normalized error of the Ninomiya-Victoir scheme | 2016-01-20 | Paper |
Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
Stochastic Processes and their Applications | 2015-04-28 | Paper |
Asymptotic lower bounds in estimating jumps
Bernoulli | 2014-08-08 | Paper |
Asymptotic lower bounds in estimating jumps
Bernoulli | 2014-08-08 | Paper |
An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Morphodynamics during air injection into a confined granular suspension
Journal of Non-Newtonian Fluid Mechanics | 2013-11-06 | Paper |
Integration by parts formula and applications to equations with jumps
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Integration by parts formula with respect to jump times for stochastic differential equations
Stochastic Analysis 2010 | 2011-07-13 | Paper |
Limit theorems in the Fourier transform method for the estimation of multivariate volatility
Stochastic Processes and their Applications | 2011-06-15 | Paper |
A duality approach for the weak approximation of stochastic differential equations
The Annals of Applied Probability | 2007-02-05 | Paper |
An analysis of a least squares regression method for American option pricing
Finance and Stochastics | 2004-03-16 | Paper |
Pseudo-moderate deviations in the euler method for real diffusion process
Stochastics and Stochastic Reports | 2002-08-08 | Paper |
| scientific article; zbMATH DE number 1383856 (Why is no real title available?) | 2000-07-18 | Paper |
Estimation of Diffusion Processes by Simulated Moment Methods
Scandinavian Journal of Statistics | 1998-06-08 | Paper |
| scientific article; zbMATH DE number 878596 (Why is no real title available?) | 1996-07-14 | Paper |
Estimation of a pure-jump stable Cox-Ingersoll-Ross process
(available as arXiv preprint) | N/A | Paper |
