| Publication | Date of Publication | Type |
|---|
Weak Approximation for a Black-Scholes Type Regime Switching Model
Applied Mathematical Finance | 2025-01-27 | Paper |
Joint density of the stable process and its supremum: regularity and upper bounds
Bernoulli | 2024-11-12 | Paper |
On some asymptotic expansions of skew diffusions
| 2024-10-31 | Paper |
Integration by parts formula for exit times of one dimensional diffusions
| 2024-10-01 | Paper |
Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
Journal of Mathematical Analysis and Applications | 2024-05-23 | Paper |
A Stochastic Interpretation of the Parametrix Method
Ukrainian Mathematical Journal | 2024-05-02 | Paper |
A probabilistic representation of the derivative of a one dimensional killed diffusion semigroup and associated Bismut-Elworthy-Li formula
| 2023-12-12 | Paper |
Integration by parts formula for exit times of one dimensional diffusions
| 2023-10-11 | Paper |
Small time chaos approximations for heat kernels of multidimensional diffusions
BIT | 2023-02-16 | Paper |
Simulation of reflected Brownian motion on two dimensional wedges
Stochastic Processes and their Applications | 2023-01-02 | Paper |
Using moment approximations to study the density of jump driven SDEs
Electronic Journal of Probability | 2022-06-13 | Paper |
Density estimates for jump diffusion processes
Applied Mathematics and Computation | 2022-03-03 | Paper |
Large time asymptotic properties of the stochastic heat equation
Journal of Theoretical Probability | 2021-07-26 | Paper |
Density estimates for jump diffusion processes
| 2021-04-25 | Paper |
Improved local approximation for multidimensional diffusions: The G-rates
Theory of Probability and Mathematical Statistics | 2021-01-08 | Paper |
Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
Stochastic Processes and their Applications | 2020-09-02 | Paper |
Joint density of a stable process and its supremum: regularity and upper bounds
| 2020-08-04 | Paper |
Asymptotic properties of the stochastic heat equation in large times
| 2019-09-23 | Paper |
Integration by parts formula for killed processes: a point of view from approximation theory
Electronic Journal of Probability | 2019-09-19 | Paper |
Jump SDEs and the study of their densities. A self-study book
Universitext | 2019-09-03 | Paper |
Tuning of a Bayesian estimator under discrete time observations and unknown transition density
| 2019-06-19 | Paper |
Stochastic formulations of the parametrix method
ESAIM: Probability and Statistics | 2019-01-28 | Paper |
Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
Inspired by Finance | 2018-12-13 | Paper |
Parametrix methods for one-dimensional reflected SDEs
| 2018-03-08 | Paper |
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
Journal of Computational and Applied Mathematics | 2017-08-01 | Paper |
LAN property for an ergodic diffusion with jumps
Statistics | 2017-07-20 | Paper |
Unbiased simulation of stochastic differential equations using parametrix expansions
Bernoulli | 2017-05-11 | Paper |
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients
Stochastic Analysis and Applications | 2016-10-28 | Paper |
On the first hitting times of one dimensional elliptic diffusions
| 2016-09-29 | Paper |
The parametrix method for skew diffusions
Potential Analysis | 2016-09-06 | Paper |
Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
The Annals of Probability | 2016-04-21 | Paper |
A short course on weak approximations for Lévy driven SDE's
Stochastic Analysis: A Series of Lectures | 2016-02-09 | Paper |
A probabilistic interpretation of the parametrix method
The Annals of Applied Probability | 2015-11-24 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Electronic Journal of Probability | 2015-08-07 | Paper |
LAN property for a simple Lévy process
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2014-11-04 | Paper |
Optimal simulation schemes for Lévy driven stochastic differential equations
Mathematics of Computation | 2014-09-10 | Paper |
Approximations of non-smooth integral type functionals of one dimensional diffusion processes
Stochastic Processes and their Applications | 2014-08-27 | Paper |
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
The Annals of Applied Probability | 2014-06-13 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
| 2014-05-27 | Paper |
Erratum
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Weak Approximations for SDE’s Driven by Lévy Processes
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients
Journal of Theoretical Probability | 2014-02-18 | Paper |
A market model with medium/long-term effects due to an insider
Quantitative Finance | 2014-02-08 | Paper |
An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
Estimates for the density of functionals of SDEs with irregular drift
Stochastic Processes and their Applications | 2013-04-22 | Paper |
Smoothness of the distribution of the supremum of a multi-dimensional diffusion process
Potential Analysis | 2013-02-15 | Paper |
A review of recent results on approximation of solutions of stochastic differential equations
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Strong consistency of Bayesian estimator under discrete observations and unknown transition density
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Statistical inference and Malliavin calculus
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2012-08-20 | Paper |
Insider models with finite utility in markets with jumps
Applied Mathematics and Optimization | 2011-11-30 | Paper |
Modeling of financial markets with inside information in continuous time
Stochastics and Dynamics | 2011-10-11 | Paper |
Jump-adapted discretization schemes for Lévy-driven SDEs
Stochastic Processes and their Applications | 2010-11-19 | Paper |
Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Applied Mathematical Finance | 2010-09-21 | Paper |
Weak Kyle-Back equilibrium models for Max and ArgMax
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Lower bounds for densities of Asian type stochastic differential equations
Journal of Functional Analysis | 2010-05-17 | Paper |
Estimating multidimensional density functions using the Malliavin-Thalmaier formula
SIAM Journal on Numerical Analysis | 2010-05-11 | Paper |
An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
The Annals of Applied Probability | 2009-07-17 | Paper |
Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
An optimal control variance reduction method for density estimation
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Enlargement of filtrations with random times for processes with jumps
Stochastic Processes and their Applications | 2008-08-22 | Paper |
Estimating multidimensional density functions for random variables in Wiener space
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2008-03-20 | Paper |
Insider problems for markets driven by Lévy processes
| 2008-02-11 | Paper |
Models for Insider Trading with Finite Utility
Paris-Princeton Lectures on Mathematical Finance 2004 | 2008-01-14 | Paper |
A duality approach for the weak approximation of stochastic differential equations
The Annals of Applied Probability | 2007-02-05 | Paper |
A Large Trader-Insider Model
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
Mathematical Finance | 2006-06-12 | Paper |
Projection scheme for a reflected stochastic heat equation with additive noise
| 2006-03-16 | Paper |
scientific article; zbMATH DE number 5010396 (Why is no real title available?)
| 2006-03-09 | Paper |
Additional utility of insiders with imperfect dynamical information
Finance and Stochastics | 2005-05-20 | Paper |
Densities of one-dimensional backward SDEs
Potential Analysis | 2005-04-28 | Paper |
scientific article; zbMATH DE number 2159345 (Why is no real title available?)
| 2005-04-19 | Paper |
Computation of Greeks for barrier and look-back options using Malliavin calculus
Electronic Communications in Probability | 2005-03-14 | Paper |
A BPE model for the Burgers equation
Publications of the Research Institute for Mathematical Sciences, Kyoto University | 2004-11-05 | Paper |
On moments and tail behaviors of storage processes
Journal of Applied Probability | 2004-09-27 | Paper |
scientific article; zbMATH DE number 2034521 (Why is no real title available?)
| 2004-01-28 | Paper |
Lower bounds for densities of uniformly elliptic random variables on Wiener space
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2003-08-14 | Paper |
Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
The Annals of Applied Probability | 2003-05-06 | Paper |
Malliavin calculus applied to finance
Physica A | 2003-02-19 | Paper |
Variance Reduction Methods for Simulation of Densities on Wiener Space
SIAM Journal on Numerical Analysis | 2003-01-05 | Paper |
Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Mathematical Finance | 2003-01-01 | Paper |
Local Vega Index and Variance Reduction Methods
Mathematical Finance | 2003-01-01 | Paper |
Stratonovich type SDE's with normal reflection driven by semimartingales
Sankhyā. Series A. Methods and Techniques | 2002-10-15 | Paper |
scientific article; zbMATH DE number 1789173 (Why is no real title available?)
| 2002-08-26 | Paper |
Asymptotic behavior of the density in a parabolic SPDE
Journal of Theoretical Probability | 2002-08-14 | Paper |
Logarithmic estimates for the density of hypoelliptic two-parameter diffusions
Journal of Functional Analysis | 2002-07-08 | Paper |
On the simulation of some functionals of diffusion processes
RIMS Kokyuroku | 2001-03-21 | Paper |
Weak approximations. A Malliavin calculus approach
Mathematics of Computation | 2000-11-22 | Paper |
Filtration stability of backward sde's
Stochastic Analysis and Applications | 2000-03-23 | Paper |
Anticipating stochastic differential equations of Stratonovich type
Applied Mathematics and Optimization | 1999-01-18 | Paper |
High order Itô-Taylor approximations to heat kernels
Journal of Mathematics of Kyoto University | 1998-11-11 | Paper |
Stochastic differential equations with random coefficients
Bernoulli | 1998-04-01 | Paper |
Weak rate of convergence for an Euler scheme of nonlinear SDE’s
Monte Carlo Methods and Applications | 1998-02-25 | Paper |
Existence and regularity of density for solutions to stochastic differential equations with boundary conditions
Stochastics and Stochastic Reports | 1997-11-26 | Paper |
scientific article; zbMATH DE number 970664 (Why is no real title available?)
| 1997-09-01 | Paper |
The euler scheme for anticipating stochastic differential equations
Stochastics and Stochastic Reports | 1997-02-24 | Paper |
Strong approximations for stochastic differential equations with boundary conditions
Stochastic Processes and their Applications | 1996-08-05 | Paper |
scientific article; zbMATH DE number 721927 (Why is no real title available?)
| 1995-02-13 | Paper |
Weak convergence of infinite order U-processes
Statistics & Probability Letters | 1992-06-27 | Paper |
Weak convergence of a sequence of stochastic processes related with U- statistics
Osaka Journal of Mathematics | 1990-01-01 | Paper |
Probabilistic representation of the gradient of a killed diffusion semigroup: The half-space case
| N/A | Paper |
