| Publication | Date of Publication | Type |
|---|
| Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization | 2025-01-27 | Paper |
| A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes | 2024-12-03 | Paper |
| Unbiased density computation for stochastic resetting | 2024-07-16 | Paper |
| Time-squeezing and time-expanding transformations in harmonic force fields | 2024-06-17 | Paper |
| Sampling and change of measure for Monte Carlo integration on simplices | 2024-02-21 | Paper |
| Batching Adaptive Variance Reduction | 2023-07-26 | Paper |
| Iterative weak approximation and hard bounds for switching diffusion | 2023-06-05 | Paper |
| Numerical methods for backward stochastic differential equations: a survey | 2023-05-31 | Paper |
| Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata | 2023-05-04 | Paper |
| The Gerber-Shiu discounted penalty function: a review from practical perspectives | 2023-02-22 | Paper |
| Asymptotic degeneracy and subdiffusivity | 2023-01-10 | Paper |
| Optimal statistical inference for subdiffusion processes | 2022-11-25 | Paper |
| Moment and polynomial bounds for ruin-related quantities in risk theory | 2022-06-08 | Paper |
| Super- and subdiffusive positions in fractional Klein-Kramers equations | 2022-03-03 | Paper |
| A decoupling principle for Markov-modulated chains | 2022-01-24 | Paper |
| A general approach to sample path generation of infinitely divisible processes via shot noise representation | 2021-11-12 | Paper |
| Numerical aspects of shot noise representation of infinitely divisible laws and related processes | 2021-09-08 | Paper |
| A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes | 2021-05-27 | Paper |
| Computable Primal and Dual Bounds for Stochastic Control | 2020-12-10 | Paper |
| Explicit hard bounding functions for boundary value problems for elliptic partial differential equations | 2020-10-11 | Paper |
| Anomalous spreading and misidentification of spatial random walk models | 2020-01-29 | Paper |
| Adaptive importance sampling and control variates | 2019-11-28 | Paper |
| Optimizing adaptive importance sampling by stochastic approximation | 2018-09-05 | Paper |
| Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata | 2018-04-16 | Paper |
| Smooth upper bounds for the price function of American style options | 2018-03-15 | Paper |
| Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes | 2017-10-04 | Paper |
| Acceleration on adaptive importance sampling with sample average approximation | 2017-09-01 | Paper |
| Cusping, transport and variance of solutions to generalized Fokker–Planck equations | 2017-08-03 | Paper |
| Multi-scale properties of random walk models of animal movement: lessons from statistical inference | 2017-06-07 | Paper |
| Sample path generation of Lévy-driven continuous-time autoregressive moving average processes | 2017-03-30 | Paper |
| Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws | 2017-03-16 | Paper |
| Higher order fractional stable motion: hyperdiffusion with heavy tails | 2017-01-12 | Paper |
| Nonnegative compartment dynamical system modelling with stochastic differential equations | 2016-12-02 | Paper |
| Measuring impact of random jumps without sample path generation | 2015-11-12 | Paper |
| Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation | 2015-10-20 | Paper |
| On the likelihood function of small time variance Gamma Lévy processes | 2015-07-20 | Paper |
| Likelihood ratio gradient estimation for Meixner distribution and Lévy processes | 2015-01-30 | Paper |
| Numerical inverse Lévy measure method for infinite shot noise series representation | 2014-06-06 | Paper |
| Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling | 2014-04-10 | Paper |
| Computation of Greeks for asset price dynamics driven by stable and tempered stable processes | 2014-02-20 | Paper |
| Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling | 2014-02-18 | Paper |
| On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws | 2013-07-31 | Paper |
| Fisher information for fractional Brownian motion under high-frequency discrete sampling | 2013-06-13 | Paper |
| On weak approximation of stochastic differential equations through hard bounds by mathematical programming | 2013-04-29 | Paper |
| A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization | 2013-02-11 | Paper |
| Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations | 2012-08-28 | Paper |
| Continuous-time modeling of random searches: statistical properties and inference | 2012-07-04 | Paper |
| On sequential calibration for an asset price model with piecewise Lévy processes | 2011-12-24 | Paper |
| Greeks formulas for an asset price model with gamma processes | 2011-11-21 | Paper |
| Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes | 2011-10-21 | Paper |
| Quasi-Monte Carlo method for infinitely divisible random vectors via series representations | 2011-05-17 | Paper |
| On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling | 2011-03-14 | Paper |
| An optimization approach to weak approximation of stochastic differential equations with jumps | 2011-03-14 | Paper |
| On simulation of tempered stable random variates | 2011-03-09 | Paper |
| On simulation of tempered stable random variates | 2011-02-01 | Paper |
| An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations | 2010-10-04 | Paper |
| Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion | 2010-09-21 | Paper |
| Optimal importance sampling parameter search for Lévy processes via stochastic approximation | 2010-03-24 | Paper |
| Sensitivity analysis for averaged asset price dynamics with gamma processes | 2009-12-10 | Paper |
| A multivariate Lévy process model with linear correlation | 2009-11-16 | Paper |
| SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL | 2009-07-14 | Paper |
| Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation | 2008-06-25 | Paper |
| Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation | 2007-10-24 | Paper |
| On layered stable processes | 2007-05-15 | Paper |
| On fractional tempered stable motion | 2006-10-05 | Paper |
| An importance sampling method based on the density transformation of Lévy processes | 2006-09-13 | Paper |
