| Publication | Date of Publication | Type |
|---|
On bivariate distributions of the local time of Itô-McKean diffusions
Bernoulli | 2024-01-16 | Paper |
Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
Stochastic Models | 2023-08-10 | Paper |
Construction and simulation of generalized multivariate Hawkes processes
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
| On Function of Evolution of Distribution for Time Homogeneous Markov Processes | 2022-06-19 | Paper |
Semimartingales and shrinkage of filtration
The Annals of Applied Probability | 2021-11-04 | Paper |
Semimartingales and shrinkage of filtration
The Annals of Applied Probability | 2021-11-04 | Paper |
A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
Bernoulli | 2021-07-09 | Paper |
Explicit solutions of Volterra integro-differential convolution equations
Journal of Differential Equations | 2021-06-18 | Paper |
Revisiting linear and lognormal stochastic volatility models
Banach Center Publications | 2021-05-20 | Paper |
A note on switching property for squared Bessel process
Lithuanian Mathematical Journal | 2021-05-11 | Paper |
Another look at the Hartman-Watson distributions
Potential Analysis | 2020-10-08 | Paper |
Volterra integral equations of the first kind and applications to linear diffusions
Transactions of the American Mathematical Society | 2020-10-01 | Paper |
| Structured dependence between stochastic processes | 2020-05-25 | Paper |
| Generalized Multivariate Hawkes Processes | 2020-04-28 | Paper |
Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
On functionals of excursions for Bessel processes with negative index
Studia Mathematica | 2019-02-01 | Paper |
Invariance formulas for stopping times of squared Bessel process
Stochastic Analysis and Applications | 2018-10-09 | Paper |
A simple proof of the martingale property in a semi-log-normal stochastic volatility model
Applicationes Mathematicae | 2018-07-27 | Paper |
Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
Lithuanian Mathematical Journal | 2018-05-31 | Paper |
A note on independence copula for conditional Markov chains
Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science | 2018-03-06 | Paper |
Feynman-Kac theorem in random environments and partial integro-differential equations
Journal of Mathematical Analysis and Applications | 2017-10-13 | Paper |
Conditional Markov chains: properties, construction and structured dependence
Stochastic Processes and their Applications | 2017-03-20 | Paper |
The Markov consistency of Archimedean survival processes
Journal of Applied Probability | 2016-08-11 | Paper |
Stochastic volatility models with volatility driven by fractional Brownian motions
Communications in Information and Systems | 2016-04-15 | Paper |
On matching diffusions, Laplace transforms and partial differential equations
Stochastic Processes and their Applications | 2015-08-21 | Paper |
Conditional Markov chains -- construction and properties
Banach Center Publications | 2015-07-28 | Paper |
On the distribution of verhulst process
Lithuanian Mathematical Journal | 2015-07-23 | Paper |
| Conditional Markov Chains Revisited Part I: Construction and properties | 2015-01-22 | Paper |
| Conditional Markov Chains Part II: Consistency and Copulae | 2015-01-22 | Paper |
Jump-diffusion processes in random environments
Journal of Differential Equations | 2014-07-10 | Paper |
On hyperbolic Bessel processes and beyond
Bernoulli | 2014-02-04 | Paper |
Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
Electronic Journal of Probability | 2014-01-17 | Paper |
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
Studia Mathematica | 2013-12-16 | Paper |
| Conditional version of the Donati-Martin and Yor formula and its applications | 2013-01-03 | Paper |
Study of dependence for some stochastic processes: symbolic Markov copulae
Stochastic Processes and their Applications | 2012-03-22 | Paper |
A class of \(\mathbb F\)-doubly stochastic Markov chains
Electronic Journal of Probability | 2011-09-09 | Paper |
Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
On incompleteness of bond markets with infinite number of random factors
Mathematical Finance | 2011-06-16 | Paper |
Defaultable bonds with an infinite number of Lévy factors
Applicationes Mathematicae | 2011-01-11 | Paper |
| Pricing bonds and CDS in the model with rating migration induced by a Cox process | 2008-11-04 | Paper |
Study of Dependence for Some Stochastic Processes
Stochastic Analysis and Applications | 2008-08-07 | Paper |
STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
Stochastics and Dynamics | 2006-05-03 | Paper |
| scientific article; zbMATH DE number 2133103 (Why is no real title available?) | 2005-02-09 | Paper |
Invariant measures for generalized Langevin equations in conuclear spaces
Stochastic Processes and their Applications | 2002-08-29 | Paper |
| scientific article; zbMATH DE number 1525227 (Why is no real title available?) | 2001-07-02 | Paper |
The anticipative Stratonovich integral in conuclear spaces
Applied Mathematics and Optimization | 1997-06-10 | Paper |
| scientific article; zbMATH DE number 976064 (Why is no real title available?) | 1997-02-04 | Paper |
A representation theorem for generalized Wiener process in conuclear space
Boletín de la Sociedad Matemática Mexicana. Third Series | 1996-05-21 | Paper |
| scientific article; zbMATH DE number 845899 (Why is no real title available?) | 1996-03-05 | Paper |
The Skorohod integral in conuclear spaces
Applied Mathematics and Optimization | 1994-01-19 | Paper |
The girsanov theorem and weak solutions of stochastic differential equations in the dual of a nuclear space
Stochastic Analysis and Applications | 1992-06-27 | Paper |
Stochastic integration for inhomogeneous Wiener process in the dual of a nuclear space
Journal of Multivariate Analysis | 1990-01-01 | Paper |
THE FUNCTIONAL LAW OF THE ITERATED LOGARITHM FOR WEAKLY MULTIPLICATIVE SYSTEMS
Demonstratio Mathematica | 1989-01-01 | Paper |
Ito stochastic integral in the dual of a nuclear space
Journal of Multivariate Analysis | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4135138 (Why is no real title available?) | 1989-01-01 | Paper |
ON THE MAXIMUM ABSOLUTE PARTIAL SUMS OF BOUNDED P-WEAKLY MULTIPLICATIVE SYSTEMS
Demonstratio Mathematica | 1988-01-01 | Paper |
REMARK ON MULTIPLICATIVE SYSTEMS OF FUNCTIONS
Demonstratio Mathematica | 1986-01-01 | Paper |
Structural theorems for multiplicative systems of functions
Acta Mathematica Hungarica | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3776200 (Why is no real title available?) | 1979-01-01 | Paper |
