Frederic Utzet

Available identifiers

zbMath Open utzet.fredericMaRDI QIDQ401125

List of research outcomes

Publication	Date of Publication	Type
Malliavin Calculus for Stochastic Processes and Random Measures with Independent Increments	2023-11-17	Paper
On the asymptotic behavior of weighted \(U\)-statistics	2019-08-22	Paper
Efficient computation of first passage times in Kou's jump-diffusion model	2018-03-28	Paper
Local Malliavin calculus for Lévy processes and applications	2016-06-10	Paper
Maxima of gamma random variables and other Weibull-like distributions and the Lambert \(W\) function	2016-01-14	Paper
On the norming constants for normal maxima	2014-10-07	Paper
Approximating Mills ratio	2014-08-26	Paper
Maxima of Weibull-like distributions and the Lambert W function	2013-08-26	Paper
Gaussian Mills ratio is completely monotone	2013-05-23	Paper
https://portal.mardi4nfdi.de/entity/Q4920858	2013-05-22	Paper
Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities	2012-04-26	Paper
Lévy area for Gaussian processes: a double Wiener-Itô integral approach	2011-07-26	Paper
A family of martingales generated by a process with independent increments	2011-02-22	Paper
Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes	2010-11-18	Paper
On the density of log-spot in the Heston volatility model	2010-09-15	Paper
Stein's method and normal approximation of Poisson functionals	2010-04-21	Paper
Time-space harmonic polynomials relative to a Lévy process	2009-03-02	Paper
A new look at the Heston characteristic function	2009-02-12	Paper
On the orthogonal polynomials associated with a Lévy process	2008-04-16	Paper
Asymptotic normality of cross-correlogram estimates of the response function	2008-04-15	Paper
https://portal.mardi4nfdi.de/entity/Q5436618	2008-01-17	Paper
Canonical Lévy process and Malliavin calculus	2007-02-19	Paper
https://portal.mardi4nfdi.de/entity/Q5487197	2006-09-19	Paper
Asymptotics for \(L_2\) functionals of the empirical quantile process, with applications to tests of fit based on weighted Wasserstein distances	2005-03-11	Paper
https://portal.mardi4nfdi.de/entity/Q4468668	2004-06-10	Paper
On the asymptotic behavior of weighted \(U\)-statistics	2003-08-18	Paper
Comparison of Prevosti genetic distances	2003-04-03	Paper
On Lévy processes, Malliavin calculus and market models with jumps	2002-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q4778806	2002-11-21	Paper
https://portal.mardi4nfdi.de/entity/Q4538799	2002-07-03	Paper
https://portal.mardi4nfdi.de/entity/Q4518611	2000-12-01	Paper
Sampling Theory, Estimation, and Significance Testing for Prevosti's Estimate of Genetic Distance	1997-06-12	Paper
https://portal.mardi4nfdi.de/entity/Q4884152	1996-08-15	Paper
Asymptotic properties of the left kaplan-meier estimator	1995-08-17	Paper
https://portal.mardi4nfdi.de/entity/Q4028988	1993-03-28	Paper
https://portal.mardi4nfdi.de/entity/Q4028989	1993-03-28	Paper
https://portal.mardi4nfdi.de/entity/Q4026602	1993-02-21	Paper
Skorohod and Stratonovich line integrals in the plane	1992-06-27	Paper
https://portal.mardi4nfdi.de/entity/Q3979069	1992-06-26	Paper
Stratonovich integral and trace	1990-01-01	Paper
A property of two-parameter martingales with path-independent variation	1987-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3715970	1985-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Frederic Utzet