| Publication | Date of Publication | Type |
|---|
PDE for the joint law of the pair of a continuous diffusion and its running maximum
Advances in Applied Probability | 2024-02-20 | Paper |
Infinite horizon impulse control problem with jumps and continuous switching costs
Arab Journal of Mathematical Sciences | 2022-06-24 | Paper |
Existence and regularity of law density of a pair (diffusion, first component running maximum)
Statistics & Probability Letters | 2019-09-05 | Paper |
Joint distribution of a Lévy process and its running supremum
Journal of Applied Probability | 2018-09-26 | Paper |
Optimal contract with moral hazard for public private partnerships
Stochastics | 2018-09-04 | Paper |
Infinite horizon impulse control problem with continuous costs, numerical solutions
Stochastics | 2018-09-04 | Paper |
Reducing the debt: is it optimal to outsource an investment?
Mathematics and Financial Economics | 2016-09-30 | Paper |
Switching tax structure and payouts in endogenous bankruptcy models
Stochastics | 2016-05-04 | Paper |
Option pricing under stochastic volatility, jumps and cost of information
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
A modelization of public-private partnerships with failure time
Springer Proceedings in Mathematics & Statistics | 2015-07-02 | Paper |
Solution examples of an impulse control problem
Journal of Computational and Applied Mathematics | 2015-06-17 | Paper |
Capital structure with firm's net cash payouts
| 2012-05-30 | Paper |
Modelling and detecting insider trading: an overview
Matapli | 2012-05-21 | Paper |
Estimation of the instantaneous volatility
Statistical Inference for Stochastic Processes | 2012-04-04 | Paper |
Optimal strategies in a risky debt context
Stochastics | 2009-09-16 | Paper |
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Journal of Applied Mathematics and Stochastic Analysis | 2009-04-01 | Paper |
ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Risky debt and optimal coupon policy and other optimal strategies
| 2008-06-11 | Paper |
Pricing rules under asymmetric information
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Identification of an isometric transformation of the standard Brownian sheet
Journal of Statistical Planning and Inference | 2006-05-29 | Paper |
Singularity functions for fractional processes: application to the fractional Brownian sheet
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2006-04-28 | Paper |
FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
International Journal of Theoretical and Applied Finance | 2005-11-15 | Paper |
Free lunch and arbitrage possibilities in a financial market model with an insider.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
scientific article; zbMATH DE number 2070436 (Why is no real title available?)
| 2004-06-08 | Paper |
Les ondelettes à la conquête du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field)
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-05-27 | Paper |
Fractional Brownian sheet
Potential Analysis | 2002-08-21 | Paper |
scientific article; zbMATH DE number 1619464 (Why is no real title available?)
| 2002-03-04 | Paper |
Forme de Dirichlet sur un espace de Poisson. (Dirichlet form on a Poisson space)
Potential Analysis | 2001-02-18 | Paper |
scientific article; zbMATH DE number 1500591 (Why is no real title available?)
| 2000-11-09 | Paper |
Probabilités neutres au risque et asymétrie d'information
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2000-04-10 | Paper |
Drap brownien fractionnaire
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2000-04-10 | Paper |
Insider Trading in a Continuous Time Market Model
International Journal of Theoretical and Applied Finance | 1998-12-28 | Paper |
Filtrage avec observation discontinuesur une variété. existence d'une densité régulière
Stochastics and Stochastic Reports | 1997-12-14 | Paper |
scientific article; zbMATH DE number 1066314 (Why is no real title available?)
| 1997-09-25 | Paper |
Comment détecter le délit d'initiés?
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1997-09-07 | Paper |
scientific article; zbMATH DE number 890876 (Why is no real title available?)
| 1996-10-29 | Paper |
Anticipating differential equation on a manifold and approximations
Mathematics and Computers in Simulation | 1995-11-06 | Paper |
Nonlinear filtering with a symmetric space valued discontinuous observation
Stochastic Analysis and Applications | 1994-11-28 | Paper |
Calcul anticipatif d'ordre deux
Stochastics and Stochastic Reports | 1994-11-22 | Paper |
scientific article; zbMATH DE number 446481 (Why is no real title available?)
| 1994-08-30 | Paper |
scientific article; zbMATH DE number 140544 (Why is no real title available?)
| 1993-03-28 | Paper |
On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
Mathematics of Operations Research | 1993-01-16 | Paper |
scientific article; zbMATH DE number 4215085 (Why is no real title available?)
| 1991-01-01 | Paper |
Optimal portfolio for a small investor in a market model with discontinuous prices
Applied Mathematics and Optimization | 1990-01-01 | Paper |
Filtrage approche et calcul stochastique non causal
Nagoya Mathematical Journal | 1990-01-01 | Paper |
Filtering with Observations on a Riemannian Symmetric Space
SIAM Journal on Control and Optimization | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4060378 (Why is no real title available?)
| 1988-01-01 | Paper |
Approximation d'tun filtre avec observation sur une variete compacte
Stochastics | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4011582 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4045613 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 3953917 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3982176 (Why is no real title available?)
| 1986-01-01 | Paper |
Filtrage non lineaire avec observation sur une variete
Stochastics | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3896138 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3854947 (Why is no real title available?)
| 1984-01-01 | Paper |
Linear stochastic control with constraints
IEEE Transactions on Automatic Control | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3833016 (Why is no real title available?)
| 1983-01-01 | Paper |
Arret optimal avec contrainte
Advances in Applied Probability | 1983-01-01 | Paper |
