| Publication | Date of Publication | Type |
|---|
Infinite-server systems driven by finite-dimensional Hawkes and dynamic contagion arrival processes
Methodology and Computing in Applied Probability | 2026-09-21 | Paper |
Convergences for a virus-like evolving population driven by mutually-exciting Hawkes processes
Journal of Mathematical Analysis and Applications | 2026-01-15 | Paper |
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
Opsearch | 2025-05-30 | Paper |
Asymptotic results for dynamic contagion processes with different exciting functions and application to risk models
Journal of Mathematical Analysis and Applications | 2025-03-24 | Paper |
Hedging and utility valuation of a defaultable claim driven by Hawkes processes
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Limit theorems for an extended inverse Hawkes process with general exciting functions
Statistics & Probability Letters | 2023-07-04 | Paper |
| scientific article; zbMATH DE number 7640338 (Why is no real title available?) | 2023-01-10 | Paper |
Infinite-server systems with Hawkes arrivals and Hawkes services
Queueing Systems | 2022-09-01 | Paper |
Probabilistic prediction of credit ratings: a filtering approach
Stochastics | 2022-06-30 | Paper |
Credit risk in an economy with new firms arrivals
Methodology and Computing in Applied Probability | 2018-03-28 | Paper |
Markov chain model with catastrophe to determine mean time to default of credit risky assets
Journal of Statistical Physics | 2018-02-15 | Paper |
Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Partially informed investors: hedging in an incomplete market with default
Journal of Applied Probability | 2015-10-30 | Paper |
| Modeling and filtering credit merit in a set of firms | 2014-06-20 | Paper |
Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2012-05-31 | Paper |
Utility maximization in a pure jump model with partial observation
Probability in the Engineering and Informational Sciences | 2011-04-13 | Paper |
Stochastic control methods: Hedging in a market described by pure jump processes
Acta Applicandae Mathematicae | 2010-07-24 | Paper |
| Filtering of a discrete jump process: approximation error | 2010-06-16 | Paper |
Risk-neutral measures and pricing for a pure jump price process
Probability in the Engineering and Informational Sciences | 2010-03-22 | Paper |
Controlled Heterogeneous Collection: The Role of Occupation Numbers
Journal of Applied Probability | 2008-11-13 | Paper |
A partially observed ultra-high-frequency data model: risk-minimizing hedging
Acta Applicandae Mathematicae | 2007-12-03 | Paper |
Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes
Journal of Statistical Planning and Inference | 2007-07-23 | Paper |
| Conditional law of lifetimes for a heterogeneous population of living particles via filtering techniques | 2007-02-13 | Paper |
Filtering on a partially observed ultra-high-frequency data model
Acta Applicandae Mathematicae | 2006-09-04 | Paper |
Heterogeneous population dynamical model: a filtering problem
Journal of Applied Probability | 2005-10-18 | Paper |
Finite state and discrete time approximation for filters.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2003-03-16 | Paper |
JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2003-03-16 | Paper |
Existence of optimal controls for partially observed jump processes
Acta Applicandae Mathematicae | 2003-03-11 | Paper |
An approximation method for controlled discrete jump processes under partial observations
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
| scientific article; zbMATH DE number 1109579 (Why is no real title available?) | 1999-09-15 | Paper |
Polynomial Approximation for a Class of Physical Random Variables
Proceedings of the American Mathematical Society | 1994-05-19 | Paper |
| scientific article; zbMATH DE number 409879 (Why is no real title available?) | 1993-09-13 | Paper |
