| Publication | Date of Publication | Type |
|---|
The Neumann problem for fully nonlinear SPDE
The Annals of Applied Probability | 2024-08-21 | Paper |
Impact of time illiquidity in a mixed market without full observation
Mathematical Finance | 2024-05-06 | Paper |
Long-time behavior of stochastic Hamilton-Jacobi equations
Journal of Functional Analysis | 2024-01-30 | Paper |
Gaussian Rough Paths Lifts via Complementary Young Regularity
| 2023-11-07 | Paper |
Perturbations of singular fractional SDEs
Stochastic Processes and their Applications | 2023-06-19 | Paper |
Weak Error Rates of Numerical Schemes for Rough Volatility
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Short-dated smile under rough volatility: asymptotics and numerics
Quantitative Finance | 2022-05-05 | Paper |
Non-uniqueness for reflected rough differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2022-02-25 | Paper |
Precise asymptotics: robust stochastic volatility models
The Annals of Applied Probability | 2021-11-04 | Paper |
The Neumann problem for fully nonlinear SPDE
| 2021-10-19 | Paper |
A free boundary characterisation of the root barrier for Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2021-06-11 | Paper |
A regularity structure for rough volatility
Mathematical Finance | 2021-03-23 | Paper |
Existence of densities for the dynamic \(\Phi^4_3\) model
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-12 | Paper |
Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2020-01-31 | Paper |
On the martingale property in the rough Bergomi model
Electronic Communications in Probability | 2019-06-20 | Paper |
Regularization by noise for stochastic Hamilton-Jacobi equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-04-30 | Paper |
Stochastic control with rough paths
Applied Mathematics and Optimization | 2017-09-01 | Paper |
Eikonal equations and pathwise solutions to fully non-linear SPDEs
Stochastic and Partial Differential Equations. Analysis and Computations | 2017-08-11 | Paper |
Geometric foundations of rough paths
| 2017-04-05 | Paper |
A stochastic Hamilton-Jacobi equation with infinite speed of propagation
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2017-03-23 | Paper |
Malliavin calculus for regularity structures: the case of gPAM
Journal of Functional Analysis | 2016-11-09 | Paper |
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
Stochastic Processes and their Applications | 2015-10-12 | Paper |
Physical Brownian motion in a magnetic field as a rough path
Transactions of the American Mathematical Society | 2015-09-08 | Paper |
Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
Banach Center Publications | 2015-07-28 | Paper |
An integral equation for Root's barrier and the generation of Brownian increments
The Annals of Applied Probability | 2015-07-27 | Paper |
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Finance and Stochastics | 2015-03-30 | Paper |
Investment/consumption problem in illiquid markets with regime-switching
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
Journal of Optimization Theory and Applications | 2014-07-14 | Paper |
Time discretization and quantization methods for optimal multiple switching problem
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Optimal investment on finite horizon with random discrete order flow in illiquid markets
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Zero noise limit for singular ODE regularized by fractional noise
| N/A | Paper |
