Paul Gassiat

Available identifiers

zbMath Open gassiat.paulWikidataQ102393795 ScholiaQ102393795MaRDI QIDQ424517

List of research outcomes

Publication	Date of Publication	Type
Long-time behavior of stochastic Hamilton-Jacobi equations	2024-01-30	Paper
Gaussian Rough Paths Lifts via Complementary Young Regularity	2023-11-07	Paper
Perturbations of singular fractional SDEs	2023-06-19	Paper
Weak Error Rates of Numerical Schemes for Rough Volatility	2023-06-01	Paper
Short-dated smile under rough volatility: asymptotics and numerics	2022-05-05	Paper
Non-uniqueness for reflected rough differential equations	2022-02-25	Paper
Precise asymptotics: robust stochastic volatility models	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	2021-06-11	Paper
A regularity structure for rough volatility	2021-03-23	Paper
Existence of densities for the dynamic \(\Phi^4_3\) model	2020-05-12	Paper
Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians	2020-01-31	Paper
On the martingale property in the rough Bergomi model	2019-06-20	Paper
Regularization by noise for stochastic Hamilton-Jacobi equations	2019-04-30	Paper
Stochastic control with rough paths	2017-09-01	Paper
Eikonal equations and pathwise solutions to fully non-linear SPDEs	2017-08-11	Paper
https://portal.mardi4nfdi.de/entity/Q2973952	2017-04-05	Paper
A stochastic Hamilton-Jacobi equation with infinite speed of propagation	2017-03-23	Paper
Malliavin calculus for regularity structures: the case of gPAM	2016-11-09	Paper
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs	2015-10-12	Paper
Physical Brownian motion in a magnetic field as a rough path	2015-09-08	Paper
Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching	2015-07-28	Paper
An integral equation for Root's barrier and the generation of Brownian increments	2015-07-27	Paper
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation	2015-03-30	Paper
Investment/Consumption Problem in Illiquid Markets with Regime-Switching	2014-09-26	Paper
Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset	2014-07-14	Paper
Time discretization and quantization methods for optimal multiple switching problem	2012-06-01	Paper
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS	2011-03-30	Paper

Research outcomes over time

Doctoral students

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