Paul Gassiat

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Person:424517

Available identifiers

zbMath Open gassiat.paulWikidataQ102393795 ScholiaQ102393795MaRDI QIDQ424517

List of research outcomes





PublicationDate of PublicationType
The Neumann problem for fully nonlinear SPDE2024-08-21Paper
Impact of time illiquidity in a mixed market without full observation2024-05-06Paper
Long-time behavior of stochastic Hamilton-Jacobi equations2024-01-30Paper
Gaussian Rough Paths Lifts via Complementary Young Regularity2023-11-07Paper
Perturbations of singular fractional SDEs2023-06-19Paper
Weak Error Rates of Numerical Schemes for Rough Volatility2023-06-01Paper
Short-dated smile under rough volatility: asymptotics and numerics2022-05-05Paper
Non-uniqueness for reflected rough differential equations2022-02-25Paper
Precise asymptotics: robust stochastic volatility models2021-11-04Paper
The Neumann problem for fully nonlinear SPDE2021-10-19Paper
A free boundary characterisation of the root barrier for Markov processes2021-06-11Paper
A regularity structure for rough volatility2021-03-23Paper
Existence of densities for the dynamic \(\Phi^4_3\) model2020-05-12Paper
Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians2020-01-31Paper
On the martingale property in the rough Bergomi model2019-06-20Paper
Regularization by noise for stochastic Hamilton-Jacobi equations2019-04-30Paper
Stochastic control with rough paths2017-09-01Paper
Eikonal equations and pathwise solutions to fully non-linear SPDEs2017-08-11Paper
https://portal.mardi4nfdi.de/entity/Q29739522017-04-05Paper
A stochastic Hamilton-Jacobi equation with infinite speed of propagation2017-03-23Paper
Malliavin calculus for regularity structures: the case of gPAM2016-11-09Paper
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs2015-10-12Paper
Physical Brownian motion in a magnetic field as a rough path2015-09-08Paper
Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching2015-07-28Paper
An integral equation for Root's barrier and the generation of Brownian increments2015-07-27Paper
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation2015-03-30Paper
Investment/Consumption Problem in Illiquid Markets with Regime-Switching2014-09-26Paper
Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset2014-07-14Paper
Time discretization and quantization methods for optimal multiple switching problem2012-06-01Paper
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS2011-03-30Paper
Zero noise limit for singular ODE regularized by fractional noiseN/APaper

Research outcomes over time

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