Marcin Magdziarz

Available identifiers

zbMath Open magdziarz.marcinMaRDI QIDQ425193

List of research outcomes

Publication	Date of Publication	Type
Functional convergence of continuous-time random walks with continuous paths	2023-05-05	Paper
Limit properties of Lévy walks	2023-01-26	Paper
First passage time moments of asymmetric Lévy flights	2023-01-17	Paper
A tempered subdiffusive Black-Scholes model	2021-03-25	Paper
About subordinated generalizations of 3 classical models of option pricing	2021-03-18	Paper
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model	2021-03-10	Paper
Coupled continuous time-random walks in quenched random environment	2021-03-02	Paper
Lamperti transformation of scaled Brownian motion and related Langevin equations	2020-10-23	Paper
Diffusion limit of Lévy-Lorentz gas is Brownian motion	2020-10-23	Paper
Lamperti transformation -- cure for ergodicity breaking	2020-10-22	Paper
Method of calculating densities for isotropic ballistic Lévy walks	2020-10-07	Paper
Quenched trap model for Lévy flights	2020-09-10	Paper
A weighted finite difference method for subdiffusive Black-Scholes model	2020-09-07	Paper
Nonlinear dynamics of continuous-time random walks in inhomogeneous medium	2020-09-04	Paper
Correlated continuous-time random walks—scaling limits and Langevin picture	2020-08-11	Paper
Rotational invariance of stochastic processes with application to fractional dynamics	2020-08-11	Paper
Ergodic properties of Lévy flights coexisting with subdiffusion and related models	2017-11-28	Paper
Pricing of basket options in subdiffusive fractional Black-Scholes model	2017-11-13	Paper
Fractional diffusion equation with distributed-order material derivative. Stochastic foundations	2017-06-16	Paper
Densities of scaling limits of coupled continuous time random walks	2017-01-09	Paper
Asymptotic behaviour of random walks with correlated temporal structure	2016-11-02	Paper
A fractional Fokker-Planck control framework for subdiffusion processes	2016-05-23	Paper
Method of calculating densities for isotropic L\'evy Walks	2016-05-18	Paper
Comment on “Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes” [J. Math. Phys. 53, 072701 (2012)]	2016-04-13	Paper
Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients	2016-03-03	Paper
Asymptotic properties of Brownian motion delayed by inverse subordinators	2015-09-08	Paper
Limit theorems and governing equations for Lévy walks	2015-08-24	Paper
Densities of L\'evy walks and the corresponding fractional equations	2015-04-22	Paper
Asymptotic properties and numerical simulation of multidimensional Lévy walks	2015-01-29	Paper
Identification and Validation of Fractional Subdiffusion Dynamics	2014-09-12	Paper
Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion	2014-07-10	Paper
Large deviations for subordinated Brownian motion and applications	2014-06-11	Paper
Estimation and testing of the Hurst parameter usingp-variation	2013-09-25	Paper
Limit theorems for continuous time random walks with continuous paths	2013-05-17	Paper
Multidimensional Lévy walk and its scaling limits	2012-10-16	Paper
Langevin picture of Lévy walks and their extensions	2012-06-07	Paper
Option pricing in subdiffusive Bachelier model	2011-11-25	Paper
Ergodic properties of anomalous diffusion processes	2011-10-11	Paper
A Note on Maruyama's Mixing Theorem	2010-11-29	Paper
Path Properties of Subdiffusion—A Martingale Approach	2010-08-05	Paper
Stochastic representation of subdiffusion processes with time-dependent drift	2009-10-13	Paper
Correlation cascades, ergodic properties and long memory of infinitely divisible processes	2009-10-13	Paper
Black-Scholes formula in subdiffusive regime	2009-09-14	Paper
Langevin picture of subdiffusion with infinitely divisible waiting times	2009-08-10	Paper
Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes	2007-10-24	Paper
Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series	2007-06-29	Paper
https://portal.mardi4nfdi.de/entity/Q5290221	2006-04-28	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Marcin Magdziarz