| Publication | Date of Publication | Type |
|---|
Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
Chaos | 2024-06-10 | Paper |
Superstatistical generalised Langevin equation: non-Gaussian viscoelastic anomalous diffusion
New Journal of Physics | 2024-05-07 | Paper |
Functional convergence of continuous-time random walks with continuous paths
Communications in Contemporary Mathematics | 2023-05-05 | Paper |
Limit properties of Lévy walks
Journal of Physics A: Mathematical and Theoretical | 2023-01-26 | Paper |
First passage time moments of asymmetric Lévy flights
Journal of Physics A: Mathematical and Theoretical | 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
Communications in Nonlinear Science and Numerical Simulation | 2021-03-10 | Paper |
Coupled continuous time-random walks in quenched random environment
Journal of Statistical Mechanics: Theory and Experiment | 2021-03-02 | Paper |
Diffusion limit of Lévy-Lorentz gas is Brownian motion
Communications in Nonlinear Science and Numerical Simulation | 2020-10-23 | Paper |
Lamperti transformation of scaled Brownian motion and related Langevin equations
Communications in Nonlinear Science and Numerical Simulation | 2020-10-23 | Paper |
Lamperti transformation -- cure for ergodicity breaking
Communications in Nonlinear Science and Numerical Simulation | 2020-10-22 | Paper |
Method of calculating densities for isotropic ballistic Lévy walks
Communications in Nonlinear Science and Numerical Simulation | 2020-10-07 | Paper |
Quenched trap model for Lévy flights
Communications in Nonlinear Science and Numerical Simulation | 2020-09-10 | Paper |
A weighted finite difference method for subdiffusive Black-Scholes model
Computers & Mathematics with Applications | 2020-09-07 | Paper |
Nonlinear dynamics of continuous-time random walks in inhomogeneous medium
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2020-09-04 | Paper |
Correlated continuous-time random walks -- scaling limits and Langevin picture
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Rotational invariance of stochastic processes with application to fractional dynamics
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Ergodic properties of Lévy flights coexisting with subdiffusion and related models
Journal of Mathematical Analysis and Applications | 2017-11-28 | Paper |
Pricing of basket options in subdiffusive fractional Black-Scholes model
Chaos, Solitons and Fractals | 2017-11-13 | Paper |
Fractional diffusion equation with distributed-order material derivative. Stochastic foundations
Journal of Physics A: Mathematical and Theoretical | 2017-06-16 | Paper |
Densities of scaling limits of coupled continuous time random walks
Fractional Calculus \ Applied Analysis | 2017-01-09 | Paper |
Asymptotic behaviour of random walks with correlated temporal structure
Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences | 2016-11-02 | Paper |
A fractional Fokker-Planck control framework for subdiffusion processes
Optimal Control Applications & Methods | 2016-05-23 | Paper |
Method of calculating densities for isotropic L\'evy Walks
(available as arXiv preprint) | 2016-05-18 | Paper |
Comment on ``Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes
Journal of Mathematical Physics | 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
Proceedings of the American Mathematical Society | 2016-03-03 | Paper |
Asymptotic properties of Brownian motion delayed by inverse subordinators
Proceedings of the American Mathematical Society | 2015-09-08 | Paper |
Limit theorems and governing equations for Lévy walks
Stochastic Processes and their Applications | 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
Communications in Nonlinear Science and Numerical Simulation | 2015-01-29 | Paper |
Identification and validation of fractional subdiffusion dynamics
Fractional Dynamics | 2014-09-12 | Paper |
Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
Journal of Statistical Physics | 2014-07-10 | Paper |
Large deviations for subordinated Brownian motion and applications
Statistics & Probability Letters | 2014-06-11 | Paper |
Estimation and testing of the Hurst parameter using \(p\)-variation
Journal of Physics A: Mathematical and Theoretical | 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
Journal of Physics A: Mathematical and Theoretical | 2012-10-16 | Paper |
Langevin picture of Lévy walks and their extensions
Journal of Statistical Physics | 2012-06-07 | Paper |
Option pricing in subdiffusive Bachelier model
Journal of Statistical Physics | 2011-11-25 | Paper |
Ergodic properties of anomalous diffusion processes
Annals of Physics | 2011-10-11 | Paper |
A Note on Maruyama's Mixing Theorem
Theory of Probability & Its Applications | 2010-11-29 | Paper |
Path properties of subdiffusion --- a martingale approach
Stochastic Models | 2010-08-05 | Paper |
Stochastic representation of subdiffusion processes with time-dependent drift
Stochastic Processes and their Applications | 2009-10-13 | Paper |
Correlation cascades, ergodic properties and long memory of infinitely divisible processes
Stochastic Processes and their Applications | 2009-10-13 | Paper |
Black-Scholes formula in subdiffusive regime
Journal of Statistical Physics | 2009-09-14 | Paper |
Langevin picture of subdiffusion with infinitely divisible waiting times
Journal of Statistical Physics | 2009-08-10 | Paper |
Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes
Stochastic Models | 2007-10-24 | Paper |
Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
Studia Mathematica | 2007-06-29 | Paper |
| The dependence structure of the fractional Ornstein-Uhlenbeck process | 2006-04-28 | Paper |
