| Publication | Date of Publication | Type |
|---|
Strong regularization by noise for a class of kinetic SDEs driven by symmetric -stable processes
Stochastic Processes and their Applications | 2025-10-02 | Paper |
Intrinsic Hölder spaces for fractional kinetic operators
Journal of Evolution Equations | 2025-03-26 | Paper |
| Intrinsic Taylor formula for non-homogeneous Kolmogorov-type Lie groups | 2024-10-01 | Paper |
Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients
Journal of Evolution Equations | 2023-12-02 | Paper |
| Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent | 2023-10-20 | Paper |
| Intrinsic H\"older spaces for fractional kinetic operators | 2023-09-28 | Paper |
Numerical solution of kinetic SPDEs via stochastic Magnus expansion
Mathematics and Computers in Simulation | 2023-06-26 | Paper |
A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
Journal of Mathematical Analysis and Applications | 2022-09-23 | Paper |
| Strong regularization by noise for kinetic SDEs | 2022-07-20 | Paper |
A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
Stochastics | 2022-07-06 | Paper |
On the stochastic Magnus expansion and its application to SPDEs
Journal of Scientific Computing | 2021-11-22 | Paper |
Pricing approximations and error estimates for local Lévy-type models with default
Computers & Mathematics with Applications | 2020-10-08 | Paper |
Local densities for a class of degenerate diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-13 | Paper |
Local densities for a class of degenerate diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-13 | Paper |
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
Mathematical Finance | 2019-10-31 | Paper |
Asymptotics for d -Dimensional Lévy-Type Processes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Analytical approximations of non-linear SDEs of McKean-Vlasov type
Journal of Mathematical Analysis and Applications | 2018-06-28 | Paper |
Explicit implied volatilities for multifactor local-stochastic volatility models
Mathematical Finance | 2017-07-21 | Paper |
The exact Taylor formula of the implied volatility
Finance and Stochastics | 2017-07-21 | Paper |
| Intrinsic Taylor formula for non-homogeneous Kolmogorov-type Lie groups | 2017-07-05 | Paper |
Intrinsic expansions for averaged diffusion processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
Journal of Mathematical Analysis and Applications | 2015-12-21 | Paper |
Analytical Approximations of BSDEs with Nonsmooth Driver
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Portfolio optimization in a defaultable Lévy-driven market model
OR Spectrum | 2015-08-03 | Paper |
Analytical expansions for parabolic equations
SIAM Journal on Applied Mathematics | 2015-07-21 | Paper |
A family of density expansions for Lévy-type processes
The Annals of Applied Probability | 2015-02-26 | Paper |
A family of density expansions for Lévy-type processes
The Annals of Applied Probability | 2015-02-26 | Paper |
Pricing vulnerable claims in a Lévy-driven model
Finance and Stochastics | 2015-02-06 | Paper |
Expansions asymptotiques pour équations paraboliques dégénérées
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2014-12-05 | Paper |
Local stochastic volatility with jumps: analytical approximations
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
Adjoint expansions in local Lévy models
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Approximations for Asian options in local volatility models
Journal of Computational and Applied Mathematics | 2012-10-22 | Paper |
Analytical approximation of the transition density in a local volatility model
Central European Journal of Mathematics | 2012-07-03 | Paper |
Optimal Schauder estimates for kinetic Kolmogorov equations with time measurable coefficients
(available as arXiv preprint) | N/A | Paper |
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
(available as arXiv preprint) | N/A | Paper |
