Stefano Pagliarani

Available identifiers

zbMath Open pagliarani.stefanoWikidataQ102427354 ScholiaQ102427354MaRDI QIDQ432229

List of research outcomes

Publication	Date of Publication	Type
Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients	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	2023-06-26	Paper
A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition	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	2022-07-06	Paper
On the stochastic Magnus expansion and its application to SPDEs	2021-11-22	Paper
Pricing approximations and error estimates for local Lévy-type models with default	2020-10-08	Paper
Local densities for a class of degenerate diffusions	2020-05-13	Paper
The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework	2019-10-31	Paper
Asymptotics for $$d$$ -Dimensional Lévy-Type Processes	2018-12-11	Paper
Analytical approximations of non-linear SDEs of McKean-Vlasov type	2018-06-28	Paper
Analytical approximation of the transition density in a local volatility model	2017-07-21	Paper
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS	2017-07-21	Paper
Intrinsic Taylor formula for non-homogeneous Kolmogorov-type Lie groups	2017-07-05	Paper
Intrinsic expansions for averaged diffusion processes	2017-06-30	Paper
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups	2015-12-21	Paper
Analytical Approximations of BSDEs with Nonsmooth Driver	2015-10-21	Paper
Portfolio optimization in a defaultable Lévy-driven market model	2015-08-03	Paper
Analytical Expansions for Parabolic Equations	2015-07-21	Paper
A family of density expansions for Lévy-type processes	2015-02-26	Paper
Pricing vulnerable claims in a Lévy-driven model	2015-02-06	Paper
Expansions asymptotiques pour équations paraboliques dégénérées	2014-12-05	Paper
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS	2014-04-25	Paper
Adjoint Expansions in Local Lévy Models	2014-01-23	Paper
Approximations for Asian options in local volatility models	2012-10-22	Paper
Analytical approximation of the transition density in a local volatility model	2012-07-03	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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