| Publication | Date of Publication | Type |
|---|
Higher order homogenization for random non-autonomous parabolic operators
Stochastic and Partial Differential Equations. Analysis and Computations | 2024-11-26 | Paper |
Continuity problem for BSDE and IPDE with singular terminal condition
Journal of Mathematical Analysis and Applications | 2024-11-20 | Paper |
Optimal Liquidation with Conditions on Minimum Price
| 2023-08-04 | Paper |
Symptotic decomposition of solutions to parabolic equations with a random microstructure
| 2022-10-10 | Paper |
Continuity problem for singular BSDE with random terminal time
| 2022-10-06 | Paper |
A mean field game of optimal portfolio liquidation
Mathematics of Operations Research | 2022-02-08 | Paper |
Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
Electronic Journal of Probability | 2021-07-21 | Paper |
Backward stochastic Volterra integral equations with jumps in a general filtration
ESAIM: Probability and Statistics | 2021-06-01 | Paper |
Asymptotic approach for backward stochastic differential equation with singular terminal condition
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Asymptotic decomposition of solutions to random parabolic operators with oscillating coefficients
| 2020-10-01 | Paper |
Optimal position targeting via decoupling fields
The Annals of Applied Probability | 2020-08-17 | Paper |
Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
Probability, Uncertainty and Quantitative Risk | 2020-05-04 | Paper |
Backward stochastic differential equations with non-Markovian singular terminal values
Stochastics and Dynamics | 2019-06-25 | Paper |
On the fundamental solution of heat and stochastic heat equations
| 2019-06-18 | Paper |
Second-order BSDE under monotonicity condition and liquidation problem under uncertainty
The Annals of Applied Probability | 2019-05-22 | Paper |
\(L^p\)-solution for BSDEs with jumps in the case \(p<2\): Corrections to the paper `BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration'
Stochastics | 2018-09-04 | Paper |
Integro-partial differential equations with singular terminal condition
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2017-06-19 | Paper |
Stochastic partial differential equations with singular terminal condition
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Limit behaviour of BSDE with jumps and with singular terminal condition
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
Higher order homogenization for random non-autonomous parabolic operators
| 2016-12-22 | Paper |
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
Stochastic Processes and their Applications | 2016-08-08 | Paper |
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
Stochastics | 2016-05-04 | Paper |
Integro-partial differential equations with singular terminal condition
| 2016-03-25 | Paper |
Homogenization of random parabolic operators. Diffusion approximation
Stochastic Processes and their Applications | 2015-03-24 | Paper |
Design for estimation of the drift parameter in fractional diffusion systems
Statistical Inference for Stochastic Processes | 2012-07-31 | Paper |
Fractional diffusion with partial observations
Communications in Statistics. Theory and Methods | 2012-06-08 | Paper |
\(L^{p}\)-solutions for reflected backward stochastic differential equations
Stochastics and Dynamics | 2012-04-24 | Paper |
A finite horizon optimal multiple switching problem
SIAM Journal on Control and Optimization | 2010-08-16 | Paper |
On measure solutions of backward stochastic differential equations
Stochastic Processes and their Applications | 2009-09-17 | Paper |
Optimal Cross Hedging of Insurance Derivatives
Stochastic Analysis and Applications | 2008-08-07 | Paper |
Backward stochastic differential equations with random stopping time and singular final condition
The Annals of Probability | 2007-06-22 | Paper |
Backward stochastic differential equations with singular terminal condition
Stochastic Processes and their Applications | 2007-01-09 | Paper |
