| Publication | Date of Publication | Type |
|---|
Relative arbitrage opportunities in an extended mean field system
Annals of Finance | 2026-04-14 | Paper |
A unified approach to compound Poisson process and its time-fractional versions
Journal of Theoretical Probability | 2026-03-13 | Paper |
Short communication: finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
SIAM Journal on Financial Mathematics | 2025-12-17 | Paper |
Optimal investment with insider information using Skorokhod \& Russo-Vallois integration
Journal of Optimization Theory and Applications | 2025-09-02 | Paper |
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
Finance and Stochastics | 2025-07-03 | Paper |
Smoothness of directed chain stochastic differential equations
Electronic Journal of Probability | 2024-10-16 | Paper |
| Directed Chain Generative Adversarial Networks | 2023-04-25 | Paper |
Systemic risk models for disjoint and overlapping groups with equilibrium strategies
Statistics & Risk Modeling | 2023-01-19 | Paper |
Degenerate competing three-particle systems
Bernoulli | 2022-05-16 | Paper |
Degenerate competing three-particle systems
Bernoulli | 2022-05-16 | Paper |
Path properties of a generalized fractional Brownian motion
Journal of Theoretical Probability | 2022-03-17 | Paper |
| Smoothness of Directed Chain Stochastic Differential Equations | 2022-02-18 | Paper |
| Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing | 2020-12-02 | Paper |
| Linear-Quadratic Stochastic Differential Games on Random Directed Networks | 2020-11-05 | Paper |
| Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes | 2020-06-26 | Paper |
Directed chain stochastic differential equations
Stochastic Processes and their Applications | 2020-04-07 | Paper |
| Linear-Quadratic Stochastic Differential Games on Directed Chain Networks | 2020-03-19 | Paper |
Dynamic contagion in a banking system with births and defaults
Annals of Finance | 2020-01-31 | Paper |
| Large Banking Systems with Default and Recovery: A Mean Field Game Model | 2020-01-28 | Paper |
Stationary distributions and convergence for Walsh diffusions
Bernoulli | 2019-09-25 | Paper |
Stochastic integral equations for Walsh semimartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-29 | Paper |
Stochastic integral equations for Walsh semimartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-29 | Paper |
Skew-unfolding the Skorokhod reflection of a continuous semimartingale
Springer Proceedings in Mathematics & Statistics | 2018-04-09 | Paper |
| Convergence and Stationary Distributions for Walsh Diffusions | 2017-06-21 | Paper |
Yet another condition for absence of collisions for competing Brownian particles
Electronic Communications in Probability | 2017-02-07 | Paper |
Yet another condition for absence of collisions for competing Brownian particles
Electronic Communications in Probability | 2017-02-07 | Paper |
A second-order stock market model
Annals of Finance | 2014-11-12 | Paper |
Two Brownian particles with rank-based characteristics and skew-elastic collisions
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Diffusions with rank-based characteristics and values in the nonnegative quadrant
Bernoulli | 2014-02-04 | Paper |
Stability in a model of interbank lending
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Convergence rates for rank-based models with applications to portfolio theory
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-06-19 | Paper |
Strong solutions of stochastic equations with rank-based coefficients
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-06-19 | Paper |
Planar diffusions with rank-based characteristics and perturbed Tanaka equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-06-19 | Paper |
| Large deviations for interacting Bessel-like processes and applications to systemic risk | 2013-03-12 | Paper |
Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
Journal of Applied Probability | 2011-10-25 | Paper |
Hybrid Atlas models
The Annals of Applied Probability | 2011-05-11 | Paper |
On collisions of Brownian particles
The Annals of Applied Probability | 2010-08-18 | Paper |
| On multi-period statistical risk management methods and equity-linked life insurance | 2009-03-26 | Paper |
Invariant measure of gaps in degenerate competing three-particle systems
(available as arXiv preprint) | N/A | Paper |
