| Publication | Date of Publication | Type |
|---|
| Mathematical modeling and stability analysis of systemic risk in the banking ecosystem | 2024-02-01 | Paper |
| Discussion on temperature reconstruction with sediment core data in Ilvonen et al. | 2023-12-18 | Paper |
| The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H< \frac{1}{2}$ | 2023-09-18 | Paper |
| Irregularity scales for Gaussian processes: Hausdorff dimensions and hitting probabilities | 2023-07-31 | Paper |
| Static Markowitz mean-variance portfolio selection model with long-term bonds | 2023-07-26 | Paper |
| Yule's ``nonsense correlation for Gaussian random walks | 2023-07-12 | Paper |
| Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model | 2022-10-26 | Paper |
| Poisson Approximation to the Convolution of Power Series Distributions | 2022-10-06 | Paper |
| Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach | 2022-07-15 | Paper |
| AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation | 2022-06-20 | Paper |
| Hausdorff dimensions and Hitting probabilities for some general Gaussian processes | 2021-12-07 | Paper |
| A probabilistic approach to Adomian polynomials | 2021-03-02 | Paper |
| Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model | 2020-08-26 | Paper |
| Small-time asymptotics for Gaussian self-similar stochastic volatility models | 2020-07-17 | Paper |
| Optimal rates for parameter estimation of stationary Gaussian processes | 2019-09-19 | Paper |
| Donsker type theorem for fractional Poisson process | 2019-09-05 | Paper |
| Extreme-strike asymptotics for general Gaussian stochastic volatility models | 2019-06-18 | Paper |
| Berry-Ess\'een bounds for parameter estimation of general Gaussian processes | 2019-05-15 | Paper |
| A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time | 2018-11-30 | Paper |
| Anderson polymer in a fractional Brownian environment: asymptotic behavior of the partition function | 2018-10-26 | Paper |
| Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria | 2018-07-11 | Paper |
| Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing | 2018-06-15 | Paper |
| Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise | 2017-04-11 | Paper |
| Parameter estimation of Gaussian stationary processes using the generalized method of moments | 2017-04-07 | Paper |
| Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity | 2017-01-31 | Paper |
| A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences | 2016-05-11 | Paper |
| Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes | 2016-03-04 | Paper |
| Gaussian and non-Gaussian processes of zero power variation | 2016-02-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3462064 | 2016-01-04 | Paper |
| Dynamic portfolio selection with mispricing and model ambiguity | 2015-03-24 | Paper |
| Reconstructing past temperatures from natural proxies and estimated climate forcings using short- and long-memory models | 2015-02-26 | Paper |
| Parameter estimation for SDEs related to stationary Gaussian processes | 2015-01-20 | Paper |
| Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility | 2014-11-12 | Paper |
| Symposium on stochastic volatility: an introductory overview | 2014-11-12 | Paper |
| Estimation and pricing under long-memory stochastic volatility | 2014-11-12 | Paper |
| Quadratic variations for the fractional-colored stochastic heat equation | 2014-09-24 | Paper |
| Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus | 2014-07-17 | Paper |
| Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model | 2014-06-23 | Paper |
| Comparison inequalities on Wiener space | 2014-02-26 | Paper |
| General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations | 2014-02-19 | Paper |
| Stochastic volatility and option pricing with long-memory in discrete and continuous time | 2014-01-17 | Paper |
| Two-dimensional stochastic Navier-Stokes equations with fractional Brownian noise | 2013-07-26 | Paper |
| Variations and Hurst index estimation for a Rosenblatt process using longer filters | 2013-05-27 | Paper |
| Hitting probabilities for general Gaussian processes | 2013-05-08 | Paper |
| Arbitrage-free models in markets with transaction costs | 2012-06-22 | Paper |
| Option pricing under a gamma-modulated diffusion process | 2011-11-15 | Paper |
| Mutual fund performance: false discoveries, bias, and power | 2011-11-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3581693 | 2010-09-02 | Paper |
| Variations and estimators for self-similarity parameters via Malliavin calculus | 2010-05-17 | Paper |
| Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis | 2010-02-24 | Paper |
| Density formula and concentration inequalities with Malliavin calculus | 2009-11-20 | Paper |
| Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent | 2009-10-13 | Paper |
| Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses | 2009-06-10 | Paper |
| The fractional stochastic heat equation on the circle: Time regularity and potential theory | 2009-05-06 | Paper |
| Almost sure exponential behavior of a directed polymer in a fractional Brownian environment | 2008-12-22 | Paper |
| LYAPUNOV EXPONENTS FOR STOCHASTIC ANDERSON MODELS WITH NON-GAUSSIAN NOISE | 2008-12-11 | Paper |
| Portfolio optimization with consumption in a fractional Black-Scholes market | 2008-10-23 | Paper |
| Superdiffusivity for a Brownian polymer in a continuous Gaussian environment | 2008-10-20 | Paper |
| Sharp asymptotics for the partition function of some continuous-time directed polymers | 2008-09-15 | Paper |
| Density estimates and concentration inequalities with Malliavin calculus | 2008-08-14 | Paper |
| Some applications of the Malliavin calculus to sub-Gaussian and non-sub-Gaussian random fields | 2008-07-01 | Paper |
| Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree | 2008-05-22 | Paper |
| Time regularity of the evolution solution to the fractional stochastic heat equation | 2008-02-22 | Paper |
| Statistical aspects of the fractional stochastic calculus | 2007-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5296572 | 2007-08-01 | Paper |
| Supremum concentration inequality and modulus of continuity for sub-\(n\)th chaos processes | 2007-07-16 | Paper |
| Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator | 2007-03-08 | Paper |
| Sharp estimation of the almost-sure Lyapunov exponent for the Anderson model in continuous space | 2006-08-11 | Paper |
| Convergence of a branching and interacting particle system to the solution of a nonlinear stochastic PDE | 2006-05-24 | Paper |
| Superdiffusive behavior for a Brownian polymer in a Gaussian medium | 2006-03-16 | Paper |
| Skorohod integration and stochastic calculus beyond the fractional Brownian scale | 2005-06-13 | Paper |
| Relating the almost-sure Lyapunov exponent of a parabolic SPDE and its coefficients' spatial regularity | 2005-04-29 | Paper |
| Itô formula and local time for the fractional {B}rownian sheet | 2005-03-08 | Paper |
| Almost sure exponential behaviour for a parabolic SPDE on a manifold. | 2005-02-25 | Paper |
| Sharp Gaussian regularity on the circle, and applications to the fractional stochastic heat equation | 2005-01-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421381 | 2004-02-08 | Paper |
| Stochastic evolution equations with fractional Brownian motion | 2003-12-16 | Paper |
| Evolution equation of a stochastic semigroup with white-noise drift. | 2003-05-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421349 | 2002-01-01 | Paper |
| Stochastic heat equation with white-noise drift | 2001-06-27 | Paper |
| On space-time regularity for the stochastic heat equation on Lie groups | 2000-07-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227212 | 1999-09-23 | Paper |
| Almost-sure exponential behavior of a stochastic anderson model with continuous space parameter | 1998-08-05 | Paper |
| Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation | 1996-11-07 | Paper |
