| Publication | Date of Publication | Type |
|---|
LAMN property for jump diffusion processes with discrete observations on a fixed time interval
Journal of Statistical Planning and Inference | 2023-06-20 | Paper |
Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
Computational and Applied Mathematics | 2022-09-26 | Paper |
LAMN property for multivariate inhomogeneous diffusions with discrete observations
Electronic Journal of Statistics | 2022-08-31 | Paper |
Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
Stochastic Analysis and Applications | 2022-06-27 | Paper |
Limit theorem for reflected random walks
Lecture Notes in Mathematics | 2021-12-13 | Paper |
On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
Mathematics and Computers in Simulation | 2021-03-02 | Paper |
Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
The Annals of Applied Probability | 2020-08-17 | Paper |
Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
The Annals of Applied Probability | 2020-08-17 | Paper |
| Limit theorem for perturbed random walks | 2020-08-12 | Paper |
Limit theorem for perturbed random walks
(available as arXiv preprint) | 2020-08-12 | Paper |
Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
Vietnam Journal of Mathematics | 2020-04-21 | Paper |
Semi-implicit Milstein approximation scheme for non-colliding particle systems
Calcolo | 2019-09-03 | Paper |
Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
Statistics & Probability Letters | 2019-02-20 | Paper |
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Ima Journal Of Numerical Analysis | 2018-09-26 | Paper |
Semi-implicit Milstein approximation scheme for non-colliding particle systems
(available as arXiv preprint) | 2018-08-28 | Paper |
| Some remarks on the real-time scheme for the estimation of spot volatility | 2018-06-06 | Paper |
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Japan Journal of Industrial and Applied Mathematics | 2017-12-12 | Paper |
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Statistics & Probability Letters | 2017-10-06 | Paper |
Approximation for non-smooth functionals of stochastic differential equations with irregular drift
Journal of Mathematical Analysis and Applications | 2017-09-25 | Paper |
Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
Brazilian Journal of Probability and Statistics | 2017-04-05 | Paper |
Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
Mathematics of Computation | 2016-03-23 | Paper |
Approximations of non-smooth integral type functionals of one dimensional diffusion processes
Stochastic Processes and their Applications | 2014-08-27 | Paper |
Weak Approximations for SDE’s Driven by Lévy Processes
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
On the discrete approximation of occupation time of diffusion processes
Electronic Journal of Statistics | 2013-05-28 | Paper |
Parametric estimation for discretely observed stochastic processes with jumps
Electronic Journal of Statistics | 2013-05-27 | Paper |
An integrated cross-volatility estimation for asynchronous noisy data
Journal of Nonparametric Statistics | 2012-06-25 | Paper |
Real-time estimation scheme for the spot cross volatility of jump diffusion processes
Mathematics and Computers in Simulation | 2010-07-28 | Paper |
A central limit theorem for the functional estimation of the spot volatility
Monte Carlo Methods and Applications | 2010-02-10 | Paper |
On the infinite time horizon approximation for L\'evy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
(available as arXiv preprint) | N/A | Paper |
Numerical schemes for radial Dunkl processes
(available as arXiv preprint) | N/A | Paper |
