Mariusz Niewęgłowski

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources Stochastic Models	2023-08-10	Paper
Construction and simulation of generalized multivariate Hawkes processes Methodology and Computing in Applied Probability	2023-02-17	Paper
Semimartingales and shrinkage of filtration The Annals of Applied Probability	2021-11-04	Paper
Semimartingales and shrinkage of filtration The Annals of Applied Probability	2021-11-04	Paper
Structured dependence between stochastic processes	2020-05-25	Paper
Generalized Multivariate Hawkes Processes	2020-04-28	Paper
Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors Journal of Mathematical Analysis and Applications	2019-05-10	Paper
A note on independence copula for conditional Markov chains Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science	2018-03-06	Paper
Feynman-Kac theorem in random environments and partial integro-differential equations Journal of Mathematical Analysis and Applications	2017-10-13	Paper
Conditional Markov chains: properties, construction and structured dependence Stochastic Processes and their Applications	2017-03-20	Paper
Conditional Markov chains -- construction and properties Banach Center Publications	2015-07-28	Paper
Conditional Markov Chains Revisited Part I: Construction and properties	2015-01-22	Paper
Conditional Markov Chains Part II: Consistency and Copulae	2015-01-22	Paper
Jump-diffusion processes in random environments Journal of Differential Equations	2014-07-10	Paper
Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae Electronic Journal of Probability	2014-01-17	Paper
Study of dependence for some stochastic processes: symbolic Markov copulae Stochastic Processes and their Applications	2012-03-22	Paper
A class of \(\mathbb F\)-doubly stochastic Markov chains Electronic Journal of Probability	2011-09-09	Paper
Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains Advanced Mathematical Methods for Finance	2011-08-08	Paper
Defaultable bonds with an infinite number of Lévy factors Applicationes Mathematicae	2011-01-11	Paper
Pricing bonds and CDS in the model with rating migration induced by a Cox process	2008-11-04	Paper

Research outcomes over time

This page was built for person: Mariusz Niewęgłowski