| Publication | Date of Publication | Type |
|---|
An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line
Stochastic Processes and their Applications | 2025-01-08 | Paper |
Stochastic PDEs for large portfolios with general mean-reverting volatility processes
Probability, Uncertainty and Quantitative Risk | 2024-09-30 | Paper |
Recent advances in reinforcement learning in finance
Mathematical Finance | 2024-01-31 | Paper |
| Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing | 2023-12-20 | Paper |
| Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity | 2023-10-24 | Paper |
| Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times | 2023-07-20 | Paper |
A stochastic model of chemorepulsion with additive noise and nonlinear sensitivity
Stochastic and Partial Differential Equations. Analysis and Computations | 2023-07-18 | Paper |
Dimension results and local times for superdiffusions on fractals
Stochastic Processes and their Applications | 2023-03-14 | Paper |
A probabilistic model for interfaces in a martensitic phase transition
Journal of Applied Probability | 2022-11-14 | Paper |
| An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line | 2022-10-18 | Paper |
McKean-Vlasov equations with positive feedback through elastic stopping times
Electronic Communications in Probability | 2022-09-26 | Paper |
Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
SIAM Journal on Control and Optimization | 2021-10-18 | Paper |
A forward equation for barrier options under the Brunick \& Shreve Markovian projection
Quantitative Finance | 2021-07-16 | Paper |
An approximation of solutions to heat equations defined by generalized measure theoretic Laplacians
Journal of Evolution Equations | 2021-04-27 | Paper |
The damped stochastic wave equation on post-critically finite fractals
Analysis, Probability and Mathematical Physics on Fractals | 2020-12-02 | Paper |
The damped stochastic wave equation on post-critically finite fractals
Analysis, Probability and Mathematical Physics on Fractals | 2020-12-02 | Paper |
Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
Applied Mathematical Finance | 2020-10-20 | Paper |
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Finance and Stochastics | 2020-08-03 | Paper |
A reflected moving boundary problem driven by space-time white noise
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-03-06 | Paper |
Stefan problems for reflected SPDEs driven by space-time white noise
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Erratum to: ``Stochastic evolution equations for large portfolios of stochastic volatility models
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
A McKean-Vlasov equation with positive feedback and blow-ups
The Annals of Applied Probability | 2019-10-22 | Paper |
A McKean-Vlasov equation with positive feedback and blow-ups
The Annals of Applied Probability | 2019-10-22 | Paper |
Heat kernel estimates for FIN processes associated with resistance forms
Stochastic Processes and their Applications | 2019-09-19 | Paper |
An SPDE model for systemic risk with endogenous contagion
Finance and Stochastics | 2019-06-27 | Paper |
Degenerate limits for one-parameter families of non-fixed-point diffusions on fractals
Journal of Fractal Geometry | 2019-03-14 | Paper |
Existence and space-time regularity for stochastic heat equations on p.c.f. fractals
Electronic Journal of Probability | 2018-05-15 | Paper |
Existence and space-time regularity for stochastic heat equations on p.c.f. fractals
Electronic Journal of Probability | 2018-05-15 | Paper |
Stochastic evolution equations for large portfolios of stochastic volatility models
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Spectral asymptotics for \(V\)-variable Sierpinski gaskets
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Spectral asymptotics for \(V\)-variable Sierpinski gaskets
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line
The Annals of Applied Probability | 2018-01-04 | Paper |
A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line
The Annals of Applied Probability | 2018-01-04 | Paper |
Time-changes of stochastic processes associated with resistance forms
Electronic Journal of Probability | 2017-10-25 | Paper |
Time-changes of stochastic processes associated with resistance forms
Electronic Journal of Probability | 2017-10-25 | Paper |
Central limit theorems for the spectra of classes of random fractals
Transactions of the American Mathematical Society | 2017-10-12 | Paper |
| Continuous random field solutions to parabolic SPDEs on p.c.f. fractals | 2017-09-04 | Paper |
Discretely sampled signals and the rough Hoff process
Stochastic Processes and their Applications | 2016-08-08 | Paper |
| The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index | 2015-10-20 | Paper |
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Methodology and Computing in Applied Probability | 2015-09-23 | Paper |
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Mathematical Methods of Operations Research | 2015-03-20 | Paper |
The Hausdorff spectrum of a class of multifractal processes
Stochastic Processes and their Applications | 2015-02-27 | Paper |
Invariance principle for the random conductance model
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-09-09 | Paper |
Convergence of mixing times for sequences of random walks on finite graphs
Electronic Journal of Probability | 2012-06-22 | Paper |
Spectral asymptotics for stable trees
Electronic Journal of Probability | 2011-09-09 | Paper |
Spectral asymptotics for stable trees
Electronic Journal of Probability | 2011-09-09 | Paper |
Multifractal spectra for random self-similar measures via branching processes
Advances in Applied Probability | 2011-05-03 | Paper |
Asymptotics for functions associated with heat flow on the Sierpiński carpet
Canadian Journal of Mathematics | 2011-02-11 | Paper |
Diffusion on the scaling limit of the critical percolation cluster in the diamond hierarchical lattice
Communications in Mathematical Physics | 2010-07-02 | Paper |
Uniqueness for the signature of a path of bounded variation and the reduced path group
Annals of Mathematics. Second Series | 2010-05-27 | Paper |
Uniqueness for the signature of a path of bounded variation and the reduced path group
Annals of Mathematics. Second Series | 2010-05-27 | Paper |
Modelling spikes and pricing swing options in electricity markets
Quantitative Finance | 2010-02-05 | Paper |
Parabolic Harnack inequality and local limit theorem for percolation clusters
Electronic Journal of Probability | 2009-11-20 | Paper |
Parabolic Harnack inequality and local limit theorem for percolation clusters
Electronic Journal of Probability | 2009-11-20 | Paper |
Parabolic Harnack inequality and local limit theorem for percolation clusters
Electronic Journal of Probability | 2009-11-20 | Paper |
Erratum to ``Number variance from a probabilistic perspective, infinite systems of independent Brownian motions and symmetric \(\alpha\)-stable processes
Electronic Journal of Probability | 2009-11-20 | Paper |
Erratum to ``Number variance from a probabilistic perspective, infinite systems of independent Brownian motions and symmetric \(\alpha\)-stable processes
Electronic Journal of Probability | 2009-11-20 | Paper |
Local limit theorems for sequences of simple random walks on graphs
Potential Analysis | 2008-11-25 | Paper |
| Some notes on trees and paths | 2008-09-08 | Paper |
Self-similarity and spectral asymptotics for the continuum random tree
Stochastic Processes and their Applications | 2008-04-28 | Paper |
Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric \(\alpha\)-stable processes.
Electronic Journal of Probability | 2007-11-23 | Paper |
Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric \(\alpha\)-stable processes.
Electronic Journal of Probability | 2007-11-23 | Paper |
Heavy tails in last-passage percolation
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2007-02-14 | Paper |
SELF-SIMILAR ENERGIES ON POST-CRITICALLY FINITE SELF-SIMILAR FRACTALS
Journal of the London Mathematical Society | 2006-09-25 | Paper |
Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Concentration results for a Brownian directed percolation problem.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
ASYMPTOTICS FOR THE SPECTRAL AND WALK DIMENSION AS FRACTALS APPROACH EUCLIDEAN SPACE
Fractals | 2005-11-03 | Paper |
Random fractal strings: Their zeta functions, complex dimensions and spectral asymptotics
Transactions of the American Mathematical Society | 2005-10-06 | Paper |
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
Mathematical Finance | 2005-05-09 | Paper |
| scientific article; zbMATH DE number 2154239 (Why is no real title available?) | 2005-04-08 | Paper |
A random hierarchical lattice: the series-parallel graph and its properties
Advances in Applied Probability | 2005-03-30 | Paper |
| scientific article; zbMATH DE number 2144604 (Why is no real title available?) | 2005-03-14 | Paper |
The characteristic polynomial of a random permutation matrix.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Fluctuation of the transition density for Brownian motion on random recursive Sierpiński gaskets.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Diffusion processes on fractal fields: Heat kernel estimates and large deviations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2004-03-11 | Paper |
Thick and thin points for random recursive fractals
Advances in Applied Probability | 2004-03-07 | Paper |
| scientific article; zbMATH DE number 1959507 (Why is no real title available?) | 2003-08-05 | Paper |
FINITELY RAMIFIED GRAPH-DIRECTED FRACTALS, SPECTRAL ASYMPTOTICS AND THE MULTIDIMENSIONAL RENEWAL THEOREM
Proceedings of the Edinburgh Mathematical Society | 2003-01-01 | Paper |
Extending the Wong-Zakai theorem to reversible Markov processes
Journal of the European Mathematical Society (JEMS) | 2002-12-01 | Paper |
Self-repelling walk on the Sierpiński gasket
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
Multifractal formalisms for the local spectral and walk dimensions
Mathematical Proceedings of the Cambridge Philosophical Society | 2002-09-16 | Paper |
Asymptotically one-dimensional diffusion on the Sierpiński gasket and multi-type branching processes with varying environment
Journal of Theoretical Probability | 2002-08-20 | Paper |
Modelling transport in disordered media via diffusion on fractals.
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Pitman's \(2M-X\) theorem for skip-free random walks with Markovian increments
Electronic Communications in Probability | 2002-01-07 | Paper |
Pitman's \(2M-X\) theorem for skip-free random walks with Markovian increments
Electronic Communications in Probability | 2002-01-07 | Paper |
Transition density estimates for diffusion processes on homogeneous random Sierpiński carpets
Journal of the Mathematical Society of Japan | 2001-06-24 | Paper |
On the asymptotics of the eigenvalue counting function for random recursive Sierpinski gaskets
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2001-02-05 | Paper |
| scientific article; zbMATH DE number 1424082 (Why is no real title available?) | 2000-11-06 | Paper |
Poissonian behavior of Ising spin systems in an external field
Journal of Statistical Physics | 2000-08-09 | Paper |
Transition Density Estimates for Diffusion Processes on Post Critically Finite Self-Similar Fractals
Proceedings of the London Mathematical Society | 2000-06-22 | Paper |
Stochastic area for Brownian motion on the Sierpiński gasket
The Annals of Probability | 2000-05-25 | Paper |
The homogenization problem for Vicsek set
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Heat kernel estimates and homogenization for asymptotically lower dimensional processes on some nested fractals
Potential Analysis | 1999-04-06 | Paper |
Transition density estimates for Brownian motion on scale irregular Sierpiński gaskets
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1998-12-20 | Paper |
Transition density estimates for Brownian motion on scale irregular Sierpiński gaskets
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1998-12-20 | Paper |
On the Survival Probability of a Branching Process in a Random Environment
Advances in Applied Probability | 1998-02-03 | Paper |
Brownian motion on a random recursive Sierpinski gasket
The Annals of Probability | 1997-10-26 | Paper |
On constant tail behaviour for the limiting random variable in a supercritical branching process
Journal of Applied Probability | 1995-05-23 | Paper |
Transition density estimates for Brownian motion on affine nested fractals
Communications in Mathematical Physics | 1994-12-18 | Paper |
Brownian motion on a homogeneous fractal
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1993-03-04 | Paper |
On the limiting distribution of a supercritical branching process in a random environment
Journal of Applied Probability | 1993-01-16 | Paper |
Stochastic PDEs for large portfolios with general mean-reverting volatility processes
(available as arXiv preprint) | N/A | Paper |
