| Publication | Date of Publication | Type |
|---|
Jacobi Processes with Jumps as Neuronal Models: A First Passage Time Analysis
SIAM Journal on Applied Mathematics | 2024-02-27 | Paper |
Non‐classical Tauberian and Abelian type criteria for the moment problem
Mathematische Nachrichten | 2023-10-09 | Paper |
Risk‐neutral pricing techniques and examples
Mathematical Finance | 2023-09-28 | Paper |
Weak similarity orbit of (log)‐self‐similar Markov semigroups on the Euclidean space
Proceedings of the London Mathematical Society | 2023-09-20 | Paper |
Spectral projections correlation structure for short-to-long range dependent processes
European Journal of Applied Mathematics | 2022-12-08 | Paper |
A new class of solutions to the van Dantzig problem, the Lee-Yang property, and the Riemann hypothesis
| 2022-11-29 | Paper |
On intertwining relations between Ehrenfest, Yule and Ornstein-Uhlenbeck processes
| 2022-11-01 | Paper |
Discrete self-similar and ergodic Markov chains
The Annals of Probability | 2022-10-27 | Paper |
A transformation for spectrally negative Lévy processes and applications
| 2022-10-07 | Paper |
Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration
| 2022-08-30 | Paper |
Non-local heat equation with moving boundary and curve-crossing of delayed Brownian motion
| 2022-03-18 | Paper |
Spectral expansions of non-self-adjoint generalized Laguerre semigroups
Memoirs of the American Mathematical Society | 2022-03-17 | Paper |
Discrete self-similar and ergodic Markov chains
| 2022-03-04 | Paper |
Turán inequalities and complete monotonicity for a class of entire functions
Analysis Mathematica | 2021-09-09 | Paper |
Self-similar Cauchy problems and generalized Mittag-Leffler functions
Fractional Calculus \ Applied Analysis | 2021-08-17 | Paper |
Analysis of non-reversible Markov chains via similarity orbits
Combinatorics, Probability and Computing | 2021-06-15 | Paper |
On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
Journal de l’École polytechnique — Mathématiques | 2021-02-26 | Paper |
On interweaving relations
Journal of Functional Analysis | 2020-12-14 | Paper |
A spectral theoretical approach for hypocoercivity applied to some degenerate hypoelliptic, and non-local operators
Kinetic and Related Models | 2020-09-01 | Paper |
The log-Lévy moment problem via Berg-Urbanik semigroups
Studia Mathematica | 2020-07-14 | Paper |
Purely excessive functions and hitting times of continuous-time branching processes
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
The Annals of Probability | 2019-12-18 | Paper |
On interweaving relations
| 2019-10-30 | Paper |
On a gateway between continuous and discrete Bessel and Laguerre processes
Annales Henri Lebesgue | 2019-08-30 | Paper |
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
Journal of Statistical Physics | 2019-08-01 | Paper |
Skip-free Markov chains
Transactions of the American Mathematical Society | 2019-05-06 | Paper |
Bernstein-gamma functions and exponential functionals of Lévy processes
Electronic Journal of Probability | 2018-08-24 | Paper |
Option pricing in a one-dimensional affine term structure model via spectral representations
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Smoothness of continuous state branching with immigration semigroups
Journal of Mathematical Analysis and Applications | 2017-12-12 | Paper |
Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials
Journal of Spectral Theory | 2017-11-01 | Paper |
A sufficient condition for continuous-time finite skip-free Markov chains to have real eigenvalues
Mathematical and Computational Approaches in Advancing Modern Science and Engineering | 2017-02-03 | Paper |
Convergence analysis of the spectral expansion of stable related semigroups
Mathematical and Computational Approaches in Advancing Modern Science and Engineering | 2017-02-03 | Paper |
Spectral decomposition of fractional operators and a reflected stable semigroup
Journal of Differential Equations | 2016-12-22 | Paper |
Boundary crossing identities for Brownian motion and some nonlinear ODE's
Proceedings of the American Mathematical Society | 2014-09-17 | Paper |
Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2013-07-30 | Paper |
Asian options under one-sided Lévy models
Journal of Applied Probability | 2013-06-26 | Paper |
A Wiener-Hopf type factorization for the exponential functional of Lévy processes
Journal of the London Mathematical Society | 2012-12-06 | Paper |
A refined factorization of the exponential law
Bernoulli | 2012-09-19 | Paper |
Optimal stopping problems for some Markov processes
The Annals of Applied Probability | 2012-07-08 | Paper |
Extended factorizations of exponential functionals of Lévy processes
Electronic Journal of Probability | 2012-06-22 | Paper |
Law of the absorption time of some positive self-similar Markov processes
The Annals of Probability | 2012-05-11 | Paper |
Intertwining certain fractional derivatives
Potential Analysis | 2012-05-08 | Paper |
A Ciesielski-Taylor type identity for positive self-similar Markov processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-10-11 | Paper |
A transformation for L\'evy processes with one-sided jumps and applications
| 2010-10-19 | Paper |
Absolute ruin in the Ornstein-Uhlenbeck type risk model
| 2010-06-11 | Paper |
Boundary-crossing identities for diffusions having the time-inversion property
Journal of Theoretical Probability | 2010-04-23 | Paper |
Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-10-08 | Paper |
Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
Bulletin des Sciences Mathématiques | 2009-06-30 | Paper |
q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
| 2009-04-27 | Paper |
Law of the exponential functional of one-sided Lévy processes and Asian options
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-04-16 | Paper |
A few remarks on the supremum of stable processes
Statistics & Probability Letters | 2009-04-14 | Paper |
Law of the exponential functional of a new family of one-sided Levy processes via self-similar continuous state branching processes with immigration and the Wright hypergeometric functions
| 2007-12-07 | Paper |
Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
Electronic Communications in Probability | 2007-11-19 | Paper |
On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
Stochastic Models | 2005-12-09 | Paper |
Strategic long-term financial risks: single risk factors
Computational Optimization and Applications | 2005-11-16 | Paper |
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
Stochastic Processes and their Applications | 2005-08-05 | Paper |
On the first crossing times of a Brownian motion and a family of continuous curves
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2005-02-24 | Paper |
scientific article; zbMATH DE number 1795849 (Why is no real title available?)
| 2003-01-15 | Paper |
