| Publication | Date of Publication | Type |
|---|
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Stochastics | 2025-12-03 | Paper |
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
(available as arXiv preprint) | 2025-01-01 | Paper |
| The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain | 2023-07-03 | Paper |
Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility
Stochastic Processes and their Applications | 2023-01-02 | Paper |
Estimation of tempered stable Lévy models of infinite variation
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
Stochastics | 2022-07-06 | Paper |
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
(available as arXiv preprint) | 2021-07-02 | Paper |
Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
The Annals of Applied Probability | 2020-02-21 | Paper |
Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
The Annals of Applied Probability | 2020-02-21 | Paper |
Bayesian estimations for diagonalizable bilinear SPDEs
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Lower bounds on the generalized central moments of the optimal alignments score of random sequences
Journal of Theoretical Probability | 2018-08-16 | Paper |
Trajectory fitting estimators for SPDEs driven by additive noise
Statistical Inference for Stochastic Processes | 2018-04-16 | Paper |
Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Applied Mathematical Finance | 2018-04-06 | Paper |
High-order short-time expansions for ATM option prices of exponential Lévy models
Mathematical Finance | 2016-07-15 | Paper |
| A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words | 2015-12-17 | Paper |
| Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions | 2015-09-13 | Paper |
Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions
(available as arXiv preprint) | 2015-01-01 | Paper |
A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words
(available as arXiv preprint) | 2015-01-01 | Paper |
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
Stochastic Processes and their Applications | 2012-06-01 | Paper |
| High-order short-time expansions for ATM option prices under the CGMY model | 2011-12-13 | Paper |
| A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain | 2009-11-04 | Paper |
A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain
(available as arXiv preprint) | 2009-01-01 | Paper |
