| Publication | Date of Publication | Type |
|---|
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
SIAM Journal on Financial Mathematics | 2020-05-29 | Paper |
Martingale representation processes and applications in the market viability under information flow expansion
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Invariance properties in the dynamic Gaussian copula model
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Invariance times
The Annals of Probability | 2018-02-14 | Paper |
Invariance times
The Annals of Probability | 2018-02-14 | Paper |
An enlargement of filtration formula with applications to multiple non-ordered default times
Finance and Stochastics | 2018-01-16 | Paper |
| Multi-dimensional BSDEs whose terminal values are bounded and have bounded Malliavin derivatives | 2017-11-08 | Paper |
Random time with differentiable conditional distribution function
Theory of Probability & Its Applications | 2016-12-07 | Paper |
No arbitrage of the first kind and local martingale numéraires
Finance and Stochastics | 2016-10-27 | Paper |
Counterparty risk and funding: immersion and beyond
Finance and Stochastics | 2016-10-27 | Paper |
Drift operator in a viable expansion of information flow
Stochastic Processes and their Applications | 2016-05-27 | Paper |
| From Doob's maximal identity to Azema supermartingale | 2016-02-14 | Paper |
| Construction of multi-default models with full viability | 2015-11-01 | Paper |
Dynamic one-default model
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
| An introduction of the enlargement of filtration | 2015-10-18 | Paper |
Martingale representation property in progressively enlarged filtrations
Stochastic Processes and their Applications | 2015-08-24 | Paper |
BSDEs of counterparty risk
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Optional splitting formula in a progressively enlarged filtration
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
Optional splitting formula in a progressively enlarged filtration
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
| No arbitrage and local martingale deflators | 2015-01-18 | Paper |
On arbitrages arising with honest times
Finance and Stochastics | 2014-09-26 | Paper |
| Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$ | 2014-05-18 | Paper |
| An enlargement of filtration formula with application to progressive enlargement with multiple random times | 2014-02-13 | Paper |
| Dynamic construction of martingales of density functions | 2014-01-27 | Paper |
| $\natural$-model with jumps | 2013-09-29 | Paper |
| An alternative proof of a result of Takaoka | 2013-06-05 | Paper |
| Local solution method for the problem of enlargement of filtration | 2013-02-12 | Paper |
| Drift operator in a market affected by the expansion of information flow : a case study | 2012-07-06 | Paper |
Spectral gaps and exponential integrability of hitting times for linear diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-10-11 | Paper |
An explicit model of default time with given survival probability
Stochastic Processes and their Applications | 2011-07-22 | Paper |
Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Two-parameter Bessel processes
Stochastic Processes and their Applications | 2002-08-29 | Paper |
Markovian uniqueness on Bessel space
Forum Mathematicum | 2001-03-07 | Paper |
| scientific article; zbMATH DE number 1342044 (Why is no real title available?) | 2000-06-27 | Paper |
| scientific article; zbMATH DE number 1210408 (Why is no real title available?) | 1998-11-22 | Paper |
| scientific article; zbMATH DE number 1210408 (Why is no real title available?) | 1998-11-22 | Paper |
Properties of the set of positivity for the density of a regular Wiener functional
Bulletin des Sciences Mathématiques | 1998-10-11 | Paper |
Inequalities for Bochner's subordinates of two-parameter symmetric Markov processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1998-05-18 | Paper |
Inequalities for Bochner's subordinates of two-parameter symmetric Markov processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1998-05-18 | Paper |
Criteria of positivity for the density of the law of a Wiener functional
Bulletin des Sciences Mathématiques | 1998-03-02 | Paper |
Markov uniqueness and essential self-adjointness of perturbed Ornstein-Uhlenbeck operators
Osaka Journal of Mathematics | 1997-06-10 | Paper |
| scientific article; zbMATH DE number 978656 (Why is no real title available?) | 1997-04-08 | Paper |
| scientific article; zbMATH DE number 883596 (Why is no real title available?) | 1996-06-02 | Paper |
| scientific article; zbMATH DE number 563056 (Why is no real title available?) | 1996-04-22 | Paper |
Symmetric Skorohod topology on n-variable functions and hierarchical Markov properties of n-parameter processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-03-14 | Paper |
| scientific article; zbMATH DE number 772320 (Why is no real title available?) | 1996-02-20 | Paper |
| scientific article; zbMATH DE number 819395 (Why is no real title available?) | 1996-02-20 | Paper |
Symmetric stable processes, fubinfs theorem, and some extensions of the ciesielski-taylor identities in law
Stochastics and Stochastic Reports | 1996-01-25 | Paper |
| scientific article; zbMATH DE number 816118 (Why is no real title available?) | 1995-11-14 | Paper |
| scientific article; zbMATH DE number 816118 (Why is no real title available?) | 1995-11-14 | Paper |
| scientific article; zbMATH DE number 701365 (Why is no real title available?) | 1995-10-31 | Paper |
| scientific article; zbMATH DE number 772365 (Why is no real title available?) | 1995-09-20 | Paper |
Markov properties of multiparameter processes and capacities
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1995-09-20 | Paper |
Compactifications of Banach spaces and construction of diffusion processes
Acta Mathematicae Applicatae Sinica. English Series | 1995-06-30 | Paper |
A study on Markovian maximality, change of probability and regularity
Potential Analysis | 1995-05-30 | Paper |
| scientific article; zbMATH DE number 704016 (Why is no real title available?) | 1995-03-21 | Paper |
On symmetric stable random variables and matrix transposition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1994-10-10 | Paper |
On symmetric stable random variables and matrix transposition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1994-10-10 | Paper |
Some calculations on the conditional densities of well-admissible measures on linear spaces
Potential Analysis | 1994-10-05 | Paper |
An infinite dimensional analogue of the Albeverio-Röckner's theorem on Fukushima's conjecture
Acta Mathematicae Applicatae Sinica. English Series | 1994-06-09 | Paper |
| scientific article; zbMATH DE number 503154 (Why is no real title available?) | 1994-04-26 | Paper |
| scientific article; zbMATH DE number 503154 (Why is no real title available?) | 1994-04-26 | Paper |
Closability and resolvent of Dirichlet forms perturbed by jumps
Potential Analysis | 1993-08-31 | Paper |
Ornstein-Uhlenbeck processes and \(W^{2,2}\)-polar sets
Potential Analysis | 1993-08-31 | Paper |
| scientific article; zbMATH DE number 222343 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 176223 (Why is no real title available?) | 1993-05-18 | Paper |
Admissible vectors and their associated Dirichlet forms
Potential Analysis | 1993-02-25 | Paper |
| scientific article; zbMATH DE number 4013670 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4013670 (Why is no real title available?) | 1987-01-01 | Paper |
Quelques conditions suffisantes pour qu'une semi‐martingale soit une quasi‐martingale
Stochastics | 1986-01-01 | Paper |
