| Publication | Date of Publication | Type |
|---|
| A probabilistic representation of the derivative of a one dimensional killed diffusion semigroup and associated Bismut-Elworthy-Li formula | 2023-12-12 | Paper |
| Integration by parts formula for exit times of one dimensional diffusions | 2023-10-11 | Paper |
| Small time chaos approximations for heat kernels of multidimensional diffusions | 2023-02-16 | Paper |
| Simulation of reflected Brownian motion on two dimensional wedges | 2023-01-02 | Paper |
| Using moment approximations to study the density of jump driven SDEs | 2022-06-13 | Paper |
| Density estimates for jump diffusion processes | 2022-03-03 | Paper |
| Large time asymptotic properties of the stochastic heat equation | 2021-07-26 | Paper |
| Density estimates for jump diffusion processes | 2021-04-25 | Paper |
| Improved local approximation for multidimensional diffusions: The G-rates | 2021-01-08 | Paper |
| Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations | 2020-09-02 | Paper |
| Joint density of a stable process and its supremum: regularity and upper bounds | 2020-08-04 | Paper |
| Asymptotic properties of the stochastic heat equation in large times | 2019-09-23 | Paper |
| Integration by parts formula for killed processes: a point of view from approximation theory | 2019-09-19 | Paper |
| Jump SDEs and the study of their densities. A self-study book | 2019-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5383140 | 2019-06-19 | Paper |
| Stochastic formulations of the parametrix method | 2019-01-28 | Paper |
| Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process | 2018-12-13 | Paper |
| Parametrix methods for one-dimensional reflected SDEs | 2018-03-08 | Paper |
| Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift | 2017-08-01 | Paper |
| LAN property for an ergodic diffusion with jumps | 2017-07-20 | Paper |
| Unbiased simulation of stochastic differential equations using parametrix expansions | 2017-05-11 | Paper |
| Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients | 2016-10-28 | Paper |
| On the first hitting times of one dimensional elliptic diffusions | 2016-09-29 | Paper |
| The parametrix method for skew diffusions | 2016-09-06 | Paper |
| Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions | 2016-04-21 | Paper |
| A Short Course on Weak Approximations for Lévy Driven SDE’s | 2016-02-09 | Paper |
| A probabilistic interpretation of the parametrix method | 2015-11-24 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2015-08-07 | Paper |
| LAN property for a simple Lévy process | 2014-11-04 | Paper |
| Hölder continuity property of the densities of SDEs with singular drift coefficients | 2014-09-24 | Paper |
| Optimal simulation schemes for Lévy driven stochastic differential equations | 2014-09-10 | Paper |
| Approximations of non-smooth integral type functionals of one dimensional diffusion processes | 2014-08-27 | Paper |
| Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme | 2014-06-13 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2014-05-27 | Paper |
| Weak Approximations for SDE’s Driven by Lévy Processes | 2014-02-19 | Paper |
| Erratum | 2014-02-19 | Paper |
| Hölder continuity property of the densities of SDEs with singular drift coefficients | 2014-02-18 | Paper |
| A market model with medium/long-term effects due to an insider | 2014-02-08 | Paper |
| An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure | 2013-07-30 | Paper |
| Estimates for the density of functionals of SDEs with irregular drift | 2013-04-22 | Paper |
| Smoothness of the distribution of the supremum of a multi-dimensional diffusion process | 2013-02-15 | Paper |
| A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations | 2012-09-07 | Paper |
| Strong Consistency of Bayesian Estimator Under Discrete Observations and Unknown Transition Density | 2012-09-07 | Paper |
| Statistical Inference and Malliavin Calculus | 2012-08-24 | Paper |
| A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts | 2012-08-20 | Paper |
| Insider models with finite utility in markets with jumps | 2011-11-30 | Paper |
| MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME | 2011-10-11 | Paper |
| Jump-adapted discretization schemes for Lévy-driven SDEs | 2010-11-19 | Paper |
| Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion | 2010-09-21 | Paper |
| Weak Kyle–Back Equilibrium Models for Max and ArgMax | 2010-06-01 | Paper |
| Lower bounds for densities of Asian type stochastic differential equations | 2010-05-17 | Paper |
| Estimating Multidimensional Density Functions Using the Malliavin–Thalmaier Formula | 2010-05-11 | Paper |
| An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs | 2009-07-17 | Paper |
| Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading | 2009-06-05 | Paper |
| An optimal control variance reduction method for density estimation | 2009-01-16 | Paper |
| Enlargement of filtrations with random times for processes with jumps | 2008-08-22 | Paper |
| Estimating multidimensional density functions for random variables in Wiener space | 2008-03-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5439448 | 2008-02-11 | Paper |
| Models for Insider Trading with Finite Utility | 2008-01-14 | Paper |
| A duality approach for the weak approximation of stochastic differential equations | 2007-02-05 | Paper |
| A Large Trader-Insider Model | 2006-09-18 | Paper |
| UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET | 2006-06-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3375791 | 2006-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374063 | 2006-03-09 | Paper |
| Additional utility of insiders with imperfect dynamical information | 2005-05-20 | Paper |
| Densities of one-dimensional backward SDEs | 2005-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4667292 | 2005-04-19 | Paper |
| Computation of Greeks for barrier and look-back options using Malliavin calculus | 2005-03-14 | Paper |
| A BPE model for the Burgers equation | 2004-11-05 | Paper |
| On moments and tail behaviors of storage processes | 2004-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4445184 | 2004-01-28 | Paper |
| Lower bounds for densities of uniformly elliptic random variables on Wiener space | 2003-08-14 | Paper |
| Rate of convergence of a particle method to the solution of the McKean-Vlasov equation | 2003-05-06 | Paper |
| Malliavin calculus applied to finance | 2003-02-19 | Paper |
| Variance Reduction Methods for Simulation of Densities on Wiener Space | 2003-01-05 | Paper |
| Local Vega Index and Variance Reduction Methods | 2003-01-01 | Paper |
| Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options | 2003-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2767487 | 2002-10-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4548765 | 2002-08-26 | Paper |
| Asymptotic behavior of the density in a parabolic SPDE | 2002-08-14 | Paper |
| Logarithmic estimates for the density of hypoelliptic two-parameter diffusions | 2002-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2705419 | 2001-03-21 | Paper |
| Weak approximations. A Malliavin calculus approach | 2000-11-22 | Paper |
| Filtration stability of backward sde's | 2000-03-23 | Paper |
| Anticipating stochastic differential equations of Stratonovich type | 1999-01-18 | Paper |
| High order Itô-Taylor approximations to heat kernels | 1998-11-11 | Paper |
| Stochastic differential equations with random coefficients | 1998-04-01 | Paper |
| Weak rate of convergence for an Euler scheme of nonlinear SDE’s | 1998-02-25 | Paper |
| Existence and regularity of density for solutions to stochastic differential equations with boundary conditions | 1997-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688843 | 1997-09-01 | Paper |
| The euler scheme for anticipating stochastic differential equations | 1997-02-24 | Paper |
| Strong approximations for stochastic differential equations with boundary conditions | 1996-08-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4322881 | 1995-02-13 | Paper |
| Weak convergence of infinite order U-processes | 1992-06-27 | Paper |
| Weak convergence of a sequence of stochastic processes related with U- statistics | 1990-01-01 | Paper |
