| Publication | Date of Publication | Type |
|---|
| HJB equation for maximization of wealth under insider trading | 2023-08-08 | Paper |
| Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law | 2023-07-13 | Paper |
| Forward integration of bounded variation coefficients with respect to Hölder continuous processes | 2023-06-02 | Paper |
| Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates | 2023-05-17 | Paper |
| Representation of solutions to sticky stochastic differential equations | 2023-04-13 | Paper |
| The implied volatility of Forward-Start options: ATM short-time level, skew and curvature | 2022-07-05 | Paper |
| On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation | 2021-07-16 | Paper |
| Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3 | 2021-03-09 | Paper |
| On local linearization method for stochastic differential equations driven by fractional Brownian motion | 2021-03-02 | Paper |
| Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\). | 2020-08-06 | Paper |
| Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) | 2020-04-27 | Paper |
| A note on the implied volatility of floating strike Asian options | 2020-01-31 | Paper |
| Stability for a class of semilinear fractional stochastic integral equations | 2018-11-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4641976 | 2018-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4641979 | 2018-05-18 | Paper |
| Fractional stochastic differential equation with discontinuous diffusion | 2018-01-25 | Paper |
| Young differential equations with power type nonlinearities | 2017-09-07 | Paper |
| On uniqueness for some non-Lipschitz SDE | 2017-08-29 | Paper |
| On the Curvature of the Smile in Stochastic Volatility Models | 2017-07-20 | Paper |
| Some Feller and Osgood type criteria for semilinear stochastic differential equations | 2017-03-27 | Paper |
| Local Malliavin calculus for Lévy processes and applications | 2016-06-10 | Paper |
| Approximations of Fractional Stochastic Differential Equations by Means of Transport Processes | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2944058 | 2015-09-07 | Paper |
| On the distribution of explosion time of stochastic differential equations | 2014-09-09 | Paper |
| An Osgood's criterion for a semilinear stochastic differential equation | 2014-01-30 | Paper |
| A Strong Approximation of Subfractional Brownian Motion by Means of Transport Processes | 2013-07-30 | Paper |
| Anticipating linear stochastic differential equations driven by a Lévy process | 2012-10-23 | Paper |
| Synchronization of nonlinear fractional order systems | 2012-06-11 | Paper |
| A strong uniform approximation of sub-fractional Brownian motion | 2012-02-08 | Paper |
| Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) | 2011-12-19 | Paper |
| A strong uniform approximation of fractional Brownian motion by means of transport processes | 2009-10-13 | Paper |
| An anticipating It\^o formula for L\'evy processes | 2009-04-27 | Paper |
| A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility | 2009-04-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3611656 | 2009-03-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3542499 | 2008-12-01 | Paper |
| Itô's formula for linear fractional PDEs | 2008-11-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5442670 | 2008-02-22 | Paper |
| On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility | 2007-12-16 | Paper |
| Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2 | 2007-02-15 | Paper |
| Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2 | 2006-09-22 | Paper |
| An extension of the divergence operator for Gaussian processes | 2005-08-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4811460 | 2004-09-06 | Paper |
| An Anticipating Calculus Approach to the Utility Maximization of an Insider | 2003-01-01 | Paper |
| A pathwise approach to backward and forward stochastic differential equations on the poisson space* | 2002-12-02 | Paper |
| On Lévy processes, Malliavin calculus and market models with jumps | 2002-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4541879 | 2002-07-31 | Paper |
| Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\) | 2002-07-29 | Paper |
| Anticipating integral equations | 2002-03-12 | Paper |
| Semilinear fractional stochastic differential equations | 2002-01-01 | Paper |
| THE STOCHASTIC BURGERS EQUATION: FINITE MOMENTS AND SMOOTHNESS OF THE DENSITY | 2001-09-02 | Paper |
| Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524440 | 2001-01-15 | Paper |
| On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space | 2000-09-13 | Paper |
| Stochastic heat equation with random coefficients | 2000-07-05 | Paper |
| Stochastic evolution equations with random generators | 2000-07-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4217849 | 1999-08-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4254839 | 1999-06-29 | Paper |
| Anticipating stochastic differential equations of Stratonovich type | 1999-01-18 | Paper |
| A chaos approach to the anticipating calculus for the poisson process | 1999-01-18 | Paper |
| Stochastic differential equations with random coefficients | 1998-04-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688844 | 1997-12-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688843 | 1997-09-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688686 | 1997-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4884164 | 1997-01-05 | Paper |
| Strong solutions of anticipating stochastic differential equations on the Poisson space | 1996-12-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3138649 | 1994-05-19 | Paper |
| Fubini theorem for anticipating stochastic integrals in Hilbert space | 1993-08-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3976826 | 1992-06-26 | Paper |
| Stochastic Fubini Theorem for Semimartingales in Hilbert Space | 1990-01-01 | Paper |
| On equivalence of solution to stochastic differential equation with antipating evolution system | 1990-01-01 | Paper |
| Stochastic evolution equations with respect to semimartingales in hilbert space | 1989-01-01 | Paper |
