viens.jpg
Links
› Purdue Stat Dept › Purdue Math Dept › Computational Finance › STAT 598W

Publications and Preprints

  1. Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes. Submitted, 2008. 36 pages. With A. Chronopoulou, C. Tudor. pdf
  2. Lyapunov exponents for stochastic Anderson models with non-Gaussian noise. To appear in Stochastics and Dynamics, 2008. 23 pages. With H.-Y. Kim and A. Vizcarra. pdf
  3. Hitting probabilities for the fractional stochastic heat equation on the circle. 2007, 38 pages. To appear in Potential Analysis. With E. Nualart. pdf
  4. Variations and estimators for the selfsimilarity order through Malliavin calculus. 2007, 37 pages. Submitted. With C. Tudor. pdf
  5. Sharp asymptotics for the partition function of some continuous-time directed polymers. To appear in Potential Analysis, 2007, 30 pages. With A. Cadel, S. Tindel. pdf
  6. Option pricing under a Gamma-modulated diffusion process. 2006. Submitted. With P. Iglesias, J. San Martin, S. Torres.
  7. Consistent estimators for the long-memory parameter in LARCH and fractional Brownian models. 2006, 35 pages. Submitted. With M. Levine and S. Torres. pdf
  8. Sharp Estimation of the Almost Sure Asymptotic Behavior for a Brownian Polymer in a Fractional Brownian Environment. 2006, 47 pages. Submitted. With T. Zhang. pdf
  9. Supremum Concentration Inequality and Modulus of Continuity for Sub-nth Chaos Processes. Journal of Functional Analysis 248 (2007) 1-26. With A. Vizcarra. pdf
  10. Space regularity of stochastic heat equations driven by irregular Gaussian processes. Communications on Stochastic Analysis, 1 (2) (2007) 209-229. With O. Mocioalca. pdf
  11. Portfolio optimization with consumption in a fractional Black-Scholes market. To appear in Communications on Stochastic Analysis, 2007. 23 pages. With Y. Sarol, T. Zhang. pdf
  12. Stochastic volatility: option pricing using a multinomial recombining tree. Applied Mathematical Finance, 15 (2) (2008) 151-181. With I. Florescu. pdf
  13. Superdiffusivity for a Brownian polymer in a continuous Gaussian environment. To appear in Annals of Probability, 2007. 33 pages. With S. Bezerra, S. Tindel. pdf
  14. Some applications of the Malliavin calculus to sub-Gaussian and non-sub-Gaussian random fields. To appear in Seminar on Stochastic Analysis, Random Fields and Applications, 2006, 33 pages. With A. Vizcarra. pdf
  15. Selection of an Optimal Portfolio with Stochastic Volatility and Discrete Observations. Transactions of the Wessex Institute on Modelling and Simulation, 43 (2006), 371-380. With N. Batalova and V. Maroussov. pdf
  16. Statistical aspects of the fractional stochastic calculus. Annals of Statistics, Vol. 35 (3) (2007), 1183-1212. With C.A. Tudor. pdf journal version or pdf extended arXiv version
  17. Ito formula for the two-parameter fractional Brownian motion using the extended divergence operator. Stochastics, An International Journal of Probability & Stochastic Processes. 78 (6) (2006), 443-462. With C.A. Tudor. pdf
  18. Sharp estimation for the almost-sure Lyapunov exponent of the Anderson model in continuous space. Probab. Theory and Related Fields, 135 (2006) no. 4, 603-644. With I. Florescu. pdf
  19. Time regularity of the evolution solution to the fractional stochastic heat equation. Discrete and Continuous Dynamical Systems, B, 6 (2006) no. 4, 895-910. With Y. Sarol. pdf
  20. Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2004). Journal of Functional Analysis, 222 (2004) no. 2, 385-434. With O. Mocioalca. pdf
  21. A Binomial Tree Approach to Stochastic Volatility Driven Model of the Stock Price. Annals of the University of Craiova, Mathematics and Computer Science Series, 32 (2005), p. 126-142. With I. Florescu.
  22. Sharp Gaussian regularity on the circle, and applications to the fractional stochastic heat equation. J. Funct. Analysis, 217 (2004) no. 2, 280-313. With S. Tindel and C.A Tudor. pdf
  23. Ito formula and the local time for the fractional Brownian sheet. Electronic Journal of Probability, 8 (2003) no. 14, 1-31. With C.A. Tudor.
  24. A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility. IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings (2003), 257 - 263. With R. Desai and T. Lele. pdf
  25. Stochastic Evolution Equations with Fractional Brownian Motion. Probability Theory and Related Fields 127 (2003), no. 2, 186.204. With S. Tindel., C.A. Tudor. pdf
  26. Precise propagation of chaos estimates for Feynman-Kac and genealogical particle models. 2003. With P. del Moral and L. Miclo. pdf
  27. A localized version of the Sherrington-Kirkpatrick model with external field. 2003. With S. Tindel. pdf
  28. Convergence of a branching particle system to the solution of a parabolic Stochastic PDE. Rand. Operators Stoch. Eqs. 12 (2004), no. 2, 129.144. With S. Tindel. pdf
  29. Portfolio optimization under partially observed stochastic volatility. COMCON 8. The 8th International Conference on Advances in Communication and Control. W. Wells, Ed. 1-12. Optim. Soft., Inc, Pub. Div., 2002. pdf
  30. Relating the almost-sure Lyapunov exponent of a parabolic SPDE and its coeffcients.spatial regularity. Potential Analysis, 22 (2005) no. 2, 101-125. With S. Tindel.
  31. Almost sure exponential behaviour for a parabolic SPDE on a manifold. Stochastic Processes and Applications 100 (2002), no. 1-2, 53-74. With S. Tindel.
  32. Regularity conditions for the stochastic heat equation on some Lie groups. Seminar on Stochastic Analysis, Random Fields and Applications III, Centro Stefano Franscini, Ascona, September 1999. Progress in Probability, 52 Birkhäuser (2002), 275-297. With S. Tindel.
  33. Towards pathwise stochastic fast dynamo in magneto-hydrodynamics. Fields Institute Communications 34 (2002), 75-89. With S.B. Hazra. pdf
  34. On space-time regularity for the stochastic heat equations on Lie groups. J. Funct. Analysis 169 (1999), no. 2, 559.603. With S. Tindel.
  35. Stochastic heat equation with white noise drift. Annales de l’Institut Henri Poincaré Probab. Statist. 36 (2000), no. 2, 181.218. With E. Alòs, D. Nualart. pdf
  36. Evolution equation of a stochastic semigroup with white-noise drift. Ann. Probab. 28 (2000), no. 1, 36.73. With D. Nualart. pdf
  37. Robustness of Zakai's equation via Feynman-Kac representations. Stochastic analysis, control, optimization and applications, 339.352, Systems Control Found. Appl., Birkhäuser Boston, Boston, MA, 1999. With R. Atar, O. Zeitouni.
  38. Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Stochastics & Stochastics Reports. 64 (1998) 251-273. With R. Carmona.
  39. Sharp upper bound on exponential behavior of a stochastic partial differential equation. Random Operators and Stochastic Equations, 4 (1) (1996) 43-49. With R. Carmona, S. Molchanov.
top