Publications and Preprints

  1. Hitting probabilities for general Gaussian processes. Preprint, 2014, 34 pages. With E. Nualart. pdf
  2. A third-moment theorem and precise asymptotics for stationary Gaussian sequences. Preprint, 2014, 21 pages. With L. Neufcourt. pdf
  3. Quadratic variations for the fractional-colored stochastic heat equation. Elect. Journ. Probability, revision submitted, 60 pages, 2014. With S. Torres, C.A. Tudor. pdf
  4. Dynamic portfolio selection with mispricing and model ambiguity. Annals of Finance, revision submitted, 38 pages, 2014. With B. Yi, B. Law, and Z. Li. pdf
  5. Comparison inequalities on the Wiener space. Stochastic Processes and their Applications 124 (4) (2014), 1566-1581. With I. Nourdin and G. Peccati pdf
  6. Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Scandinavian Actuarial Journal, in press, 29 pages, 2014. Available online, DOI:10.1080/03461238.2014.883085. With B. Yi, Z. Li, and Y. Zeng. pdf
  7. Robust Optimal Control for an Insurer with Reinsurance and Investment under Heston's Stochastic Volatility Model. Insurance: Mathematics and Economics 53 (2013) 601-614. With B. Yi, Z. Li, and Y. Zeng. pdf
  8. Reconstructing past climate from natural proxies and estimated climate forcings using short- and long-memory models. To appear in Annals of Applied Statistics, 2014. With L. Barboza, B. Li, and M. Tingley. Main article: pdf ; online supplement: pdf
  9. General upper and lower tail estimates using Malliavin calculus and Stein's equations. In press in Seminar on Stochastic Analysis, Random Fields and Applications VII, R.C. Dalang, M. Dozzi, F. Russo editors, Progress in Probability 67, Birkhauser, 2013; 24 pages. With R. Eden. pdf
  10. Stochastic volatility models with long-memory in discrete and continuous time. Quantitative Finance, 12 no. 4 (2012), 635-649. With A. Chronopoulou. pdf
  11. Arbitrage-free models in markets with transaction costs. Electronic Communications in Probability, 16 (2011), 614-622. With H. Sayit. pdf
  12. Portfolio optimization with discrete proportional transaction costs under stochastic volatility. Annals of Finance, 8 no. 2-3 (2012), 405-425. With H.-Y. Kim. pdf
  13. Two-dimensional stochastic Navier-Stokes equation with fractional Brownian noise. Random Operators and Stochastic Equations, 21 no. 2 (2013), 135-159. With L. Fang, P. Sundar. pdf
  14. Estimation and pricing under long-memory stochastic volatility. Annals of Finance, 8 no. 2-3 (2012) 379-403. With A. Chronopoulou. pdf
  15. Gaussian and non-Gaussian processes of zero power variation. 2009; 45 pages. With F. Russo. pdf
  16. Hurst Index Estimation for Self-similar processes with Long-Memory. In: Recent Advances in Stochastic Dynamics and Stochastic Analysis, J. Duan, S. Luo and C. Wang, editors, World Scientific, 2009; 85-112. With A. Chronopoulou. pdf
  17. Mutual fund performance: false discoveries, bias, and power. Annals of Finance, 7 no. 2 (2011), 137-169. With N. Tuzov. pdf
  18. Stokes formula on the Wiener space and n-dimensional Nourdin-Peccati analysis. Journal of Functional Analysis, 258 no. 5 (2009), 1763-1783. With H. Airault and P. Malliavin. pdf
  19. Variations and Hurst index estimation for a Rosenblatt process using longer filters. Electronic Journal of Statistics, 3 (2009), 1393-1435. With A. Chronopoulou and C. Tudor. pdf
  20. Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes. Comptes Rendus - Mathematique, 347, no. 11-12, 2009, 663-666. With A. Chronopoulou and C. Tudor. pdf
  21. Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent. Stochastic Processes and their Applications 119 (2009), 3671-3698. pdf
  22. Variations of the fractional Brownian motion via Malliavin calculus. 2008, 13 pages. To appear in Australian Journal of Mathematical Analysis and Applications. With C. Tudor. pdf
  23. Density estimates and concentration inequalities with Malliavin calculus. Electronic Journal of Probability, 14 (2009), 2287-2309. With I. Nourdin. pdf
  24. Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes. Communications on Stochastic Analysis, 5 no. 1 (2011) 161-185. With A. Chronopoulou, C. Tudor. pdf
  25. Lyapunov exponents for stochastic Anderson models with non-Gaussian noise. Stochastics and Dynamics, 8 no. 3 (2008) 451-473. With H.-Y. Kim and A. Vizcarra. pdf
  26. The fractional stochastic heat equation on the circle: Time regularity and potential theory. Stochastic Processes and their Applications, 119 no. 5 (2009), 1505-1540. With E. Nualart. pdf
  27. Variations and estimators for selfsimilarity parameter through Malliavin calculus. Annals of Probability, 37, no. 6 (2009), 2093-2134. With C. Tudor. pdf
  28. Sharp asymptotics for the partition function of some continuous-time directed polymers. Potential Analysis, 29 no. 2 (2008) 129-166. With A. Cadel, S. Tindel. pdf
  29. Option pricing under a Gamma-modulated diffusion process. Annals of Finance, 7 no. 2 (2011), 199-219. With P. Iglesias, J. San Martin, S. Torres.
  30. Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion. Statistical Inference for Stochastic Processes, 12 no. 3 (2009) 221-250. With M. Levine and S. Torres. pdf
  31. Sharp Estimation of the Almost Sure Asymptotic Behavior for a Brownian Polymer in a Fractional Brownian Environment. Journal of Functional Analysis, 255, no. 10, 2008, 2810-2860. With T. Zhang. pdf
  32. Supremum Concentration Inequality and Modulus of Continuity for Sub-nth Chaos Processes. Journal of Functional Analysis 248 (2007) 1-26. With A. Vizcarra. pdf
  33. Space regularity of stochastic heat equations driven by irregular Gaussian processes. Communications on Stochastic Analysis, 1 (2) (2007) 209-229. With O. Mocioalca. pdf
  34. Portfolio optimization with consumption in a fractional Black-Scholes market. Communications on Stochastic Analysis, 1 no. 3 (2007) 357-379. With Y. Sarol, T. Zhang. pdf
  35. Stochastic volatility: option pricing using a multinomial recombining tree. Applied Mathematical Finance, 15 (2) (2008) 151-181. With I. Florescu. pdf
  36. Superdiffusivity for a Brownian polymer in a continuous Gaussian environment. Annals of Probability, 36 no. 5 (2008) 1642-1672. With S. Bezerra, S. Tindel. pdf
  37. Some applications of the Malliavin calculus to sub-Gaussian and non-sub-Gaussian random fields. Seminar on Stochastic Analysis, Random Fields and Applications, Progress in Probability 59, 363-396, Birkhauser, 2008 With A. Vizcarra. pdf
  38. 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
  39. 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
  40. 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
  41. 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
  42. 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
  43. Skorohod integration and stochastic calculus beyond the fractional Brownian scale. Journal of Functional Analysis, 222 (2004) no. 2, 385-434. With O. Mocioalca. pdf
  44. 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.
  45. 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
  46. 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.
  47. 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
  48. 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
  49. Precise propagation of chaos estimates for Feynman-Kac and genealogical particle models. 2003. With P. del Moral and L. Miclo. pdf
  50. A localized version of the Sherrington-Kirkpatrick model with external field. 2003. With S. Tindel. pdf
  51. 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
  52. 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
  53. 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.
  54. 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.
  55. 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.
  56. Towards pathwise stochastic fast dynamo in magneto-hydrodynamics. Fields Institute Communications 34 (2002), 75-89. With S.B. Hazra. pdf
  57. On space-time regularity for the stochastic heat equations on Lie groups. J. Funct. Analysis 169 (1999), no. 2, 559.603. With S. Tindel.
  58. 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
  59. Evolution equation of a stochastic semigroup with white-noise drift. Ann. Probab. 28 (2000), no. 1, 36.73. With D. Nualart. pdf
  60. 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.
  61. Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Stochastics & Stochastics Reports. 64 (1998) 251-273. With R. Carmona.
  62. 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.