94 results on '"Réveillac, Anthony"'
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2. Poisson imbedding meets the Clark-Ocone formula
3. Explicit correlations for the Hawkes processes
4. Normal approximation of compound Hawkes functionals
5. On the chaotic expansion for counting processes
6. The Malliavin-Stein method for Hawkes functionals
7. An expansion formula for Hawkes processes and application to cyber-insurance derivatives
8. Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
9. The It{\^o}-Tanaka Trick: a non-semimartingale approach
10. Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{\'o}lder inequality
11. On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for the white noise dispersion
12. Pricing formulae for derivatives in insurance using the Malliavin calculus
13. Stochastic regularization effects of semi-martingales on random functions
14. Utility maximization with random horizon: a BSDE approach
15. A note on the Malliavin-Sobolev spaces
16. Functional limit theorems for generalized variations of the fractional Brownian sheet
17. On the Malliavin differentiability of BSDEs
18. Density analysis of BSDEs
19. A Note on BSDEs with singular coefficients
20. Risk measures for processes and BSDEs
21. BSDEs with weak terminal condition
22. Forward-backward systems for expected utility maximization
23. Weak martingale representation for continuous Markov processes and application to quadratic growth BSDEs
24. CRRA Utility Maximization under Risk Constraints
25. Hermite variations of the fractional Brownian sheet
26. FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
27. The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
28. On the orthogonal component of BSDEs in a Markovian setting
29. Differentiability of quadratic BSDEs generated by continuous martingales
30. Stein estimation for the drift of Gaussian processes using the Malliavin calculus
31. SURE shrinkage of Gaussian paths and signal identification
32. Stochastic analysis on Gaussian space applied to drift estimation
33. Multivariate normal approximation using Stein's method and Malliavin calculus
34. Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case $H=1/4$
35. Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets
36. Estimation of quadratic variation for two-parameter diffusions
37. Likelihood ratios and Bayesian inference for Poisson channels
38. Functional limit theorems for generalized variations of the fractional Brownian sheet
39. DENSITY ANALYSIS OF BSDES
40. Forward–backward systems for expected utility maximization
41. Pricing formulae for derivatives in insurance using Malliavin calculus
42. On a stochastic Hardy–Littlewood–Sobolev inequality with application to Strichartz estimates for a noisy dispersion
43. DIFFERENTIABILITY OF QUADRATIC BSDES GENERATED BY CONTINUOUS MARTINGALES
44. ASYMPTOTIC BEHAVIOR OF WEIGHTED QUADRATIC VARIATIONS OF FRACTIONAL BROWNIAN MOTION: THE CRITICAL CASE H = 1/4
45. FBSDEs with time delayed generators: L p-solutions, differentiability, representation formulas and path regularity
46. The Itô-Tanaka Trick : a non-semimartingale approach
47. The Malliavin-Stein method for Hawkes functionals
48. Estimation of quadratic variation for two-parameter diffusions
49. Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-Hölder inequality
50. Stochastic regularization effects of semi-martingales on random functions
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