24 results on '"Réveillac, Anthony"'
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2. An expansion formula for Hawkes processes and application to cyber-insurance derivatives
3. Functional limit theorems for generalized variations of the fractional Brownian sheet
4. DENSITY ANALYSIS OF BSDES
5. Forward–backward systems for expected utility maximization
6. Pricing formulae for derivatives in insurance using Malliavin calculus
7. Risk measures for processes and BSDEs
8. DIFFERENTIABILITY OF QUADRATIC BSDES GENERATED BY CONTINUOUS MARTINGALES
9. ASYMPTOTIC BEHAVIOR OF WEIGHTED QUADRATIC VARIATIONS OF FRACTIONAL BROWNIAN MOTION: THE CRITICAL CASE H = 1/4
10. Stein Estimation for the Drift of Gaussian Processes Using the Malliavin Calculus
11. FBSDEs with time delayed generators: L p-solutions, differentiability, representation formulas and path regularity
12. Estimation of quadratic variation for two-parameter diffusions
13. Stein estimation of Poisson process intensities
14. The Malliavin-Stein method for Hawkes functionals.
15. The Itô-Tanaka Trick: a non-semimartingale approach.
16. Stochastic regularization effects of semi-martingales on random functions.
17. UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH.
18. HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET.
19. FBSDEs with time delayed generators: Lp -solutions, differentiability, representation formulas and path regularity
20. SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION.
21. Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets.
22. Superefficient drift estimation on the Wiener space
23. On the Malliavin differentiability of BSDEs.
24. Multivariate normal approximation using Stein's method and Malliavin calculus.
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