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53 On mild solutions to some dissipative SPDEs on $L^p$ spaces with additive noise arXiv:2312.17651
52 On some semiparametric estimates for European option prices J. Appl. Probab. (in press) arXiv:2306.10929
51 Nonparametric estimates of option prices via Hermite basis functions
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Stefano d'Addona Ann. Finance 19 (2023), 477–522 arXiv:2209.09656
50 On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs arXiv:2201.00053
49 On certain representations of pricing functionals arXiv:2109.05564
48 On the differentiability of solutions to singularly perturbed SPDEs arXiv:2012.15338
47 Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
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Sergio Albeverio, Elisa Mastrogiacomo J. Differential Equations 342 (2023), 282-324 arXiv:2012.14510
46 An alternative proof of well-posedness of stochastic evolution equations in the variational setting
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Luca Scarpa, Ulisse Stefanelli Rev. Roumaine Math. Pures Appl. 66 (2021), 209-221 arXiv:2009.09700
45 On the positivity of local mild solutions to stochastic evolution equations
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Luca Scarpa Geometry and Invariance in Stochastic Dynamics, S. Ugolini et al. eds. (2022), 231-245 arXiv:1912.13259
44 Positivity of mild solution to stochastic evolution equations with an application to forward rates arXiv:1912.12472
43 Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
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Lluís Quer i Sardanyons Potential Anal. 57 (2022), no. 2, 243-261 arXiv:1905.08739
42 Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum
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Luca Scarpa J. Evol. Equ. 20 (2020), no. 3, 1093–1130 arXiv:1812.09949
41 Well-posedness of monotone semilinear SPDEs with semimartingale noise
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Luca Scarpa Séminaire de Probabilités LI (2022), 259-301 arXiv:1805.07562
40 A note on doubly nonlinear SPDEs with singular drift in divergence form
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Luca Scarpa Atti Accad. Naz. Lincei Rend. Lincei Mat. Appl. 29 (2018), no. 4, 619–633 arXiv:1712.05595
39 Refined existence and regularity results for a class of semilinear dissipative SPDEs
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Luca Scarpa Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23 (2020), no. 2, 2050014, 34 pp. arXiv:1711.11091
38 Ergodicity and Kolmogorov equations for dissipative SPDEs with singular drift: a variational approach
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Luca Scarpa Potential Anal. 52 (2020), no. 1, 69–103 arXiv:1710.05612
37 On the well-posedness of SPDEs with singular drift in divergence form
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Luca Scarpa Stochastic Partial Differential Equations and Related Fields, A. Eberle et al. eds. (2018), 225-235 arXiv:1701.08326
36 Strong solutions to SPDEs with monotone drift in divergence form
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Luca Scarpa Stoch. Partial Differ. Equ. Anal. Comput. 6 (2018), no. 3, 364–396 arXiv:1612.08260
35 A variational approach to dissipative SPDEs with singular drift
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Luca Scarpa Ann. Probab. 46 (2018), no. 3, 1455-1497 arXiv:1604.08808
34 On well-posedness of semilinear stochastic evolution equations on $L_p$ spaces
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SIAM J. Math. Anal. 50 (2018), no. 2, 2111–2143 arXiv:1512.04323
33 Nonparametric estimates of pricing functionals
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Stefano d'Addona J. of Empirical Finance 44 (2017), 19-35 arXiv:1506.06568
32 On maximal inequalities for purely discontinuous $L_q$-valued martingales arXiv:1311.7120
31 On maximal inequalities for purely discontinuous martingales in infinite dimensions
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Michael Röckner Séminaire de Probabilités XLVI (2014), 293-315 arXiv:1308.2648
30 On the maximal inequalities of Burkholder, Davis and Gundy
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Michael Röckner Expo. Math. 34 (2016), no. 1, 1-26 arXiv:1308.2418
29 On the relation between forecast precision and trading profitability of financial analysts
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Alex Weissensteiner J. Financial Markets 20 (2014), 39-60 arXiv:1301.6638
28 On smoothing properties of transition semigroups associated to a class of SDEs with jumps
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Seiichiro Kusuoka Ann. Inst. H. Poincaré Probab. Statist. 50 (2014), no. 4, 1347-1370 arXiv:1208.2860
27 Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps
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J. Funct. Anal. 264 (2013), no. 12, 2784-2816 arXiv:1205.5875
26 Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
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Eulàlia Nualart, Lluís Quer i Sardanyons Potential Anal. 39 (2013), no. 3, 287-311 arXiv:1202.4610
25 Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise
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Seminar on Stochastic Analysis, Random Fields and Applications VII (2013) arXiv:1110.4100
24 Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
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Andreas Eberle Probab. Theory Related Fields 155 (2013), no. 3, 665-701 arXiv:1010.1696
23 Multivariate heavy-tailed models for Value-at-Risk estimation
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Stefano d'Addona, Svetlozar T. Rachev Int. J. Theor. Appl. Finance 15 (2012), no. 4, 1250029 arXiv:1005.2862
22 Existence of weak solutions for a class of semilinear stochastic wave equations
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Lluís Quer i Sardanyons SIAM J. Math. Anal. 44 (2012), no. 2, 906-925 arXiv:1003:1024
21 On uniqueness of mild solutions for dissipative stochastic evolution equations
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Michael Röckner Inf. Dim. Anal. Quantum Probab. 13 (2010), no. 3, 363-376 arXiv:1001.5413
20 Ergodicity for nonlinear stochastic evolution equations with multiplicative Poisson noise
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Giacomo Ziglio Dyn. Partial Differ. Equ. 7 (2010), no. 1, 1-24 arXiv:0909.3725
19 $L^p$ estimates for Feynman-Kac propagators with time-dependent reference measures
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Andreas Eberle J. Math. Anal. Appl. 365 (2010), no. 1, 120-134 arXiv:0905.4411
18 Well-posedness and asymptotic behavior for stochastic reaction-diffusion equ ations with multiplicative Poisson noise
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Michael Röckner Electron. J. Probab. 15 (2010), 1529-1555 arXiv:0903.3299
17 Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
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Claudia Prévôt, Michael Röckner J. Funct. Anal. 258 (2010), no. 2, 616-649 arXiv:0808.1509
16 Strong solutions for stochastic porous media equations with jumps
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Viorel Barbu Inf. Dim. Anal. Quantum Probab. 12 (2009), no. 3, 413-426 arXiv:0802.3594
15 Stochastic FitzHugh-Nagumo equations on networks with impulsive noise
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Stefano Bonaccorsi, Giacomo Ziglio Electron. J. Probab. 13 (2008), 1362-1379 arXiv:0712.0580
14 Local well-posedness of Musiela's SPDE with Lévy noise
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Math. Finance 20 (2010), no. 3, 341-363 arXiv:0704.2380
13 Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
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Quant. Finance 10 (2010), no. 1, 39-47 math/0702622
12 On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
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Fausto Gozzi, Sergei Savin J. Optim. Theory Appl. 142 (2009), no. 2, 291-321 math/0701580
11. Convergence of sequential Markov Chain Monte Carlo methods: I. Nonlinear flow of probability measures Andreas Eberle math/0612074
10 Stability of sequential Markov Chain Monte Carlo methods
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Andreas Eberle ESAIM: Proc. 19 (2007), 22-31. SFB611 310
9 A comparison of some univariate models for Value-at-Risk and Expected Shortfall
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Stefano d'Addona, Svetlozar T. Rachev Int. J. Theor. Appl. Finance 10 (2007), no. 6, 1043-1075 SSRN 958609
8 Variational inequalities in Hilbert spaces with measures and optimal stopping problems
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Viorel Barbu Appl. Math. Optim. 57 (2008), no. 1, 237-262 math/0608379
7 A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs
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Emilio De Santis J. Phys. A: Math. Theor. 40 (2007), 11777-11790 math/0505608
6 Stochastic optimal control of delay equations arising in advertising models
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Fausto Gozzi SPDE and applications VII (G. Da Prato and L. Tubaro eds.), 133-148, 2006 math/0412403
5 Reconstructing the drift of a diffusion from partially observed transition probabilities
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Sergio Albeverio Stoch. Proc. Appl. 115 (2005), no. 9, 1487-1502 math/0411008
4. Optimal distributed dynamic advertising
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Sergei Savin J. Optim. Theory Appl. 137 (2008), no. 3, 569-591 math/0406435
3. The Stochastic Goodwill Problem
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European J. Oper. Res. 176 (2007), no. 1, 389-404 math/0310316
2. Computational Issues in Stable Financial Modeling
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Svetlozar T. Rachev Applied Mathematics Review, vol. 1, World Sci. Publ., 285-327, 2000 SSRN 603601
1b. Subordinated Stock Price Models: Heavy Tails and Long-range Dependence in the High Frequency Deutsche Bank Price Record
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Svetlozar T. Rachev, Richard Roll, H. Göppl G. Bol (ed.), Data Mining and Computational Finance, Springer, 1999 ps.gz
1a. Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-range Dependence
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Svetlozar T. Rachev, Richard Roll Math. Comp. Modelling 34 (2001), no. 9-11, 955-1001 SSRN 603524