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Useful Links

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Publications

  1. Small-time asymptotics for Gaussian self-similar stochastic volatility models. Appl. Math. Optimization (2018). With Archil Gulisashvili, Xin Zhang pdf
  2. Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. To appear in Annals of Finance (2018), 38 pages. https://arxiv.org/abs/1502.05442 . With Archil Gulisashvili, Xin Zhang pdf
  3. On the linkages in U.S. public R&D spending, knowledge capital and agricultural productivity growth: A Bayesian approach. To appear, American J. Agricultural Economics (2018), 49 pages + 16-page appendix. With Uris Lantz C. Baldos, Thomas Hertel, and Keith Fuglie. pdf
  4. Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. Insurance: Mathematics and Economics 80 (2018), 93-109. With Ailing Gu, Haixiang Yao pdf
  5. Parameter Estimation of Gaussian Stationary Processes using the Generalized Method of Moments. Electronic Journal of Statistics, 11 (2017) 401-439. With Luis A. Barboza. pdf
  6. Asymptotic behavior of the Anderson polymer in a fractional Brownian environment. Journal of Theoretical Probability (2017), 1-40. With Kamran Kalbasi and Thomas Mountford. pdf
  7. Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. Insurance: Mathematics and Economics, 72 (2017), 235-249. With Ailing Gu, Bo Yi. pdf
  8. Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise. Stochastics, 89 (2017), 431-468. With Brahim El Onsy, Khalifa Es-Sebaiy. pdf
  9. Discussion on temperature reconstruction with sediment core data in Ilvonen et al. Environmetrics, 27 (7) (2016), 428-430. With L. Barboza, B. Li, M. Tingley. pdf
  10. A third-moment theorem and precise asymptotics for stationary Gaussian sequences. Preprint, 2014, 21 pages. With L. Neufcourt. pdf
  11. Hawkes Processes and Their Applications to High-Frequency Data Modeling. In: Handbook of High-Frequency Trading and Modeling in Finance, 2016, pp.183-219. With Baron Law pdf
  12. White Noise Analysis for the Canonical Levy Process. Communications on Stochastic Analysis, 9 (4) (2015), 553-577. With R. Navarro. pdf
  13. 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
  14. Quadratic variations for the fractional-colored stochastic heat equation. Elect. Journ. Probability, revision submitted, 60 pages, 2014. With S. Torres, C.A. Tudor. pdf
  15. 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
  16. Comparison inequalities on the Wiener space. Stochastic Processes and their Applications 124 (4) (2014), 1566-1581. With I. Nourdin and G. Peccati pdf
  17. 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
  18. 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
  19. Gaussian and non-Gaussian processes of zero power variation. 2009; 45 pages. With F. Russo. pdf
  20. 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
  21. 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
  22. Stochastic volatility models with long-memory in discrete and continuous time. Quantitative Finance, 12 no. 4 (2012), 635-649. With A. Chronopoulou. pdf
  23. Estimation and pricing under long-memory stochastic volatility. Annals of Finance, 8 no. 2-3 (2012) 379-403. With A. Chronopoulou. pdf
  24. 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
  25. Arbitrage-free models in markets with transaction costs. Electronic Communications in Probability, 16 (2011), 614-622. With H. Sayit. pdf
  26. 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
  27. 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. pdf
  28. 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
  29. 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
  30. Mutual fund performance: false discoveries, bias, and power. Annals of Finance, 7 no. 2 (2011), 137-169. With N. Tuzov. pdf
  31. 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
  32. 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
  33. Variations and estimators for selfsimilarity parameter through Malliavin calculus. Annals of Probability, 37, no. 6 (2009), 2093-2134. With C. Tudor. pdf
  34. Density estimates and concentration inequalities with Malliavin calculus. Electronic Journal of Probability, 14 (2009), 2287-2309. With I. Nourdin. pdf
  35. Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent. Stochastic Processes and their Applications 119 (2009), 3671-3698. pdf
  36. 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
  37. 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
  38. 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
  39. 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
  40. 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
  41. 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
  42. Stochastic volatility: option pricing using a multinomial recombining tree. Applied Mathematical Finance, 15 (2) (2008) 151-181. With I. Florescu. pdf
  43. 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
  44. 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
  45. Supremum Concentration Inequality and Modulus of Continuity for Sub-nth Chaos Processes. Journal of Functional Analysis 248 (2007) 1-26. With A. Vizcarra. pdf
  46. 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
  47. Space regularity of stochastic heat equations driven by irregular Gaussian processes. Communications on Stochastic Analysis, 1 (2) (2007) 209-229. With O. Mocioalca. pdf
  48. Statistical aspects of the fractional stochastic calculus. Annals of Statistics, Vol. 35 (3) (2007), 1183-1212. With C.A. Tudor. pdf
  49. 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
  50. 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
  51. 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 pdf
  52. 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
  53. 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. pdf
  54. 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. pdf
  55. Skorohod integration and stochastic calculus beyond the fractional Brownian scale. Journal of Functional Analysis, 222 (2004) no. 2, 385-434. With O. Mocioalca. pdf
  56. 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
  57. 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.
  58. 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.pdf
  59. 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
  60. 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
  61. 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
  62. 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. pdf
  63. 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.
  64. Towards pathwise stochastic fast dynamo in magneto-hydrodynamics. Fields Institute Communications 34 (2002), 75-89. With S.B. Hazra. pdf
  65. 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
  66. Evolution equation of a stochastic semigroup with white-noise drift. Ann. Probab. 28 (2000), no. 1, 36.73. With D. Nualart. pdf
  67. On space-time regularity for the stochastic heat equations on Lie groups. J. Funct. Analysis 169 (1999), no. 2, 559.603. With S. Tindel. pdf
  68. 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. pdf
  69. Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Stochastics & Stochastics Reports. 64 (1998) 251-273. With R. Carmona. pdf
  70. 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.