Mathematics – Probability
Scientist
Mathematics
Probability
Scientist
PMA
IMT
LSProba
A connection between extreme value theory and long time approximation of SDE's
Approximation of stationary solutions of Gaussian driven Stochastic Differential Equations
Approximation of the distribution of a stationary Markov process with application to option pricing
Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
Estimation of the instantaneous volatility
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