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Showing results 1-24 of 24

2024
1 Amine, Oussama; Baños, David Ruiz; Proske, Frank Norbert.
C-infinity-regularization by Noise of Singular ODE's. Journal of Dynamics and Differential Equations 2024
UiO Untitled
 
2023
2 Baños, David; Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Restoration of Well-Posedness of Infinite-Dimensional Singular ODE’s via Noise. Potential Analysis 2023 p. -
UiO Untitled
 
3 Banos, David Ruiz; Sande, Åsmund Hausken; Sgarra, Carlo.
Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration. North American Actuarial Journal (NAAJ) 2023
UiO Untitled
 
4 Zamora Font, Oriol; Baños, David; Ortiz-Latorre, Salvador.
Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance. SIAM Conference on Financial Mathematics and Engineering (FM23); 2023-06-06 - 2023-06-09
UiO Untitled
 
5 Zamora Font, Oriol; Baños, David; Ortiz-Latorre, Salvador.
Heston-Hawkes stochastic volatility model: change of measure and forward variance.. 16th German Probability and Statistics Days (GPSD) 2023; 2023-03-06 - 2023-03-10
UiO Untitled
 
6 Zamora Font, Oriol; Baños, David; Ortiz-Latorre, Salvador.
Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE.. 2023 Southern Africa Mathematical Sciences Association (SAMSA) Annual Conference; 2023-10-21 - 2023-10-24
UiO Untitled
 
2021
7 Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability 2021
UiO Untitled
 
2020
8 Amine, Oussama; Baños, David; Proske, Frank Norbert.
Regularity properties of the stochastic flow of a skew fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics 2020 ;Volume 23.(1)
UiO Untitled
 
9 Baños, David; Lagunas, Marc; Ortiz-Latorre, Salvador.
Variance and interest rate risk in unit-linked insurance policies. Risks 2020 ;Volume 8.(3)
UiO Untitled
 
2019
10 Baños, David; Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise. arXiv.org 2019
UiO Untitled
 
11 Banos, David; Bølviken, Erik; Duedahl, Sindre; Proske, Frank Norbert.
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal 2019
UiO Untitled
 
12 Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca; Røse, Elin Engen.
Stochastic systems with memory and jumps. Journal of Differential Equations 2019 ;Volume 266.(9) p. 5772-5820
UiO NHH Untitled
 
13 Baños, David Ruiz; Nilssen, Torstein Kastberg; Proske, Frank Norbert.
Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift. Journal of Dynamics and Differential Equations 2019 ;Volume 32. p. 1819-1866
UiO Untitled
 
2018
14 Amine, Oussama; Banos, David; Proske, Frank Norbert.
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018
UiO Untitled
 
15 Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Stochastic functional differential equations and sensitivity to their initial path. I: Computation and Combinatorics in Dynamics, Stochastics and Control. Springer 2018 ISBN 978-3-030-01592-3. p. 37-70
NHH UiO Untitled
 
16 Baños, David Ruiz.
The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques 2018 ;Volume 54.(1) p. 220-233
UiO Untitled
 
17 Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. Annales de l'I.H.P. Probabilites et statistiques 2018 ;Volume 54.(3) p. 1464-1491
UiO Untitled
 
2017
18 Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017
UiO Untitled
 
19 Baños, David Ruiz; Krühner, Paul.
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients. Stochastic Processes and their Applications 2017 ;Volume 127.(6) p. 1785-1799
Untitled
 
20 Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert; Duedahl, Sindre.
Computing Deltas without Derivatives. Finance and Stochastics 2017 ;Volume 21.(2) p. 509-549
UiO Untitled
 
21 Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise. FINEWSTOCH Networkshop II; 2017-11-08 - 2017-11-09
HINN UiO Untitled
 
2016
22 Baños, David Ruiz; Krühner, Paul.
Optimal density bounds for marginals of Itô processes. Communications on Stochastic Analysis 2016 ;Volume 10.(2) p. 131-150
UiO Untitled
 
23 Baños, David Ruiz; Nilssen, Torstein Kastberg.
Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Stochastics: An International Journal of Probability and Stochastic Processes 2016 ;Volume 88.(4) p. 540-566
UiO Untitled
 
24 Nilssen, Torstein Kastberg; Baños, David Ruiz; Proske, Frank Norbert.
Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift. seminar; 2016-03-09 - 2016-03-09
UiO Untitled