2024
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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
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2023
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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
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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
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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
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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
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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
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2021
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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
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2020
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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
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Baños, David; Lagunas, Marc; Ortiz-Latorre, Salvador. Variance and interest rate risk in unit-linked insurance policies. Risks 2020 ;Volume 8.(3) UiO
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2019
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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
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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
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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
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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
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2018
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14. |
Amine, Oussama; Banos, David; Proske, Frank Norbert. Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018 UiO
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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
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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
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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
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2017
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18. |
Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert. Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017 UiO
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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
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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
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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
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2016
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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
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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
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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
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