RECHERCHE

List of Publications

-General Transfer Formula for Stochastic Integral with Respect to Multifractional Brownian Motion. J Theor Probab (2023). https://doi.org/10.1007/s10959-023-01258-5, with C.Bender & J.Lévy Véhel. https://doi.org/10.1007/s10959-023-01258-5 

-Stochastic Calculus with respect to Gaussian Processes. Potential Anal., 50(1):1–42, 2019. Preprint available at: https://arxiv.org/abs/1408.1020

-Estimation of the Global Regularity of a Multifractional Brownian motion, with M. Podolskij.  Electron. J. Statist. 11 (1) 78 - 98, 2017. Preprint available at: https://arxiv.org/abs/1607.02391

-Stochastic integration with respect to multifractional Brownian Motion via tangent Fractional Brownian Motions, with E.Herbin & J.Lévy Véhel. Stochastic Process. Appl., 124(1):678–708, 2014. Preprint available at: http://hal.inria.fr/hal-00653808/fr/

-Multifractional Stochastic Volatility Models, with S.Corlay & J.Lévy Véhel. Math. Finance, 24(2):364–402, 2014. Preprint available at: https://hal.archives-ouvertes.fr/hal-00653150/en/

-White Noise-based Stochastic Calculus with respect to Multifractional Brownian motion, with J.Lévy Véhel. Stochastics An International Journal of Probability and Stochastic Processes, 86(1):87–124, 2014. Preprint available at: http://www.tandfonline.com/doi/abs/10.1080/17442508.2012.758727.

-From Stochastic Integration with respect to Fractional Brownian Motion to Stochastic Integration with respect to Multifractional Brownian Motion, with J.Lévy Véhel. Ann. Univ. Buchar. Math. Ser., 4(LXII)(1):397–413, 2013. Preprint available at: http://hal.inria.fr/hal-00795494.

Prepublications

-Gaussian Local Times, 2019. Preprint available at: https://hal.archives-ouvertes.fr/hal-01489778/.