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| Research activities |
- scaling limits, homogenization of stochastic differential equations,
- random media,
- (forward) backward stochastic differential equations,
- self-similar processes,
- multifractal random measures and their applications,
- financial mathematics.
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| Publication list |
1-Homogenization of space-time dependent and degenerate random flows, Stochastic Processes and their Applications, 117 (2007), pages 1561-1585.
2-Homogenization of space-time dependent and degenerate random flows II, Annales de l'Institut Henri Poincaré (PS) 2008, vol. 44, n.4, p. 673-692.
3
-Diffusion in a Locally Stationary Random Environment, Probability Theory and Related Fields, Vol 143, No 3-4, 2009, p. 545-568.
4
-Homogenization of locally ergodic diffusions with possibly degenerate diffusion matrix, Annales de l'Insitut Henri Poincaré PS.
5
-Stochastic Homogenization of Quasilinear PDEs with a spatial degeneracy, Asymptotic Analysis, with F. Delarue.
6
-Homogenization of periodic semilinear parabolic degenerate PDEs, with E. Pardoux et B. Sow, Annales de l'Institut Henri Poincaré ANL.
7
-Stochastic Homogenization of Reflected Diffusion Processes, Electronic Journal of Probability.
8
-KPZ formula for log-infinitely divisible multifractal random measures, ESAIM, with V. Vargas.
9
-Scaling limits for symmetric Itô-Lévy processes in random medium, Stochastic Processes and their Applications, volume 119, no 12, 2009, with V.Vargas.
10-Multidimensional Multifractal Random Measures, Electronic Journal of Probability, with V.Vargas.
11-Critical homogenization of Itô-Levy process driven SDEs in random medium, Stochastic Analysis and Applications, Volume 29, Issue 5, 2011, with B. Sow.
12-Forecasting volatility in the presence of leverage effect, with V.Vargas and J.C. Domenge.
13-Optimal transportation for multifractal random measures, applications, Annales de l'Institut Henri Poincaré PS, with V.Vargas.
14-Lognormal scale invariant random measures, Probability Theory and Related Fields, with R.Allez and V.Vargas.
15-Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure, with R.Allez and V.Vargas.
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