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gassiat@ceremade.dauphine.fr
Tel
: +33 (0) 1 44 05 46 71
Bureau
: C608
Paul Gassiat est enseignant-chercheur au CEREMADE depuis 2015. Ses travaux de recherche portent sur l'analyse stochastique et ses applications, notamment en mathématiques financières.
Friz P., Gassiat P., Pigato P. (2021), Precise asymptotics: robust stochastic volatility models, Annals of Applied Probability, vol. 31, n°2, p. 896 - 940 
Gassiat P., Oberhauser H., Zou C. (2021), A free boundary characterisation of the Root barrier for Markov processes, Probability Theory and Related Fields, vol. 180, p. 33-69
Friz P., Gassiat P., Pigato P. (2021), Short dated smile under Rough Volatility: asymptotics and numerics, Quantitative Finance
Bayer C., Friz P., Gassiat P., Martin J., Stemper B. (2020), A regularity structure for rough volatility, Mathematical Finance, vol. 30, n°3, p. 782-832
Gassiat P. (2019), On the martingale property in the rough Bergomi model, Electronic Communications in Probability, vol. 24, p. 9
Gassiat P., Gess B. (2019), Regularization by noise for stochastic Hamilton–Jacobi equations, Probability Theory and Related Fields, vol. 173, n°3-4, p. 1063-1098
Gassiat P. (2017), A stochastic Hamilton–Jacobi equation with infinite speed of propagation, Comptes rendus. Mathématique, vol. 355, n°3, p. 296-298
Friz P., Gassiat P., Lions P-L., Souganidis P. (2017), Eikonal equations and pathwise solutions to fully non-linear SPDEs, Stochastics and Partial Differential Equations: Analysis and Computations, vol. 5, n°2, p. 256-277
Cannizzaro G., Friz P., Gassiat P. (2017), Malliavin calculus for regularity structures: The case of gPAM, Journal of Functional Analysis, vol. 272, n°1, p. 363-419
Diehl J., Friz P., Gassiat P. (2017), Stochastic control with rough paths, Applied Mathematics and Optimization, vol. 75, n°2, p. 285-315
Pham H., Kharroubi I., Gassiat P. (2012), Time discretization and quantization methods for optimal multiple switching problem, Stochastic Processes and their Applications, vol. 122, n°5, p. 2019–2052
Gassiat P., Seeger B. (2021), The Neumann problem for fully nonlinear SPDE, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 43 p.
Gassiat P., Gess B., Lions P-L., Souganidis P. (2018), Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 21 p.
