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- Frederi G. Viens Professor of Statistics and Mathematics
- Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer uctuation exponent
- Variations and estimators for selfsimilarity parameters via Malliavin Ciprian A. Tudor1
- Statistical Aspects of the Fractional Stochastic Calculus Ciprian A. Tudor1
- Stochastics and Dynamics, Vol. 8, No. 3 (2008) 451473 c World Scientific Publishing Company
- MA/STAT 519. Introduction to Probability. Fall 2003. Tu Th 9:00-10:15, UNIV 201
- STAT 472: Actuarial Models; Fall 2006 Purdue University
- Almost Sure Exponential Behavior of a Directed Polymer in a Fractional Brownian Environment
- The fractional stochastic heat equation on the circle: Time regularity and potential theory
- A localized version of the SK model with external eld Samy Tindel1
- Stochastic evolution equations with fractional Brownian motion
- Mutual fund performance: false discoveries, bias, and Nik Tuzov and Frederi Viens
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- Stochastic Processes and their Applications 86 (2000) 121139 www.elsevier.com/locate/spa
- On space-time regularity for the stochastic heat equation on Lie groups
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Stochastic volatility: option pricing using a multinomial recombining tree
- Time regularity of the evolution solution to the fractional stochastic heat equation
- ARBITRAGE-FREE MODELS IN MARKETS WITH TRANSACTION COSTS HASANJAN SAYIT AND FREDERI VIENS
- Skorohod integration and stochastic calculus beyond the fractional Brownian scale
- TWO-DIMENSIONAL STOCHASTIC NAVIER-STOKES EQUATIONS WITH FRACTIONAL BROWNIAN NOISE
- August 19, 2009 20:16 World Scientific Review Volume -9.75in x 6.5in Hestimatorsreview2 Hurst Index Estimation for Self-similar processes with
- Stokes formula on the Wiener space and n-dimensional Nourdin-Peccati analysis
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes
- Density formula and concentration inequalities with Malliavin calculus
- Statistical Aspects of the Fractional Stochastic Calculus Ciprian A. Tudor1
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- Stochastic heat equation with white-noise drift
- Evolution equation of a stochastic semigroup with white-noise drift
- MA/STAT 598 F. Mathematics of Finance. Purdue University, Fall 2002.
- MA 516 / STAT 541. Advanced Probability and Options, with Numerical Fall 2005. Frederi Viens, Associate Professor of Statistics and Mathematics.
- MA/STAT 598 T. Lyapunov Exponents for Stochastic Purdue University, Fall 2002.
- MA/STAT 638. Stochastic Processes I.
- STAT 311: Introductory Probability Spring 2005
- STAT 473: Actuarial Models, Spring 2007, Purdue University1 General Information
- Stochastic Processes and their Applications 100 (2002) 5374 www.elsevier.com/locate/spa
- Lyapunov Exponents for the Parabolic Anderson Model
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- Stochastic evolution equations with fractional Brownian motion
- Frederi G. Viens Professor of Statistics and Mathematics
- Supremum Concentration Inequality and Modulus of Continuity for Sub-nth Chaos Processes
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- PORTFOLIO OPTIMIZATION WITH CONSUMPTION IN A FRACTIONAL BLACK-SCHOLES MARKET
- Stochastic Analysis at Purdue '09 Workshop Sep 29 -Oct 1, 2009[ptb]
- Frederi G. Viens Professor of Statistics and Mathematics
- MA/STAT 639. Stochastic Processes II.
- Design & Analysis of Financial Algorithms SPRING 2007. Classroom and time: W 3.30-6.20pm in MTHW 301.
- Frederi G. Viens Professor of Statistics and Mathematics
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- General upper and lower tail estimates using Malliavin calculus and Stein's equations
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