Publications
Book
Selected papers
on SPDEs
- Denis L., Matoussi A.,
Zhang J. The existence and
uniqueness result for Quasilinear Stochastic PDEs with Obstacle under
weaker integrability conditions, preprint (available on arXiv).
- Denis L., Matoussi A.,
Zhang J. Maximum Principle for
Quasilinear Stochastic PDEs with Obstacle, to appear in
Electronic Journal of Probability (available on arXiv).
- Denis L., Matoussi A.,
Zhang J. The obstacle Problem for
Quasilinear Stochastic PDEs:analytical approach, Annals of Probability , Vol. 42, No. 3, 865-905 (2014) (arXiv version).
- Denis L., Matoussi A. Maximum principle for quasilinear
SPDE's on a bounded domain without regularity assumptions,
Stochastic Processes and their Applications, Vol.
123 (3), pp 1104-1137 (2013).
- Denis L., Matoussi A.
et Stoica, I. L., Maximum
principle and comparison
theorem for quasilinear
Stochastic PDE's, , Electronic
Journal of Probability Vol. 14 (2009).
- Denis L., Matoussi A.
et Stoica, I. L., Maximum
principle for parabolic SPDE's: first approach,
Proceeding "Stochastic Partial Differential Equations and Applications
– VIII: Levico, Jan. 6-12, 2008”, edited by Dipartimento di Matematica
Seconda Università di Napoli (2009) (pdf version) .
- Denis L., Matoussi A.
et Stoica, I. L. Lp
estimates for the uniform norm of solutions of quasilinear SPDE’s,
Probability Theory and Related Fields 113, pp. 437-463
(2005).
- Denis L., Stoica,
I. L., A general
analytical result for non-linear s.p.d.e.'s and applications, Electronic
Journal of Probability, Vol. 9, p. 674-709 (2004).
Selected
papers on mathematical finance
- Denis L. et Nguyen T.M., Malliavin calculus for Markov chains using perturbations of time, (preprint).
- Denis L. et Kervarec M., Utility
functions and optimal investment in non-dominated models, SIAM
Journal on control and optimization, Vol. 51 n°3, pp 1803-1822 (2013).
- Denis L., Hu Y et Peng S. , Function spaces and capacity related to a
Sublinear Expectation: application to G-Brownian Motion Paths,
Potential Analysis, Vol. 34 n°2 (2011) 139-161.
- Denis L., Fernandez B., Meda A., Estimation of value at risk and ruin
probability for diffusion processes with jumps, Mathematical Finance Vol. 19 N°2, pp281-302 (2009).
- Denis L. et Martini C., A theoretical framework for the pricing of
contingent claims in the presence of model uncertainty , Annals of Applied Probability, Vol. 16 N° 2, pp
827-852 (2006).
- Denis L., Grorud A. et Pontier M., Formes de Dirichlet sur un espace de
Wiener-Poisson. Application au grossissement de filtration. Séminaire de Probabilités 34, (1999).
Selected
papers on Malliavin calculus for jump processes and the "lent particle
method"
- Bouleau N. et Denis L. Chaotic extensions and the lent particle
method for Brownian motion, Electronic
Journal of Probability Vol.18 n°56 (2013).
- Bouleau N., Denis L. Iteration of the lent particle method to
existence of smooth densities of Poisson functionals, Potential Analysis 38, pp 169-205 (2013).
- Bouleau N., Denis L., Application of the lent particle method to
Poisson driven SDE's, Probability Theory Relat. Fields 151(3–4), 403–433
(2011) .
- Bouleau N., Denis L., Energy image density property and the lent
particle method for Poisson measures, Jour. of Functional Analysis 257 (2009) 1144-1174.
- Denis L. A
criterion of density for solutions of Poisson-driven SDE's, Probab. Theory and Relat. Fields 118, 406-426 (2000).
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