Frederi Viens
Frederi Viens
Professor, Rice University
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Stochastic evolution equations with fractional Brownian motion
S Tindel, CA Tudor, F Viens
Probability Theory and Related Fields 127, 186-204, 2003
Statistical aspects of the fractional stochastic calculus
CA Tudor, FG Viens
Bayesian approach to model-based extrapolation of nuclear observables
L Neufcourt, Y Cao, W Nazarewicz, F Viens
Physical Review C 98 (3), 034318, 2018
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
B Yi, Z Li, FG Viens, Y Zeng
Insurance: Mathematics and Economics 53 (3), 601-614, 2013
Neutron drip line in the Ca region from Bayesian model averaging
L Neufcourt, Y Cao, W Nazarewicz, E Olsen, F Viens
Physical review letters 122 (6), 062502, 2019
Density formula and concentration inequalities with Malliavin calculus
I Nourdin, F Viens
Estimation and pricing under long-memory stochastic volatility
A Chronopoulou, FG Viens
Annals of finance 8 (2-3), 379-403, 2012
Variations and estimators for self-similarity parameters via Malliavin calculus
CA Tudor, FG Viens
R&D spending, knowledge capital, and agricultural productivity growth: A Bayesian approach
ULC Baldos, FG Viens, TW Hertel, KO Fuglie
American Journal of Agricultural Economics 101 (1), 291-310, 2019
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
B Yi, F Viens, Z Li, Y Zeng
Scandinavian Actuarial Journal 2015 (8), 725-751, 2015
Stochastic volatility: option pricing using a multinomial recombining tree
I Florescu, FG Viens
Applied Mathematical Finance 15 (2), 151-181, 2008
Get on the BAND wagon: a Bayesian framework for quantifying model uncertainties in nuclear dynamics
DR Phillips, RJ Furnstahl, U Heinz, T Maiti, W Nazarewicz, FM Nunes, ...
Journal of Physics G: Nuclear and Particle Physics 48 (7), 072001, 2021
Stochastic volatility and option pricing with long-memory in discrete and continuous time
A Chronopoulou, FG Viens
Quantitative Finance 12 (4), 635-649, 2012
Skorohod integration and stochastic calculus beyond the fractional Brownian scale
O Mocioalca, F Viens
Journal of Functional analysis 222 (2), 385-434, 2005
Reconstructing past temperatures from natural proxies and estimated climate forcings using short-and long-memory models
L Barboza, B Li, MP Tingley, FG Viens
Variations and Hurst index estimation for a Rosenblatt process using longer filters
A Chronopoulou, FG Viens, CA Tudor
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
A Gu, FG Viens, H Yao
Insurance: Mathematics and Economics 80, 93-109, 2018
Itô formula and local time for the fractional Brownian sheet
C Tudor, F Viens
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter
RA Carmona, FG Viens
Stochastics and Stochastic Reports 62 (3-4), 251-273, 1998
A martingale approach for fractional Brownian motions and related path dependent PDEs
F Viens, J Zhang
The Annals of Applied Probability 29 (6), 3489-3540, 2019
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