2108/343585 - 2024 -
Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps Bally, Vlad; Caramellino, Lucia - 01 - Articolo su rivista
rivista: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS (New York: Elsevier Science
Orlando Fla.: Academic Press) pp. - - issn: 0022-247X - wos: WOS:001108439700001 (0) - scopus: 2-s2.0-85174337158 (0)
2108/346844 - 2024 -
Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics Caramellino, Lucia; Giorgio, Giacomo - 01 - Articolo su rivista
rivista: JOURNAL OF FUNCTIONAL ANALYSIS (New York: Academic Press.) pp. - - issn: 0022-1236 - wos: WOS:001121665600001 (0) - scopus: 2-s2.0-85177073994 (0)
2108/302754 - 2022 -
Using moment approximations to study the density of jump driven SDEs Caramellino, Lucia - 01 - Articolo su rivista
rivista: ELECTRONIC JOURNAL OF PROBABILITY (Seattle, Wash.: Department of Mathematics, University of Washington.) pp. 1-21 - issn: 1083-6489 - wos: WOS:000810400300001 (1) - scopus: 2-s2.0-85130600149 (1)
2108/280760 - 2021 -
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model Briani, Maya; Caramellino, Lucia; Terenzi, Giulia - 01 - Articolo su rivista
rivista: SIAM JOURNAL ON NUMERICAL ANALYSIS (Society for Industrial and Applied Mathematics:3600 University City Science Center:Philadelphia, PA 19104:(800)447-7426, (215)382-9800, EMAIL: service@siam.org, INTERNET: http://www.siam.org, Fax: (215)386-7999) pp. 477-502 - issn: 0036-1429 - wos: WOS:000625044600019 (5) - scopus: 2-s2.0-85103774827 (5)
2108/280774 - 2021 -
Transfer of regularity for Markov semigroups by using an interpolation technique Caramellino, Lucia - 01 - Articolo su rivista
rivista: JOURNAL OF STOCHASTIC ANALYSIS (Baton Rouge Louisiana: LSU Digital Commons) pp. - - issn: 2689-6931 - wos: (0) - scopus: (0)
2108/214919 - 2020 -
Large deviations of conditioned diffusions and applications Baldi, Paolo; Caramellino, Lucia - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1289-1308 - issn: 0304-4149 - wos: WOS:000515430400005 (2) - scopus: 2-s2.0-85065986420 (2)
2108/255596 - 2020 -
Regularization lemmas and convergence in total variation Caramellino, Lucia - 01 - Articolo su rivista
rivista: ELECTRONIC JOURNAL OF PROBABILITY (Seattle, Wash.: Department of Mathematics, University of Washington.) pp. 1-20 - issn: 1083-6489 - wos: WOS:000546044900001 (9) - scopus: 2-s2.0-85090631130 (9)
2108/207666 - 2019 -
Non universality for the variance of the number of real roots of random trigonometric polynomials Caramellino, Lucia - 01 - Articolo su rivista
rivista: PROBABILITY THEORY AND RELATED FIELDS (Springer Verlag Germany:Tiergartenstrasse 17, D 69121 Heidelberg Germany:011 49 6221 3450, EMAIL: g.braun@springer.de, INTERNET: http://www.springer.de, Fax: 011 49 6221 345229) pp. 887-927 - issn: 0178-8051 - wos: WOS:000475710400005 (11) - scopus: 2-s2.0-85054142917 (14)
2108/215271 - 2019 -
Total variation distance between stochastic polynomials and invariance principles Caramellino, Lucia - 01 - Articolo su rivista
rivista: ANNALS OF PROBABILITY (Hayward Calif.: Institute of Mathematical Statistics) pp. 3762-3811 - issn: 0091-1798 - wos: WOS:000500553400007 (9) - scopus: 2-s2.0-85076315418 (9)
2108/214917 - 2019 -
Tube estimates for diffusions under a local strong Hörmander condition Caramellino, Lucia; Pigato, Paolo - 01 - Articolo su rivista
rivista: ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES (Gauthier-Villars:15 rue Gossin, 92543 Montrouge Cedex France:011 33 1 40 926500, Fax: 011 33 1 40 926597) pp. - - issn: 0246-0203 - wos: WOS:000496132400016 (2) - scopus: 2-s2.0-85075118704 (2)
2108/229160 - 2019 -
NUMERICAL STABILITY of A HYBRID METHOD for PRICING OPTIONS Briani, Maya; Caramellino, Lucia; Terenzi, Giulia - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (World Scientific Publishing Company:PO Box 128, Farrer Road, Singapore 912805 Singapore:011 65 6 4665775, EMAIL: journal@wspc.com.sg, INTERNET: http://www.wspc.com.sg, http://www.worldscinet.com, Fax: 011 65 6 4677667) pp. 1950036- - issn: 0219-0249 - wos: WOS:000504016400003 (4) - scopus: 2-s2.0-85073743469 (4)
2108/198617 - 2018 -
Convergence in distribution norms in the CLT for non identical distributed random variables Caramellino, Lucia - 01 - Articolo su rivista
rivista: ELECTRONIC JOURNAL OF PROBABILITY (Seattle, Wash.: Department of Mathematics, University of Washington.) pp. - - issn: 1083-6489 - wos: WOS:000434456200001 (12) - scopus: 2-s2.0-85047644833 (12)
2108/189237 - 2017 -
A hybrid approach for the implementation of the Heston model Caramellino, Lucia - 01 - Articolo su rivista
rivista: IMA JOURNAL OF MANAGEMENT MATHEMATICS (Oxford University Press:Journals Department, Great Clarendon Street, Oxford OX2 6DP United Kingdom:011 44 1865 556767, EMAIL: jnlorders@oup.co.uk, INTERNET: http://www.oup.co.uk, Fax: 011 44 1865 267485) pp. 467-500 - issn: 1471-678X - wos: WOS:000417382300002 (8) - scopus: 2-s2.0-85037076841 (14)
2108/189235 - 2017 -
Regularity of Wiener functionals under a Hörmander type condition of order one Caramellino, Lucia - 01 - Articolo su rivista
rivista: ANNALS OF PROBABILITY (Hayward Calif.: Institute of Mathematical Statistics) pp. 1488-1511 - issn: 0091-1798 - wos: WOS:000402583500003 (0) - scopus: 2-s2.0-85019184214 (1)
2108/200627 - 2017 -
A hybrid tree/finite-difference approach for heston-hull-white-type models Briani, Maya; Caramellino, Lucia - 01 - Articolo su rivista
rivista: THE JOURNAL OF COMPUTATIONAL FINANCE (Risk Waters Group:Haymarket House, 28-29 Haymarket, London SW1Y 4RX United Kingdom:011 44 87 02408859, EMAIL: subs@riskwaters.com, INTERNET: http://www.riskwaters.com, Fax: 011 44 20 74849797) pp. 1-45 - issn: 1460-1559 - wos: WOS:000416600300002 (10) - scopus: 2-s2.0-85037574851 (11)
2108/189233 - 2017 -
Convergence and regularity of probability laws by using an interpolation method Caramellino, Lucia - 01 - Articolo su rivista
rivista: ANNALS OF PROBABILITY (Hayward Calif.: Institute of Mathematical Statistics) pp. 1110-1159 - issn: 0091-1798 - wos: WOS:000398966500011 (14) - scopus: 2-s2.0-85017169989 (15)
2108/189239 - 2016 -
Stochastic integration by parts and functional Itô calculus. Caramellino, Lucia - 04 - Monografia
2108/143027 - 2016 -
Asymptotic development for the CLT in total variation distance Caramellino, Lucia - 01 - Articolo su rivista
rivista: BERNOULLI (Voorburg; Andover: International Statistical Institute; Chapman and Hall) pp. 2442-2485 - issn: 1350-7265 - wos: WOS:000376814400016 (12) - scopus: 2-s2.0-84969592927 (15)
2108/117836 - 2015 -
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model Caramellino, Lucia - 01 - Articolo su rivista
rivista: IMA JOURNAL OF MANAGEMENT MATHEMATICS (Oxford University Press:Journals Department, Great Clarendon Street, Oxford OX2 6DP United Kingdom:011 44 1865 556767, EMAIL: jnlorders@oup.co.uk, INTERNET: http://www.oup.co.uk, Fax: 011 44 1865 267485) pp. 377-401 - issn: 1471-678X - wos: WOS:000363063000002 (8) - scopus: 2-s2.0-84943537363 (10)
2108/114074 - 2015 -
Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes Caramellino, Lucia; Pacchiarotti, Barbara - 01 - Articolo su rivista
rivista: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY (Springer Nature
Dordrecht: Kluwer Academic Publishers) pp. 383-401 - issn: 1387-5841 - wos: WOS:000354094300006 (5) - scopus: 2-s2.0-84958057030 (5)
2108/102218 - 2014 -
On the distances between probability density functions Caramellino, Lucia - 01 - Articolo su rivista
rivista: ELECTRONIC JOURNAL OF PROBABILITY (Seattle, Wash.: Department of Mathematics, University of Washington.) pp. - - issn: 1083-6489 - wos: WOS:000350160800001 (19) - scopus: 2-s2.0-84919789485 (20)
2108/90190 - 2013 -
Positivity and Lower Bounds for the Density of Wiener Functionals Caramellino, Lucia - 01 - Articolo su rivista
rivista: POTENTIAL ANALYSIS (Kluwer Academic Publishers:Journals Department, PO Box 322, 3300 AH Dordrecht Netherlands:011 31 78 6576050, EMAIL: frontoffice@wkap.nl, kluweronline@wkap.nl, INTERNET: http://www.kluwerlaw.com, Fax: 011 31 78 6576254) pp. 141-168 - issn: 0926-2601 - wos: WOS:000321922500002 (9) - scopus: 2-s2.0-84880581070 (13)
2108/21195 - 2011 -
General Freidlin–Wentzell Large Deviations and positive diffusions Baldi, Paolo; Caramellino, Lucia - 01 - Articolo su rivista
rivista: STATISTICS & PROBABILITY LETTERS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1218-1229 - issn: 0167-7152 - wos: WOS:000292232700044 (20) - scopus: 2-s2.0-79956200413 (20)
2108/40300 - 2011 -
Riesz transform and integration by parts formulas for random variables Caramellino, Lucia - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1332-1366 - issn: 0304-4149 - wos: WOS:000291115100008 (14) - scopus: 2-s2.0-79955641982 (19)
2108/42162 - 2011 -
Monte Carlo methods for pricing and hedging American options in high dimension Caramellino, Lucia - 01 - Articolo su rivista
rivista: RISK AND DECISION ANALYSIS (Amsterdam : IOS Press) pp. 207-220 - issn: 1569-7371 - wos: (0) - scopus: 2-s2.0-80055085368 (7)
2108/28568 - 2008 -
Large deviation estimates of the crossing probability for pinned Gaussian processes Caramellino, Lucia; Pacchiarotti, Barbara - 01 - Articolo su rivista
rivista: ADVANCES IN APPLIED PROBABILITY (Applied Probability:School of Mathematics and Statistics, The University, Sheffield S3 7RH United Kingdom:EMAIL: s.c.boyles@sheffield.ac.uk, INTERNET: http://www.shef.ac.uk/uni/companies/apt, Fax: 011 44 114 2729782) pp. 424-453 - issn: 0001-8678 - wos: WOS:000258135000007 (7) - scopus: 2-s2.0-49349088017 (8)
2108/37479 - 2006 -
A mixed PDE-Monte Carlo approach for pricing credit default index swaptions Caramellino, Lucia - 01 - Articolo su rivista
rivista: DECISIONS IN ECONOMICS AND FINANCE (Springer-Verlag Italia Srl:via Decembrio 28, 20137 Milan Italy:011 39 2 5425971, EMAIL: riccardi@springer.it, Fax: 011 39 2 55193360) pp. 121-137 - issn: 1593-8883 - wos: (0) - scopus: 2-s2.0-33845503500 (0)
2108/35260 - 2005 -
Pricing and hedging American options
by Monte Carlo methods
using a Malliavin calculus approach Caramellino, Lucia - 01 - Articolo su rivista
rivista: MONTE CARLO METHODS AND APPLICATIONS (Tokyo ; Köln ; Utrecht ; Boston : VSP) pp. - - issn: 0929-9629 - wos: (0) - scopus: 2-s2.0-34548474164 (34)
2108/45350 - 2002 -
Sharp estimates for the hitting probability on
time-dependent barriers for a Brownian Motion. Caramellino, Lucia; Pacchiarotti, Barbara - 01 - Articolo su rivista
rivista: MONTE CARLO METHODS AND APPLICATIONS (Tokyo ; Köln ; Utrecht ; Boston : VSP) pp. 221-236 - issn: 0929-9629 - wos: (0) - scopus: 2-s2.0-84941197906 (2)
2108/45133 - 2002 -
An exit-probability-based approach for the valuation of defaultable securities Caramellino, Lucia - 01 - Articolo su rivista
rivista: THE JOURNAL OF COMPUTATIONAL FINANCE (Risk Waters Group:Haymarket House, 28-29 Haymarket, London SW1Y 4RX United Kingdom:011 44 87 02408859, EMAIL: subs@riskwaters.com, INTERNET: http://www.riskwaters.com, Fax: 011 44 20 74849797) pp. - - issn: 1460-1559 - wos: (0) - scopus: (0)
2108/45393 - 2001 -
Law of the iterated logarithm for random
walks on nilpotent groups Caramellino, Lucia - 01 - Articolo su rivista
rivista: BERNOULLI (Voorburg; Andover: International Statistical Institute; Chapman and Hall) pp. 605- - issn: 1350-7265 - wos: WOS:000170789300004 (1) - scopus: 2-s2.0-33749855883 (1)
2108/45129 - 1999 -
Diffusion approximations for random walks
on nilpotent Lie groups Caramellino, Lucia; Pacchiarotti, Barbara - 01 - Articolo su rivista
rivista: STATISTICS & PROBABILITY LETTERS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 363-367 - issn: 0167-7152 - wos: WOS:000077932800005 (1) - scopus: 2-s2.0-0041726994 (1)
2108/23402 - 1998 -
A diffusion approximation which models hierarchic interactions in cooperative biological systems Abundo, Mario Rosolino; Baldi, Paolo; Caramellino, Lucia - 01 - Articolo su rivista
rivista: OPEN SYSTEMS & INFORMATION DYNAMICS (-Singapore: World Scientific Publishing
-London ; Dordrecht ; Boston ; Torun : Nicholas Copernicus University Press : Kluwer Academic Publishers) pp. 1-23 - issn: 1230-1612 - wos: (0) - scopus: 2-s2.0-3142634513 (1)
2108/45128 - 1998 -
Strassen's law of the iterated logarithm for di usion
processes for small time Caramellino, Lucia - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1-19 - issn: 0304-4149 - wos: WOS:000074012200001 (15) - scopus: 2-s2.0-0039502005 (16)
2108/55918 - 1996 -
WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survival functions Caramellino, Lucia - 01 - Articolo su rivista
rivista: JOURNAL OF MULTIVARIATE ANALYSIS (Academic Press Incorporated:6277 Sea Harbor Drive:Orlando, FL 32887:(800)543-9534, (407)345-4100, EMAIL: ap@acad.com, INTERNET: http://www.idealibrary.com, Fax: (407)352-3445) pp. 153-163 - issn: 0047-259X - wos: WOS:A1996TT36600008 (13) - scopus: 2-s2.0-0029691137 (12)
2108/23404 - 1995 -
Some remarks on a Markov chain modelling cooperative biological systems Abundo, Mario Rosolino; Caramellino, Lucia - 01 - Articolo su rivista
rivista: OPEN SYSTEMS & INFORMATION DYNAMICS (-Singapore: World Scientific Publishing
-London ; Dordrecht ; Boston ; Torun : Nicholas Copernicus University Press : Kluwer Academic Publishers) pp. 325-343 - issn: 1230-1612 - wos: (0) - scopus: (0)
2108/45491 - 1994 -
Dependence and aging properties of lifetimes with Schur-constant survival functions Caramellino, Lucia - 01 - Articolo su rivista
rivista: PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES (Cambridge University Press / New York:40 West 20th Street:New York, NY 10011:(800)872-7423, (212)924-3900, EMAIL: journals_subscriptions@cup.org, INTERNET: http://www.journals.cambridge.org, Fax: (212)691-3239) pp. 103-111 - issn: 0269-9648 - wos: (0) - scopus: 2-s2.0-84971922728 (23)