Robert Dalang
robert.dalang@epfl.ch +41 21 693 25 51
EPFL SB MATH PROB
MA B2 493 (Bâtiment MA)
Station 8
CH-1015 Lausanne
41 21 693 25 51
41 21 693 11 80
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Elected committee for the Pension fund PUBLICA
Elected to this committee in Fall 2007 and then reelected for 2009-2012, I have been participating in the efforts needed so that our pension fund can evolve in a manner that preserves as much as possible the interests of EPFLs employees. The passage from a defined benefits system to a defined contributions system freed the Federal Government from its long-time promises, by putting the burden of risk on the employees and the employer.The challenges that we encounter are many. The stock market crisis of 2008 was one of the first. Thanks to PUBLICAs prudent investment policy, our pension fund has obtained a better performance than most other Swiss pension funds. A second challenge concerned the decrease in the pension conversion rate. Our committee succeeded in attenuating the impact of this change by preventing the decrease of our pensions while avoiding any increase in the employee monthly contributions. One of the next challenges concerns the long term rates of returns of our invested assets, which is a problem that is common to all pension funds. Our committee must formulate realistic objectives, while reminding our employer of its responsibilities to its employees.
I feel that it would be useful to let all employees benefit from the legal, actuarial and financial experience that I have acquired during five years of work on this committee. In order to guarantee the continuity of our effort, I hope that the employees of EPFL will allow me to continue to serve the EPFL community for the next four years.
Information concerning the activities of this elected committee can be found at
http://organeparitairepublica.epfl.ch/
Publications
Infoscience publications
Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.On the density of the supremum of the solution to the linear stochastic heat equation
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.Normal approximation of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise
Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.High-Frequency Analysis Of Parabolic Stochastic Pdes
Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1
Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma
2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.Path properties of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.Richard V. Kadison (1925-2018) Obituary
Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises
Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise
Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.Srishti Dhar Chatterji (1935-2017): In Memoriam
Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus
Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.Stochastic partial differential equations driven by Lévy white noises
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.Multiple Points Of The Brownian Sheet In Critical Dimensions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.Stochastic optimization of sailing trajectories in an upwind regatta
Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.A Quickest Detection Problem With An Observation Cost
Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.Moment bounds and asymptotics for the stochastic wave equation
Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.Modeling an America's Cup Regatta as a Sequential Stochastic Game
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.Critical Brownian Sheet Does Not Have Double Points
Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization
Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.Stochastic integrals for spde's: A comparison
Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.Stochastic Optimization of Sailing Trajectories in an America's Cup Race
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.Intermittency properties in a hyperbolic Anderson problem
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise
Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3
American Mathematical Society.The stochastic wave equation
A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.Introduction à la théorie des probabilités
Lausanne: Presses Polytechniques et Universitaires Romandes.Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications
2008A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s
Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.The non-linear stochastic wave equation in high dimensions
Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.The law of the supremum of a stable Lévy process with no negative jumps
Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.The non-linear stochastic wave equation in high dimensions
Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.Dynamical Dirichlet Mixture Model
2007Hitting probabilities for systems of non-linear stochastic heat equations with additive noise
ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.An optimal prediction problem in financial modelling
Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.Hitting properties of parabolic S.P.D.E.'s with reflection
Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane
Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.Une démonstration élémentaire du théorème central limite
Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.Regularity of the sample paths of a class of second-order SPDE's
Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Presses Polytechniques et Universitaires Romandes.Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications
2004Potential theory for hyperbolic SPDEs
Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.Second-order hyperbolic S.P.D.E.'s driven by boundary noises
Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere
Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.Recurrent lines in two-parameter isotropic stable Lévy sheets
Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.The right time to sell a stock whose price is driven by Markovian noise
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.A mathematical model for 'Who wants to be a millionaire?'
Mathematical Scientist (The). 2004.Topics in spatial stochastic processes
Berlin: Springer Verlag.Some non-linear S.P.D.E.'s that are second order in time
Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.Non-independence of excursions of the Brownian sheet and of additive Brownian motion
Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.Level sets and excursions of the Brownian sheet
2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.Performance of quantitative versus passive investing: a comparison in global markets
The Journal of Performance Measurement. 2002.Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications
2002Time-reversal in hyperbolic S.P.D.E. 's
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.Eccentric behaviors of the Brownian sheet along lines
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Lausanne: Presses Polytechniques et Universitaires Romandes.Jordan curves in the level sets of additive Brownian motion
Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's
Electronic Journal of Probability. 2001.Anomalous diffusion and homogenization on an infinite number of scales
Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.Level sets, bubbles and excursions of a Brownian sheet
Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications
1999Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.The stochastic wave equation in two spatial dimensions
Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.Points of increase of the Brownian sheet
Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.On Markov property of Lévy waves in two dimensions
Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.Sequential stochastic optimization
New York: Wiley.Local structure of level sets of the Brownian sheet
Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.Points of increase of functions in the plane
Real Analysis Exchange. 1996.Nondifferentiability of curves on the Brownian sheet
Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.Optimal switching between two Brownian motions
Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.Optimal switching between two random walks
Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.The structure of a Brownian bubble
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.Geography of the level sets of the Brownian sheet
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.The sharp Markov property of Lévy sheets
Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.The sharp Markov property of the Brownian sheet and related processes
Acta Mathematica. 1992. DOI : 10.1007/BF02392978.Equivalent martingale measures and no-arbitrage in stochastic securities market models
Stochastics and Stochastics Reports. 1990.Randomization in the two-armed bandit problem
Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.Optimal stopping of two-parameter processes on nonstandard probability spaces
Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.On randomized stopping points and perfect graphs
Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.A prediction problem for the Brownian sheet
Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.On stopping points in the plane that lie on a unique optional increasing path
Stochastics. 1988. DOI : 10.1080/17442508808833517.On infinite perfect graphs and randomized stopping points on the plane
Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.Sur l'arrêt optimal de processus à temps multidimensionnel continu
Seminar on probability, XVIII; Springer, 1984. p. 379-390.Infoscience
Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
Stochastic Processes And Their Applications. 2021-01-01. DOI : 10.1016/j.spa.2020.07.015.On the density of the supremum of the solution to the linear stochastic heat equation
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-09-01. DOI : 10.1007/s40072-019-00151-9.Normal approximation of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2020-06-01. DOI : 10.1007/s40072-019-00148-4.The Almost-Sure Asymptotic Behavior Of The Solution To The Stochastic Heat Equation With Levy Noise
Annals Of Probability. 2020-05-01. DOI : 10.1214/19-AOP1401.High-Frequency Analysis Of Parabolic Stochastic Pdes
Annals Of Statistics. 2020-04-01. DOI : 10.1214/19-AOS1841.Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension k >= 1
Electronic Journal Of Probability. 2020-01-01. DOI : 10.1214/20-EJP438.Low dose photodynamic therapy promotes a cytotoxic immunological response in a murine model of malignant pleural mesothelioma
2019-05-01. 106th Annual Congress of the Swiss-Society-of-Surgery, Berne, SWITZERLAND, May 15-17, 2019. p. 20-20.Path properties of the solution to the stochastic heat equation with Levy noise
Stochastics And Partial Differential Equations-Analysis And Computations. 2019-03-01. DOI : 10.1007/s40072-018-0124-y.Richard V. Kadison (1925-2018) Obituary
Expositiones Mathematicae. 2019-01-01. DOI : 10.1016/j.exmath.2019.05.002.Random field solutions to linear SPDEs driven by symmetric pure jump Levy space-time white noises
Electronic Journal Of Probability. 2019-01-01. DOI : 10.1214/19-EJP317.Global Solutions To Stochastic Reaction-Diffusion Equations With Super-Linear Drift And Multiplicative Noise
Annals Of Probability. 2019-01-01. DOI : 10.1214/18-AOP1270.Srishti Dhar Chatterji (1935-2017): In Memoriam
Expositiones Mathematicae. 2018-01-01. DOI : 10.1016/j.exmath.2018.09.005.The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus
Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8695.Optimal solution and asymptotic properties of a stochastic control problem arising in sailboat trajectory optimization
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8149.Stochastic partial differential equations driven by Lévy white noises
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-8223.Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop954.Multiple Points Of The Brownian Sheet In Critical Dimensions
Annals Of Probability. 2015. DOI : 10.1214/14-Aop912.Stochastic optimization of sailing trajectories in an upwind regatta
Journal Of The Operational Research Society. 2015. DOI : 10.1057/jors.2014.40.A Quickest Detection Problem With An Observation Cost
Annals Of Applied Probability. 2015. DOI : 10.1214/14-Aap1028.Moment bounds and asymptotics for the stochastic wave equation
Stochastic Processes And Their Applications. 2015. DOI : 10.1016/j.spa.2014.11.009.Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
Stochastic Processes And Their Applications. 2014. DOI : 10.1016/j.spa.2014.07.016.Modeling an America's Cup Regatta as a Sequential Stochastic Game
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5929.Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5712.Critical Brownian Sheet Does Not Have Double Points
Annals Of Probability. 2012. DOI : 10.1214/11-AOP665.Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization
Lausanne, EPFL, 2012. DOI : 10.5075/epfl-thesis-5381.Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
Annals Of Probability. 2011. DOI : 10.1214/10-AOP598.Stochastic integrals for spde's: A comparison
Expositiones Mathematicae. 2011. DOI : 10.1016/j.exmath.2010.09.005.Stochastic Optimization of Sailing Trajectories in an America's Cup Race
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4884.Intermittency properties in a hyperbolic Anderson problem
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 2009. DOI : 10.1214/08-AIHP199.Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise
Probability Theory and Related Fields. 2009. DOI : 10.1007/s00440-008-0150-1.Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension 3
American Mathematical Society.The stochastic wave equation
A Minicourse on Stochastic Partial Differential Equations; Springer Verlag, 2009. p. 39-71.Introduction à la théorie des probabilités
Lausanne: Presses Polytechniques et Universitaires Romandes.Proceedings of the Fifth Seminar on Stochastic Analysis, Random Fields and Applications
2008A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other P.D.E.'s
Transactions of the American Mathematical Society. 2008. DOI : 10.1090/S0002-9947-08-04351-1.The non-linear stochastic wave equation in high dimensions
Electronic Journal of Probability. 2008. DOI : 10.1214/EJP.v13-500.The law of the supremum of a stable Lévy process with no negative jumps
Annals of Applied Probability. 2008. DOI : 10.1214/07-AOP376.The non-linear stochastic wave equation in high dimensions
Lausanne, EPFL, 2008. DOI : 10.5075/epfl-thesis-4265.Dynamical Dirichlet Mixture Model
2007Hitting probabilities for systems of non-linear stochastic heat equations with additive noise
ALEA Latin American Journal of Probability and Mathematical Statistics. 2007.An optimal prediction problem in financial modelling
Lausanne, EPFL, 2007. DOI : 10.5075/epfl-thesis-3967.Hitting properties of parabolic S.P.D.E.'s with reflection
Annals of Applied Probability. 2006. DOI : 10.1214/009117905000000792.Second-order hyperbolic S.P.D.E.'s driven by homogeneous Gaussian noise on a hyperplane
Transactions of the American Mathematical Society. 2006. DOI : 10.1090/S0002-9947-05-03740-2.Une démonstration élémentaire du théorème central limite
Elemente der Mathematik. 2006. DOI : 10.4171/EM/34.Regularity of the sample paths of a class of second-order SPDE's
Journal of Functional Analysis. 2005. DOI : 10.1016/j.jfa.2004.11.015.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Presses Polytechniques et Universitaires Romandes.Proceedings of the Fourth Seminar on Stochastic Analysis, Random Fields and Applications
2004Potential theory for hyperbolic SPDEs
Annals of Applied Probability. 2004. DOI : 10.1214/009117904000000685.Second-order hyperbolic S.P.D.E.'s driven by boundary noises
Seminar on Stochastic Analysis, Random Fields and Applications IV; Birkhäuser, 2004. p. 83-93.Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere
Annals of Applied Probability. 2004. DOI : 10.1214/aop/1079021472.Recurrent lines in two-parameter isotropic stable Lévy sheets
Stochastic Processes and Their Applications. 2004. DOI : 10.1016/j.spa.2004.05.008.The right time to sell a stock whose price is driven by Markovian noise
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000747.A mathematical model for 'Who wants to be a millionaire?'
Mathematical Scientist (The). 2004.Topics in spatial stochastic processes
Berlin: Springer Verlag.Some non-linear S.P.D.E.'s that are second order in time
Electronic Journal of Probability. 2003. DOI : 10.1214/EJP.v8-123.Non-independence of excursions of the Brownian sheet and of additive Brownian motion
Transactions of the American Mathematical Society. 2003. DOI : 10.1090/S0002-9947-02-03138-0.Level sets and excursions of the Brownian sheet
2003. C.I.M.E. Summer School, Martina Franca, Italy, July 1-8, 2001. p. 167-208. DOI : 10.1007/978-3-540-36259-3_5.Performance of quantitative versus passive investing: a comparison in global markets
The Journal of Performance Measurement. 2002.Proceedings of the Third Seminar on Stochastic Analysis, Random Fields and Applications
2002Time-reversal in hyperbolic S.P.D.E. 's
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107766.Eccentric behaviors of the Brownian sheet along lines
Annals of Applied Probability. 2002. DOI : 10.1214/aop/1020107769.Linear algebra. Textbook, exercises and applications. (Algèbre linéaire. Aide-mémoire, exercices et applications.)
Lausanne: Presses Polytechniques et Universitaires Romandes.Jordan curves in the level sets of additive Brownian motion
Transactions of the American Mathematical Society. 2001. DOI : 10.1090/S0002-9947-01-02811-2.Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E. 's
Electronic Journal of Probability. 2001.Anomalous diffusion and homogenization on an infinite number of scales
Lausanne, EPFL, 2001. DOI : 10.5075/epfl-thesis-2340.Level sets, bubbles and excursions of a Brownian sheet
Infinite dimensional stochastic analysis (Amsterdam, 1999); R. Neth. Acad. Arts Sci., Amsterdam, 2000. p. 117-128.Proceedings of the Second Seminar on Stochastic Analysis, Random Fields and Applications
1999Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
Electronic Journal of Probability. 1999. DOI : 10.1214/EJP.v4-43.The stochastic wave equation in two spatial dimensions
Annals of Applied Probability. 1998. DOI : 10.1214/aop/1022855416.Points of increase of the Brownian sheet
Probability Theory and Related Fields. 1997. DOI : 10.1007/s004400050099.On Markov property of Lévy waves in two dimensions
Stochastic Processes and Their Applications. 1997. DOI : 10.1016/S0304-4149(97)00087-2.Sequential stochastic optimization
New York: Wiley.Local structure of level sets of the Brownian sheet
Stochastic analysis: random fields and measure-valued processes (Ramat Gan, 1993/1995); Bar-Ilan Univ., 1996. p. 57-64.Points of increase of functions in the plane
Real Analysis Exchange. 1996.Nondifferentiability of curves on the Brownian sheet
Annals of Applied Probability. 1996. DOI : 10.1214/aop/1042644712.Optimal switching between two Brownian motions
Stochastic analysis (Ithaca, NY, 1993); American Mathematical Society, 1995. p. 53-63.Optimal switching between two random walks
Annals of Applied Probability. 1995. DOI : 10.1214/aop/1176987812.The structure of a Brownian bubble
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01200206.Geography of the level sets of the Brownian sheet
Probability Theory and Related Fields. 1993. DOI : 10.1007/BF01192131.The sharp Markov property of Lévy sheets
Annals of Applied Probability. 1992. DOI : 10.1214/aop/1176989793.The sharp Markov property of the Brownian sheet and related processes
Acta Mathematica. 1992. DOI : 10.1007/BF02392978.Equivalent martingale measures and no-arbitrage in stochastic securities market models
Stochastics and Stochastics Reports. 1990.Randomization in the two-armed bandit problem
Annals of Applied Probability. 1990. DOI : 10.1214/aop/1176990946.Optimal stopping of two-parameter processes on nonstandard probability spaces
Transactions of the American Mathematical Society. 1989. DOI : 10.2307/2001425.On randomized stopping points and perfect graphs
Journal of Combinatorial Theory, Series B. 1988. DOI : 10.1016/0095-8956(88)90076-7.A prediction problem for the Brownian sheet
Journal of Multivariate Analysis. 1988. DOI : 10.1016/0047-259X(88)90071-1.On stopping points in the plane that lie on a unique optional increasing path
Stochastics. 1988. DOI : 10.1080/17442508808833517.On infinite perfect graphs and randomized stopping points on the plane
Probability Theory and Related Fields. 1988. DOI : 10.1007/BF00334200.Sur l'arrêt optimal de processus à temps multidimensionnel continu
Seminar on probability, XVIII; Springer, 1984. p. 379-390.Teaching & PhD
Teaching
Mathematics