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I am constantly looking for talented research students
(do not hesitate to contact me).

Copies of the papers below are available upon request.

Publications
The play operator, the truncated variation and the generalisation of the Jordan decomposition
.
Math. Meth. Appl. Sci. (2014). (with Rafał Marcin Łochowski)
Integral and local limit theorems for level crossings of diffusions and the Skorohod problem
.
Electron. J. Probab. 19 (2014), no. 10, 1–33. (with Rafał Marcin Łochowski)
Comment
on “On a stopped functional for a bidimensional process” by C. Makasu .
Chaos, Solitons & Fractals 44 (2011) 1117–1118.
Decomposition
of order statistics
of
semimartingales using local times .
Stoch. Anal. Appl. 28 (2010), no. 3, 467–479. (with O. Menoukeu Pamen)
A
generalized occupation
time
formula for continuous semimartingales .
Studia Sci. Math. Hungar. 47 (2010), No. 1, 54--58.
Local
times of
ranked
continuous semimartingales .
Stochastic Processes Appl. 118, No. 7, 1244-1253 (2008). (with A.
Banner)
Some
limit
theorems
connected with Brownian local time .
J. Appl. Math. Stochastic Anal. 2006, No. 2, 5 p. (2006).
On distributions
associated with the generalized L�vy's stochastic area formula .
Studia Sci. Math. Hungar. 41 (2004), no. 1, 93--100.
Local time-space
calculus
and extensions of It�'s formula . High dimensional
probability, III (Sandjberg, 2002), 177--192, Progr. Probab., 55,
Birkh�user, Basel, 2003.(with G. Peskir)
An
extension of
Seshadri's identities for Brownian motion . Statist. Probab.
Lett. 59 (2002), no. 4, 379--384. (with S.E. Graversen)
On
certain Markov
processes attached to exponential functionals of Brownian motion;
application to Asian options . Rev. Mat. Iberoamericana 17
(2001), no. 1, 179--193. (with
C. Donati-Martin and M. Yor)
Affine
random
equations
and the stable $\left( {1 \over 2} \right)$ distribution .
Studia Sci.
Math.
Hungar. 36 (2000), no. 3-4, 387--405. (with
C. Donati-Martin and M. Yor)
Some Submissions / Work in progress:
Research interests
Teaching
AIMS Journal Club
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