1. (with Jean Jacod and Sylvie Méléard) Martingale Representation: Formulas and Robustness, submitted for publication.
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2. (with Del Moral, Pierre and Jacod, Jean) The Monte- Carlo method for filtering with discrete time observations, submitted for publication.
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3. (with Jacod, Jean) Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Ann. Proba 26; 267-307, 1998
4. (with Tom Kurtz) Limit theorems for solutions of stochastic equations II, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;197-285, 1996
5. (with D. Talay) The Euler scheme for Lévy driven stochastic differential equations, Ann. Proba 25; 393-423, 1997.
6. (with Jacod J.) Une Remarque sur les Equations Differentielles Stochastiques à Solutions Markoviennes, Séminaire de Probabilités XXV, Springer Lect. Notes in Math. 1485; 138-139, 1991.
7. (with Kurtz T.G.) Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, Annals of Probability 19; 1035-1070, 1991.

Vita (pdf)

Research

• Mathematical Finance Theory
• Stochastic Numerical Analysis
• Stochastic Analysis and Its Applications
• Weak Convergence
• Markov Process Theory
• Filtering Theory

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