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Salvador Ortiz-Latorre
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2020 – today
- 2022
- [i4]Dan Crisan, Alexander Lobbe
, Salvador Ortiz-Latorre:
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations. CoRR abs/2201.03283 (2022) - 2021
- [j4]Fabian A. Harang
, Marc Lagunas-Merino, Salvador Ortiz-Latorre:
Self-exciting multifractional processes. J. Appl. Probab. 58(1): 22-41 (2021) - [i3]Dan Crisan, Alexander Lobbe
, Salvador Ortiz-Latorre:
Pathwise approximations for the solution of the non-linear filtering problem. CoRR abs/2101.03957 (2021) - [i2]Dan Crisan, Thomas G. Kurtz, Salvador Ortiz-Latorre:
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations. CoRR abs/2104.04773 (2021) - [i1]Giulia Di Nunno, Salvador Ortiz-Latorre, Andreas Petersson:
SPDE bridges with observation noise and their spatial approximation. CoRR abs/2112.11141 (2021)
2010 – 2019
- 2014
- [j3]Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov:
Optimal simulation schemes for Lévy driven stochastic differential equations. Math. Comput. 83(289): 2293-2324 (2014) - [j2]Fred Espen Benth
, Salvador Ortiz-Latorre
:
A Pricing Measure to Explain the Risk Premium in Power Markets. SIAM J. Financial Math. 5(1): 685-728 (2014) - 2010
- [j1]Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
:
Weak Kyle-Back Equilibrium Models for Max and ArgMax. SIAM J. Financial Math. 1(1): 179-211 (2010)
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