Joachim Lebovits
Mathematician, educator and CEO building AI math learning tools
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Stochastic Calculus with Respect to Gaussian Processes
January 1, 2017Develops a White Noise Theory–based anticipative stochastic calculus for a broad class of Gaussian processes (including fractional and multifractional Brownian motions), providing stochastic integrals, Itô and Tanaka formulas, and analysis of local times; published in Potential Analysis (DOI entry).
Stochastic Calculus with respect to Gaussian Processes (arXiv:1408.1020)
January 1, 2014ArXiv preprint presenting the white-noise approach to stochastic integration with respect to fractional and multifractional Gaussian processes (multiple arXiv versions available).
Multifractional stochastic volatility models
January 1, 2014Coauthored paper proposing multifractional stochastic volatility models in mathematical finance (Math. Finance, 2014).
Stochastic calculus with respect to multifractional Brownian motion and applications to finance (PhD thesis)
Doctoral thesis developing stochastic calculus for multifractional Brownian motion and exploring applications in mathematical finance.
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