Publicacións en colaboración con investigadores/as de Universidad Carlos III de Madrid (27)

2021

  1. HMC: Reducing the number of rejections by not using leapfrog and some results on the acceptance rate

    Journal of Computational Physics, Vol. 437

  2. Symmetrically processed splitting integrators for enhanced hamiltonian monte carlo sampling

    SIAM Journal on Scientific Computing, Vol. 43, Núm. 5, pp. A3357-A3371

  3. Univariate tight wavelet frames of minimal support

    Banach Journal of Mathematical Analysis, Vol. 15, Núm. 2

2020

  1. High-order stroboscopic averaging methods for highly oscillatory delay problems

    Applied Numerical Mathematics, Vol. 152, pp. 466-479

  2. Nash multiplicity sequences and Hironaka’s order function

    Indiana University Mathematics Journal, Vol. 69, Núm. 6, pp. 1933-1973

2019

  1. Certainty equivalence principle in stochastic differential games: An inverse problem approach

    Optimal Control Applications and Methods, Vol. 40, Núm. 3, pp. 545-557

  2. Equilibrium strategies in a defined benefit pension plan game

    European Journal of Operational Research, Vol. 275, Núm. 1, pp. 374-386

2018

  1. Nonlinear scalarization in multiobjective optimization with a polyhedral ordering cone

    International Transactions in Operational Research, Vol. 25, Núm. 3, pp. 763-779

  2. Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance

    Insurance: Mathematics and Economics, Vol. 82, pp. 73-86

  3. Stochastic Differential Games for Which the Open-Loop Equilibrium is Subgame Perfect

    Dynamic Games and Applications, Vol. 8, Núm. 2, pp. 379-400

2016

  1. A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho

    Statistics and Probability Letters, Vol. 112, pp. 41-50

  2. Identification of asymmetric conditional heteroscedasticity in the presence of outliers

    SERIEs : Journal of the Spanish Economic Association, Vol. 7, Núm. 1, pp. 179-201

2015

  1. Euler–Lagrange equations of stochastic differential games: Application to a game of a productive asset

    Economic Theory, Vol. 59, Núm. 1, pp. 61-108

2012

  1. Maximally autocorrelated power transformations: A closer look at the properties of stochastic volatility models

    Studies in Nonlinear Dynamics and Econometrics, Vol. 16, Núm. 3

  2. Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes

    European Journal of Operational Research, Vol. 220, Núm. 2, pp. 404-413

2010

  1. On a PDE Arising in One-Dimensional Stochastic Control Problems

    Journal of Optimization Theory and Applications, Vol. 147, Núm. 1, pp. 1-26

  2. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

    European Journal of Operational Research, Vol. 201, Núm. 1, pp. 211-221

2009

  1. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

    Computational Statistics and Data Analysis, Vol. 53, Núm. 10, pp. 3593-3600

  2. Erratum: Existence and uniqueness of solutions to the Bellman equation in the unbounded case (Econometrica (2003) 71:5 (1519-1555))

    Econometrica

2008

  1. Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings

    Computers and Operations Research, Vol. 35, Núm. 1, pp. 47-63