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Ghomrasni, Raouf

Co-Author Distance
Author ID: ghomrasni.raouf Recent zbMATH articles by "Ghomrasni, Raouf"
Published as: Ghomrasni, Raouf; Ghomrasni, R.
Documents Indexed: 12 Publications since 2000
Reviewing Activity: 55 Reviews
Co-Authors: 7 Co-Authors with 8 Joint Publications
280 Co-Co-Authors
all top 5

Co-Authors

4 single-authored
2 Donati-Martin, Catherine
2 łochowski, Rafał Marcin
2 Yor, Marc
1 Banner, Adrian D.
1 Graversen, Svend Erik
1 Menoukeu Pamen, Olivier
1 Peskir, Goran
all top 5

Serials

3 Studia Scientiarum Mathematicarum Hungarica
1 Mathematical Methods in the Applied Sciences
1 Chaos, Solitons and Fractals
1 Statistics & Probability Letters
1 Stochastic Analysis and Applications
1 Revista Matemática Iberoamericana
1 Journal of Applied Mathematics and Stochastic Analysis
1 Stochastic Processes and their Applications
1 Electronic Journal of Probability

Fields

12 Probability theory and stochastic processes (60-XX)
2 Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

7 Publications have been cited 85 times in 84 Documents Cited by ▼ Year ▼
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073
Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc
33
2001
Local times of ranked continuous semimartingales. Zbl 1147.60052
Banner, Adrian D.; Ghomrasni, Raouf
26
2008
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
12
2003
The play operator, the truncated variation and the generalisation of the Jordan decomposition. Zbl 1307.60028
Łochowski, R.; Ghomrasni, R.
6
2015
Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution. Zbl 0980.60023
Donati-Martin, C.; Ghomrasni, R.; Yor, M.
3
2000
Integral and local limit theorems for level crossings of diffusions and the Skorohod problem. Zbl 1296.60082
Łochowski, Rafał Marcin; Ghomrasni, Raouf
3
2014
On distributions associated with the generalized Lévy’s stochastic area formula. Zbl 1059.60049
Ghomrasni, R.
2
2004
The play operator, the truncated variation and the generalisation of the Jordan decomposition. Zbl 1307.60028
Łochowski, R.; Ghomrasni, R.
6
2015
Integral and local limit theorems for level crossings of diffusions and the Skorohod problem. Zbl 1296.60082
Łochowski, Rafał Marcin; Ghomrasni, Raouf
3
2014
Local times of ranked continuous semimartingales. Zbl 1147.60052
Banner, Adrian D.; Ghomrasni, Raouf
26
2008
On distributions associated with the generalized Lévy’s stochastic area formula. Zbl 1059.60049
Ghomrasni, R.
2
2004
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
12
2003
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073
Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc
33
2001
Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution. Zbl 0980.60023
Donati-Martin, C.; Ghomrasni, R.; Yor, M.
3
2000
all cited Publications top 5 cited Publications
all top 5

Cited by 104 Authors

9 Karatzas, Ioannis
6 łochowski, Rafał Marcin
5 Pirjol, Dan
4 Jakubowski, Jacek
4 Polunchenko, Aleksey S.
4 Shkolnikov, Mykhaylo
4 Wiśniewolski, Maciej
3 Fernholz, Erhard Robert
3 Ichiba, Tomoyuki
3 Pal, Soumik
3 Ruf, Johannes
3 Sarantsev, Andrey
3 Zhu, Lingjiong
2 Aledawish, Saliha
2 Bardina, Xavier
2 Chen, Zhen-Qing
2 Feng, Runhuan
2 Feng, Xinwei
2 Fernholz, Ricardo T.
2 Iksanov, Aleksander M.
2 Pagliarani, Stefano
2 Pepelyshev, Andrey
2 Rovira, Carles
2 Soltani, Fethi
2 Xie, Kangjianan
1 Abramov, Vyacheslav M.
1 Alsmeyer, Gerold
1 Attard, Natalie
1 Banner, Adrian D.
1 Baudoin, Fabrice
1 Bednorz, Witold Marek
1 Brigo, Damiano
1 Cai, Cheng
1 Capponi, Agostino
1 Chou, Ching-Sung
1 Da Fonseca, José
1 De Angelis, Tiziano
1 Demni, Nizar
1 Eisenbaum, Nathalie
1 Fasen, Vicky
1 Feng, Chunrong
1 Forde, Martin
1 Ghomrasni, Raouf
1 Glasserman, Paul
1 Guerra, Manuel
1 Gulisashvili, Archil
1 Henderson, Vicky
1 Hilbert, Astrid
1 Hobson, David Graham
1 Ichiba, Tomoyuki
1 Itkin, David
1 Jacquier, Antoine
1 Jarni, Imane
1 Jeanblanc, Monique
1 Kardaras, Constantinos
1 Kim, Chesoong
1 Kim, Donghan
1 Larsson, Martin
1 Li, Kexuan
1 Lin, Hsien-Jen
1 Lindner, Alexander M.
1 Maller, Ross Arthur
1 Martini, Claude
1 Martynek, Rafał
1 Menoukeu Pamen, Olivier
1 Nguyen, Tien Dung
1 Obloj, Jan K.
1 O’Connell, Neil
1 Ouknine, Youssef
1 Papathanakos, Vassilios
1 Pascucci, Andrea
1 Patie, Pierre
1 Penney, Richard C.
1 Pignotti, Michele
1 Prokaj, Vilmos
1 Prömel, David J.
1 Pun, Chi Seng
1 Robertson, Scott
1 Rösler, Uwe
1 Roynette, Bernard
1 Saporito, Yuri F.
1 Shaw, William T.
1 Siorpaes, Pietro
1 Sokolov, Grigory
1 Sousa, Rúben
1 Stein, Elias Menachem
1 Taillefumier, Thibaud
1 Touboul, Jonathan
1 Urban, Roman
1 Vargiolu, Tiziano
1 Večeř, Jan
1 Vervuurt, Alexander
1 Volkmer, Hans W.
1 Vrins, Frédéric
1 Walsh, Alexander
1 Willems, Sander
1 Wojakowski, Rafał
1 Xu, Mingxin
1 Yakubovich, Semyon B.
1 Yan, Litan
...and 4 more Authors
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Cited in 44 Serials

7 The Annals of Applied Probability
7 Stochastic Processes and their Applications
5 Journal of Theoretical Probability
5 Bernoulli
4 Statistics & Probability Letters
3 Probability Theory and Related Fields
3 Finance and Stochastics
3 Annals of Finance
2 Advances in Applied Probability
2 Journal of Applied Probability
2 Insurance Mathematics & Economics
2 Stochastic Analysis and Applications
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Potential Analysis
2 Applied Mathematical Finance
2 Mathematical Finance
2 Journal of Inequalities and Applications
2 Methodology and Computing in Applied Probability
2 Quantitative Finance
1 Journal of Mathematical Physics
1 Lithuanian Mathematical Journal
1 Theory of Probability and its Applications
1 Annales de l’Institut Fourier
1 Annali di Matematica Pura ed Applicata. Serie Quarta
1 The Annals of Probability
1 Transactions of the American Mathematical Society
1 Publicacions Matemàtiques
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Statistical Papers
1 Journal of Mathematical Sciences (New York)
1 Integral Transforms and Special Functions
1 Electronic Journal of Probability
1 The Journal of Fourier Analysis and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Mathematical Methods of Operations Research
1 LMS Journal of Computation and Mathematics
1 Stochastics and Dynamics
1 ASTIN Bulletin
1 Stochastics
1 SIAM Journal on Financial Mathematics
1 Science China. Mathematics
1 International Journal of Stochastic Analysis
1 Frontiers of Mathematical Finance
all top 5

Cited in 22 Fields

69 Probability theory and stochastic processes (60-XX)
33 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
4 Statistics (62-XX)
3 Topological groups, Lie groups (22-XX)
3 Partial differential equations (35-XX)
2 Real functions (26-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Integral transforms, operational calculus (44-XX)
2 Integral equations (45-XX)
2 Calculus of variations and optimal control; optimization (49-XX)
2 Numerical analysis (65-XX)
2 Statistical mechanics, structure of matter (82-XX)
1 Potential theory (31-XX)
1 Special functions (33-XX)
1 Abstract harmonic analysis (43-XX)
1 Functional analysis (46-XX)
1 Operator theory (47-XX)
1 Computer science (68-XX)
1 Fluid mechanics (76-XX)
1 Systems theory; control (93-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year