69 citations · 83 across the 13 of their papers we have counts for
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math.PR2020
The investor problem based on the HJM model
Szymon Peszat, Dariusz Zawisza
We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with…
math.PR2020
Ergodicity of Burgers' system
Szymon Peszat, Krystyna Twardowska, Jerzy Zabczyk
We consider a stochastic version of a system of coupled two equations formulated by Burgers with the aim to describe the laminar and turbulent motions of a fluid in a channel. The…
math.PR2020★ 1 cited
Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
Alexei Kulik, Szymon Peszat, Enrico Priola
Let be the transition semigroup of the Markov family defined by SDE where is a syste…