Publications
] . “On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models”. arXiv:2504.09276, Submitted. arXiv:2504.09276.
. “Universal portfolios in continuous time: an approach in pathwise Itô calculus”. arXiv:2504.11881, Submitted.
. “Robust Faber--Schauder approximation based on discrete observations of an antiderivative”. Mathematics of Operations Research, Accepted. https://arxiv.org/pdf/2211.11907.pdf.
. “The roughness exponent and its model-free estimation”. The Annals of Applied Probability 35, no. 2 (2025): 1049-1082.
. “A criterion for absolute continuity relative to the law of fractional Brownian motion”. Electronic Communications in Probability, 2024, 29, 1-10.
. “A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://link.springer.com/article/10.1007/s10959-022-01157-1.
. “Step Roots of Littlewood Polynomials and the Extrema of Functions in the Takagi Class”. Mathematical Proceedings of the Cambridge Philosophical Society 173, no. 3 (2022): 591-618. https://www.cambridge.org/core/journals/mathematical-proceedings-of-the-cambridge-philosophical-society/article/step-roots-of-littlewood-polynomials-and-the-extrema-of-functions-in-the-takagi-class/747DD5176BD8D0F4A226E5B09F876153.
. “A Gladyshev theorem for trifractional Brownian motion and n-th order fractional Brownian motion”. Electronic Communications in Probability 26, no. 54 (2021): 1-12. https://projecteuclid.org/journals/electronic-communications-in-probability/volume-26/issue-none/A-Gladyshev-theorem-for-trifractional-Brownian-motion-and-n-th/10.1214/21-ECP422.full.
. “A probabilistic approach to the Phi-variation of classical fractal functions with critical roughness”. Statistics & Probability Letters 168, no. 108950 (2021). https://www.sciencedirect.com/science/article/pii/S0167715220302236.
