Cristina Caroli Costantini
Cristina Caroli Costantini
Verified email at unich.it
Title
Cited by
Cited by
Year
Numerical approximation for functionals of reflecting diffusion processes
B Pacchiarotti, C Costantini, F Sartoretto
SIAM Journal on Applied Mathematics 58 (1), 73-102, 1998
781998
The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
C Costantini
Probability theory and related fields 91 (1), 43-70, 1992
571992
Boundary sensitivities for diffusion processes in time dependent domains
C Costantini, E Gobet, N El Karoui
Applied Mathematics and Optimization 54 (2), 159-187, 2006
292006
Diffusion approximation for a class of transport processes with physical reflection boundary conditions
C Costantini
The Annals of Probability 19 (3), 1071-1101, 1991
241991
Viscosity methods giving uniqueness for martingale problems
C Costantini, T Kurtz
Electronic Journal of Probability 20, 2015
192015
Diffusion approximation for transport processes with general reflection boundary conditions
C Costantini, TG Kurtz
Mathematical Models and Methods in Applied Sciences 16 (05), 717-762, 2006
152006
Wright–Fisher construction of the two-parameter Poisson–Dirichlet diffusion
C Costantini, P De Blasi, SN Ethier, M Ruggiero, D Spano
The Annals of Applied Probability 27 (3), 1923-1950, 2017
112017
Explicit solution of an optimal stopping problem: The burn-in of conditionally exponential components
C Costantini, F Spizzichino
Journal of Applied Probability, 267-282, 1997
111997
Optimal Stopping of Life-Testing: Use of Stochastic Orderings in the Case of Conditionally Exponential Lifetimes
C Costantini, F Spizzichino
Lecture Notes-Monograph Series, 95-103, 1991
111991
A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
A Calzolari, C Costantini, F Marchetti
Stochastic processes and their applications 29 (2), 209-222, 1988
111988
Singular risk-neutral valuation equations
C Costantini, M Papi, F D’Ippoliti
Finance and Stochastics 16 (2), 249-274, 2012
92012
Hydrodynamic limits for the Boltzmann process
C Costantini, R Marra
Journal of statistical physics 67 (1-2), 229-249, 1992
61992
THE SKOROHOD OBLIQUE REFLECTION PROBLEM AND A DIFFUSION APPROXIMATION FOR A CLASS OF TRANSPORT PROCESSES.
C Costantini
61988
On the convergence of sequences of stationary jump Markov processes
C Costantini, A Gerardi, G Nappo
Statistics & Probability Letters 1 (3), 155-160, 1983
51983
Existence and uniqueness of reflecting diffusions in cusps
C Costantini, TG Kurtz
Electronic Journal of Probability 23, 2018
42018
Représentation de Feynman–Kac dans des domaines temps–espace et sensibilité par rapport au domaine
C Costantini, N El Karoui, E Gobet
Comptes Rendus Mathématique 337 (5), 337-342, 2003
42003
Variance reduction by antithetic random numbers of Monte Carlo methods for unrestricted and reflecting diffusions
C Costantini
Mathematics and Computers in Simulation 51 (1-2), 1-17, 1999
31999
Some results on weak convergence of jump Markov processes and their stability properties
C Costantini, G Nappo
Systems & Control Letters 2 (3), 175-183, 1982
31982
Markov selection for constrained martingale problems
C Costantini, TG Kurtz
Electronic Journal of Probability 24, 2019
22019
Singular valuation equations in finance
C Costantini, F D’ippoliti, M Papi
Finance Stoch 16, 249-274, 2012
22012
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