Publications

Maciej Wiśniewolski

Number of publications: 18

2021

• Jacek Jakubowski , Maciej Wiśniewolski , A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock–Williams equation, Bernoulli, 27 (3) 2021, p. 1870-1898. See in PBN
• Maciej Wiśniewolski , Counting excursions: symmetries, knock-ins and non-linear formula for Itô--McKean diffusions, Alea, 18 (1) 2021, p. 349–377. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , Explicit solutions of Volterra integro-differential convolution equations, Journal of Differential Equations, 292 2021, p. 416-426. See in PBN

2020

• Jacek Jakubowski , Maciej Wiśniewolski , A note on switching property for squared Bessel process, Lithuanian Mathematical Journal, 60 (4) 2020, p. 482-493. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , Another Look at the Hartman-Watson Distributions, POTENTIAL ANALYSIS, 53 2020, p. 1269–1297. See in PBN
• Maciej Wiśniewolski , Integral functionals under the excursion measure, Journal of Applied Probability, 57 (1) 2020, p. 137-155. See in PBN
• Maciej Wiśniewolski , K-Hartman-Watson distributions: A study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions, Journal of Mathematical Analysis and Applications, 482 (2) 2020, p. 1-14. See in PBN
• Maciej Wiśniewolski , Jacek Jakubowski , Revisiting linear and lognormal stochastic volatility models, BANACH CENTER PUBLICATIONS, 122 2020, p. 169-185. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , Volterra integral equations of the first kind and applications to linear diffusions, Transactions of the American Mathematical Society, 373 (10) 2020, p. 7455-7472. See in PBN

2019

• Tomasz Byczkowski, Jacek Jakubowski , Maciej Wiśniewolski , On functionals of excursions for Bessel processes with negative index, Studia Mathematica, 246 (3) 2019, p. 217-231. See in PBN

2018

• Jacek Jakubowski , Maciej Wiśniewolski , A simple proof of the martingale property in a semi-log-normal stochastic volatility model, Applicationes Mathematicae, 45 2018, p. 1-4. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , Invariance formulas for stopping Times of squared Bessel process, Stochastic Analysis and Applications, 36 (4) 2018, p. 671-699. See in PBN
• Jacek Jakubowski , Zofia Michalik, Maciej Wiśniewolski , Moments and Mellin transform of the asset price in Stein and Stein model and option pricing, Lithuanian Mathematical Journal, 58 2018, p. 33–47. See in PBN

2015

• Jacek Jakubowski , Maciej Wiśniewolski , On matching diffusions, Laplace transforms and partial differential equations, Stochastic Processes and their Applications, 2015. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , On the distribution of Verhulst process, Lithuanian Mathematical Journal, 2015. See in PBN

2013

• Jacek Jakubowski , Maciej Wiśniewolski , On hyperbolic Bessel processes and beyond, Bernoulli, 5B 2013, p. 2437-2454. See in PBN
• Jacek Jakubowski , Maciej Wiśniewolski , On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model, Studia Mathematica, 219 2013, p. 201-224. See in PBN

2012

• Jacek Jakubowski , Maciej Wiśniewolski , Conditional version of the Donati-Martin and Yor Formula and its applications, Demonstratio Mathematica, 2012. See in PBN