Publications

Jacek Jakubowski

Number of publications: 67

2024

• Jacek Jakubowski , Maciej Wiśniewolski , On bivariate distributions of the local time of Itô-McKean diffusions, BERNOULLI, 30 (1) 2024, p. 227-251. See in PBN

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
• Jacek Jakubowski , Maciej Wiśniewolski , Explicit solutions of Volterra integro-differential convolution equations, Journal of Differential Equations, 292 2021, p. 416-426. See in PBN
• Tomasz R. Bielecki, Jacek Jakubowski , Monique Jeanblanc, Mariusz Niewęgłowski, Semimartingales and shrinkage of filtration, ANNALS OF APPLIED PROBABILITY, 31 (3) 2021, p. 1376-1402. 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 , Jacek Jakubowski , Revisiting linear and lognormal stochastic volatility models, BANACH CENTER PUBLICATIONS, 122 2020, p. 169-185. See in PBN
• Jacek Jakubowski , Mariusz Niewęgłowski, Miklos Rásonyi, Łukasz Stettner, Stochastic Modeling and Control, 2020. See in PBN
• Tomasz R. Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, Structured Dependence between Stochastic Processes, 2020. 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
• Jacek Jakubowski , Mariusz Niewęgłowski, Pricing and hedging of general rating sensitive claims in a jump-diffusion market model in presence of stochastic factors, Journal of Mathematical Analysis and Applications, 476 (2) 2019, p. 737-758. 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

2017

• Tomasz R Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, A Note on Independence Copula for Conditional Markov Chains, Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science, 2017. See in PBN
• Tomasz R. Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, Conditional Markov chains: Properties, construction and structured dependence, Stochastic Processes and their Applications, 127 (4) 2017, p. 1125-1170. See in PBN
• Jacek Jakubowski , Mariusz Niewęgłowski, Feynman-Kac Theorem in random environments and partial integro-differential equations, Journal of Mathematical Analysis and Applications, 450 (2) 2017, p. 1363-1387. See in PBN

2016

• Jacek Jakubowski , QueuePredict – accurate prediction of queue length in public service offices on the basis of Open Urban Data APIs, Federated Conference on Computer Science and Information Systems, Gdańsk, 11 September 2016 - 14 September 2016. See in PBN
• Jacek Jakubowski , A. Pytel, The Markov consistency of Archimedean survival processes, Journal of Applied Probability, 2016. See in PBN

2015

• Mariusz Niewęgłowski, Jacek Jakubowski , Conditional Markov chains – construction and properties, BANACH CENTER PUBLICATIONS, 105 2015, p. 33-42. See in PBN
• 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
• Tyrone Duncan, Jacek Jakubowski , Bozenna Pasik-Duncan, Stochastic volatility models with volatility driven by fractional Brownian motions, Communications in Information and Systems, 2015. See in PBN

2014

• Jacek Jakubowski , Mariusz Niewęgłowski, Jump-diffusion processes in random environments, Journal of Differential Equations, 2014. See in PBN

2013

• Tomasz Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae, Electronic Journal of Probability, 18 (45) 2013, p. 1-21. See in PBN
• 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
• Jędrzej Białkowski, Jacek Jakubowski , Determinants of trading activity on the single-stock futures market: Evidence from the Eurex exchange, Journal of Derivatives, 2012. See in PBN
• Tomasz R. Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, Study of dependence for some stochastic processes: Symbolic Markov copulae, Stochastic Processes and their Applications, 2012. See in PBN

2011

• Michał Barski , Jacek Jakubowski , Jerzy Zabczyk, On Incompleteness of bond markets with infinite number of random factors, Mathematical Finance, 2011. See in PBN
• Jacek Jakubowski , Mariusz Niewęgłowski, Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains. G.Di Nunno, B.Oksendal (eds.), 2011. See in PBN

2010

• Jacek Jakubowski , Mariusz Niewęgłowski, A class of F-doubly stochastic Markov chains, Electronic Journal of Probability, 2010. See in PBN
• Jacek Jakubowski , Mariusz Niewęgłowski, Defaultable bonds with an infinite number of Levy factors, Applicationes Mathematicae, 2010. See in PBN
• Tomasz R. Bielecki, Jacek Jakubowski , Mariusz Niewęgłowski, Dynamic modeling of dependence in finance via copulae between stochastic processes, 2010. See in PBN

2009

• Jacek Jakubowski , Andrzej Palczewski, Modelling and Optimatization of Fixed Income Investments, ERCIM News, 2009. See in PBN

2008

• Mariusz Niewęgłowski, Jacek Jakubowski , Pricing bonds and CDS in the model with rating migration induced by a cox process, BANACH CENTER PUBLICATIONS, 2008. See in PBN
• Jacek Jakubowski , M. Niewęgłowski, Pricing Bonds and CDS in the model with rating migration induced by Cox process, 2008. See in PBN
• J. Białkowski, Jacek Jakubowski , Stock index futures arbitrage in emerging markets: Polish evidence, International Review of Financial Analysis, 2008. See in PBN
• T. Bielecki, Jacek Jakubowski , A. Vidozzi, L. Vidozzi, Study of dependence for some stochastic processes, Stochastic Analysis and Applications, 2008. See in PBN

2007

• Jacek Jakubowski , Jerzy Zabczyk, Exponential moments for HJM models with jumps, Finance and Stochastics, 2007. See in PBN

2006

• Jacek Jakubowski , Andrzej Palczewski, M. Rutkowski, Ł Stettner, Matematyka finansowa, 2006. See in PBN
• Jacek Jakubowski , Modelowanie Rynków Finansowych, 2006. See in PBN
• Jacek Jakubowski , Rafał Sztencel, Rachunek Prawdopodobieństwa dla (prawie) każdego s.1-366, wydanie II poprawione i rozszerzone., 2006. See in PBN
• T. Duncan, Jacek Jakubowski , B. Pasik-Duncan, Stochastic integration for fractional Brownian motion in a Hilbert space, Stochastics and Dynamics, 2006. See in PBN

2005

• Jacek Jakubowski , Martyngały a rynki finansowe, MATEMATYKA, SPOŁECZEŃSTWO, NAUCZANIE, 2005. See in PBN
• Jędrzej Białkowski, Jacek Jakubowski , Możliwości arbitrażu między rynkiem terminowym a kasowym dla kontraktów na WIG20, Rynek Terminowy, 2005. See in PBN
• Jędrzej Białkowski, Jacek Jakubowski , Statystyczne własności szeregu niedopasowania pomiędzy ceną futures a jej teoretyczną wartością dla kontraktów na akcje, Rynek Terminowy, 2005. See in PBN

2004

• J. Białkowski, Jacek Jakubowski , On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model., CONTEMPORARY MATHEMATICS, 2004. See in PBN

2003

• Jacek Jakubowski , Andrzej Palczewski, Łukasz Stettner, Matematyka finansowa. Instrumenty pochodne, 2003. See in PBN

2002

• Jacek Jakubowski , Rafał Sztencel, Rachunek prawdopodobieństwa dla (prawie) każdego, 2002. See in PBN

2001

• Jacek Jakubowski , Rafał Sztencel, Elementarny rachunek prawdopodobienstwa, 2001. See in PBN
• Cz Bracha, Jacek Jakubowski , Influence of numbers of grouped balanced half-samples on effectiveness of variance estimationin for complex sample surveys, Statistics in Transition, 2001. See in PBN

2000

• Jacek Jakubowski , Existence of storng solutions to stochastic differential equations in the duals of nuclear spaces, Biuletyn Komitetu Przestrzennego Zagospodarowania Kraju PAN, 2000. See in PBN
• Jacek Jakubowski , Existence of strong solutions to stochastic differential equations in conuclear spaces, Bulletin of the Polish Academy of Sciences. Mathematics, 2000. See in PBN
• Jacek Jakubowski , Existence of strong solutions to stochastic differential equations in the duals of nuclear spaces, 2000. See in PBN
• Jacek Jakubowski , Rafał Sztencel, Wstęp do teorii prawdopodobienstwa, 2000. See in PBN

1999

• Tomasz Bojdecki, Jacek Jakubowski , Invariant measures for generalized Langevin equations in conuclear space, Stochastic Processes and their Applications, 1999. See in PBN

1996

• Tomasz Bojdecki, Jacek Jakubowski , The anticipative Stratonovich integral in conuclear spaces, Applied Mathematics and Optimization, 1996. See in PBN

1995

• Tomasz Bojdecki, Jacek Jakubowski , A representation theorem for generalized Wiener process in conuclear space, Boletin de la Sociedad Matematica Mexicana, 1995. See in PBN

1993

• Tomasz Bojdecki, Jacek Jakubowski , The Skorohod integral in conuclear spaces, Applied Mathematics and Optimization, 1993. See in PBN

1991

• Tomasz Bojdecki, Jacek Jakubowski , The Girsanov theorem and weak solutions of stochastic differential equations in the dual of a nuclear space, Stochastic Analysis and Applications, 1991. See in PBN

1990

• Tomasz Bojdecki, Jacek Jakubowski , Stochastic integration for inhomogeneous Wiener process in the dual of a nuclear space, Journal of Multivariate Analysis, 1990. See in PBN

1989

• Tomasz Bojdecki, Jacek Jakubowski , Ito stochastic integral in the dual of a nuclear space, Journal of Multivariate Analysis, 1989. See in PBN

Others

• Jacek Jakubowski , Mariusz Niewęgłowski, A Note on Independence Copula for Conditional Markov Chains, Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science, , p. 303-321. See in PBN
• Jacek Jakubowski , Mariusz Niewęgłowski, Pricing and hedging in Lévy exponential model with ratings, 20 Years of the Faculty of Mathematics and Information Science. A collection of research papers in mathematics, , p. 101-119. See in PBN