Ernesto Mordecki

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All published works

Action	Title	Year	Authors
+ PDF Chat	Optimal stopping for Markov processes with positive jumps	2024	Fabián Crocce Ernesto Mordecki
+ PDF Chat	Dynkin Games for L\'evy Processes	2024	Laura Aspirot Ernesto Mordecki Andrés Sosa
+	Two sided ergodic singular control and mean-field game for diffusions	2024	Sören Christensen Ernesto Mordecki Facundo Oliú Eguren
+ PDF Chat	Two sided long-time optimization singular control problems for L\'evy processes and Dynkin's games	2024	Ernesto Mordecki Facundo Oliú Eguren
+ PDF Chat	Diffusion spiders: Green kernel, excessive functions and optimal stopping	2023	Jukka Lempa Ernesto Mordecki Paavo Salminen
+ PDF Chat	On the finiteness of the moments of the measure of level sets of random fields	2023	Diego Armentano Jean‐Marc Azäis Federico Dalmao José R. León Ernesto Mordecki
+	Two sided ergodic singular control and mean field game for diffusions	2023	Sören Christensen Ernesto Mordecki Facundo Oliú Eguren
+ PDF Chat	Decoupling between SARS-CoV-2 transmissibility and population mobility associated with increasing immunity from vaccination and infection in South America	2022	Marcelo Fiori Gonzalo Bello Nicolás Wschebor Federico Lecumberry Andrés Ferragut Ernesto Mordecki
+	An algorithm to solve optimal stopping problems for one-dimensional diffusions	2022	Fabián Crocce Ernesto Mordecki
+ PDF Chat	On the impact of the Covid-19 health crisis on GDP forecasting: An empirical approach	2022	Gabriel Illanes Ernesto Mordecki Andrés Sosa
+	Diffusion spiders: Green kernel, excessive functions and optimal stopping	2022	Jukka Lempa Ernesto Mordecki Paavo Salminen
+	Large Deviation Principle for the Greedy Exploration Algorithm over Erdös-Rényi Graphs	2021	Paola Bermolen Valeria Goicoechea Matthieu Jonckheere Ernesto Mordecki
+ PDF Chat	Zero Black–Derman–Toy Interest Rate Model	2021	Grzegorz Krzyżanowski Ernesto Mordecki Andrés Sosa
+	SARS-CoV-2 epidemic in the South American Southern cone: can combined immunity from vaccination and infection prevent the spread of Gamma and Lambda variants while easing restrictions?	2021	Marcelo Fiori Gonzalo Bello Nicolás Wschebor Federico Lecumberry Andrés Ferragut Ernesto Mordecki
+	SARS-CoV-2 epidemic in the South American Southern cone: can combined immunity from vaccination and infection prevent the spread of Gamma and Lambda variants while easing restrictions?	2021	Marcelo Fiori Gonzalo Bello Nicolás Wschebor Federico Lecumberry Andrés Ferragut Ernesto Mordecki
+ PDF Chat	Two-sided optimal stopping for Lévy processes	2021	Ernesto Mordecki Facundo Oliú Eguren
+	On the finiteness of the moments of the measure of level sets of random fields	2020	Diego Armentano Jean‐Marc Azäis Federico Dalmao José R. León Ernesto Mordecki
+	Two-sided optimal stopping for L\'evy processes.	2019	Ernesto Mordecki Facundo Oliú Eguren
+	A zero interest rate Black-Derman-Toy model	2019	Grzegorz Krzyżanowski Ernesto Mordecki Andrés Sosa
+	Zero Black-Derman-Toy interest rate model	2019	Grzegorz Krzyżanowski Ernesto Mordecki Andrés Sosa
+ PDF Chat	Optimal stopping of Brownian motion with broken drift	2019	Ernesto Mordecki Paavo Salminen
+	Optimal stopping of oscillating Brownian motion	2019	Ernesto Mordecki Paavo Salminen
+ PDF Chat	Level sets and drift estimation for reflected Brownian motion with drift	2019	Alejandro Cholaquidis Ricardo Fraiman Ernesto Mordecki Cecilia Papalardo
+	Optimal stopping of oscillating Brownian motion	2019	Ernesto Mordecki Paavo Salminen
+	Two-sided optimal stopping for Lévy processes	2019	Ernesto Mordecki Facundo Oliú Eguren
+	Zero Black-Derman-Toy interest rate model	2019	Grzegorz Krzyżanowski Ernesto Mordecki Andrés Sosa
+	Optimal stopping of oscillating Brownian motion	2019	Ernesto Mordecki Paavo Salminen
+	An algorithm to solve optimal stopping problems for one-dimensional diffusions	2019	Fabián Crocce Ernesto Mordecki
+ PDF Chat	Two consistent estimators for the skew Brownian motion	2018	Antoine Lejay Ernesto Mordecki Soledad Torres
+	A non-iterative algorithm for generalized Pig games	2018	Fabián Crocce Ernesto Mordecki
+	On optimal stopping of multidimensional diffusions	2018	Sören Christensen Fabián Crocce Ernesto Mordecki Paavo Salminen
+	Asymptotic normality of high level-large time crossings of a Gaussian process	2018	Federico Dalmao José R. León Ernesto Mordecki Stéphane Mourareau
+ PDF Chat	A non-iterative algorithm for generalized pig games	2018	Fabián Crocce Ernesto Mordecki
+	Optimal stopping of Brownian motion with broken drift	2018	Ernesto Mordecki Paavo Salminen
+	A non-iterative algorithm for generalized Pig games	2018	Fabián Crocce Ernesto Mordecki
+	Asymptotic normality of high level-large time crossings of a Gaussian process	2017	Federico Dalmao José R. León Ernesto Mordecki Stéphane Mourareau
+	Asymptotic normality of high level-large time crossings of a Gaussian process	2017	Federico Dalmao José Rafael León Ernesto Mordecki Stéphane Mourareau
+	Level sets and drift estimation for reflected Brownian motion with drift	2016	Alejandro Cholaquidis Ricardo Fraiman Ernesto Mordecki Cecilia Papalardo
+	On optimal stopping of multidimensional diffusions	2016	Sören Christensen Fabián Crocce Ernesto Mordecki Paavo Salminen
+ PDF Chat	A finite exact algorithm to solve a dice game	2016	Fabián Crocce Ernesto Mordecki
+	Level sets and drift estimation for reflected Brownian motion with drift	2016	Alejandro Cholaquidis Ricardo Fraiman Ernesto Mordecki Cecilia Papalardo
+	On optimal stopping of multidimensional diffusions	2016	Sören Christensen Fabián Crocce Ernesto Mordecki Paavo Salminen
+	Optimal stopping for Levy processes with polynomial rewards	2015	Ernesto Mordecki Yuliya Mishura
+ PDF Chat	Robustness of Cucker–Smale flocking model	2015	Eduardo Canale Federico Dalmao Ernesto Mordecki Max O. Souza
+	On the number of open knight's tours	2015	Héctor Cancela Ernesto Mordecki
+	Optimal stopping for Levy processes with polynomial rewards	2015	Ernesto Mordecki Yuliya Mishura
+	Modelling the Uruguayan debt through gaussians models	2015	Andrés Sosa Ernesto Mordecki
+	Numerical approximation of Backward Stochastic Differential Equations with Jumps	2014	Antoine Lejay Ernesto Mordecki Soledad Torres
+ PDF Chat	Rice formula for processes with jumps and applications	2014	Federico Dalmao Ernesto Mordecki
+	A finite exact algorithm to solve a dice game	2014	Fabián Crocce Ernesto Mordecki
+ PDF Chat	Robustness of Cucker-Smale flocking model	2014	Eduardo Canale Federico Dalmao Ernesto Mordecki Max O. Souza
+ PDF Chat	Robustness of Cucker-Smale flocking model	2014	Eduardo Canale Federico Dalmao Ernesto Mordecki Max O. Souza
+	A finite exact algorithm to solve a dice game	2014	Fabián Crocce Ernesto Mordecki
+	Computing Greeks for Lévy Models: The Fourier Transform Approach	2014	Federico De Olivera Ernesto Mordecki
+	Robustness of Cucker-Smale flocking model	2014	Eduardo Canale Federico Dalmao Ernesto Mordecki Max O. Souza
+ PDF Chat	Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions	2013	Fabián Crocce Ernesto Mordecki
+ PDF Chat	Is a Brownian Motion Skew?	2013	Antoine Lejay Ernesto Mordecki Soledad Torres
+	Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions	2013	Fabián Crocce Ernesto Mordecki
+ PDF Chat	Skewness premium with Lévy processes	2011	José Fajardo Ernesto Mordecki
+	Is a Brownian skew	2011	Antoine Lejay Ernesto Mordecki Soledad Torres
+ PDF Chat	Cucker–Smale Flocking Under Hierarchical Leadership and Random Interactions	2011	Federico Dalmao Ernesto Mordecki
+	Is a Brownian skew?	2011	Antoine Lejay Ernesto Mordecki Soledad Torres
+	Optimal minimax strategy in a dice game	2009	Fabián Crocce Ernesto Mordecki
+	Cucker-Smale Flocking Under Hierarchical Leadership and Random Interactions	2009	Federico Dalmao Ernesto Mordecki
+	Skewness Premium with L\'evy Processes	2008	José Fajardo Ernesto Mordecki
+	Symmetry and Time Changed Brownian Motions	2008	José Fajardo Ernesto Mordecki
+	Duality And Derivative Pricing With Time-Changed Lévy Processes	2008	José Fajardo Ernesto Mordecki
+ PDF Chat	Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms	2008	Alan Lewis Ernesto Mordecki
+ PDF Chat	Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms	2008	Alan Lewis Ernesto Mordecki
+ PDF Chat	Adaptive Weak Approximation of Diffusions with Jumps	2008	Ernesto Mordecki Anders Szepessy Raúl Tempone Georgios E. Zouraris
+	Skewness Premium with Lévy Processes	2008	José Fajardo Ernesto Mordecki
+	Symmetry and Time Changed Brownian Motions	2008	José Fajardo Ernesto Mordecki
+ PDF Chat	Flocking in noisy environments	2007	Felipe Cucker Ernesto Mordecki
+	Optimal stopping of Hunt and Lévy processes	2007	Ernesto Mordecki Paavo Salminen
+	Flocking in noisy environments	2007	Felipe Cucker Ernesto Mordecki
+	Counting Knight's Tours through the Randomized Warnsdorff Rule	2006	Héctor Cancela Ernesto Mordecki
+	Optimal stopping of Hunt and Lévy processes	2006	Ernesto Mordecki Paavo Salminen
+	Adaptive Weak Approximation of Diffusions with Jumps	2006	Ernesto Mordecki Anders Szepessy Raúl Tempone Georgios E. Zouraris
+	Duality and Derivative Pricing with Time-Changed Lévy Processes	2005	José Fajardo Ernesto Mordecki
+ PDF Chat	Approximation of the occupation measure of Lévy processes	2005	Ernesto Mordecki Mario Wschebor
+	Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps	2004	Ernesto Mordecki
+	Pricing Derivatives on Two Lé}vy-driven Stocks	2004	Ernesto Mordecki José Fajardo
+	Put-Call Duality and Symmetry	2003	José Fajardo Ernesto Mordecki
+	Smoothing of paths and weak approximation of the occupation measure of L evy processes	2003	Ernesto Mordecki Mario Wschebor Calle Igu
+	Pricing Derivatives on Two Levy-driven Stocks	2002	Ernesto Mordecki
+	Bounds on option prices for semimartingale market models	2001	A. A. Gushchin Ernesto Mordecki
+	Optimal stopping for a diffusion with jumps	1999	Ernesto Mordecki
+	Ruin probabilities and optimal stopping for a diffusion with jumps	1997	Ernesto Mordecki
+	Integral Option	1995	Dmitry Kramkov Ernesto Mordecki
+	Asymptotic mixed normality and hellinger processes	1994	Ernesto Mordecki

Common Coauthors

Coauthor	Papers Together
Fabián Crocce	15
Paavo Salminen	12
Federico Dalmao	12
José Fajardo	9
Facundo Oliú Eguren	6
Antoine Lejay	5
Sören Christensen	5
Soledad Torres	5
José R. León	4
Max O. Souza	4
Grzegorz Krzyżanowski	4
Andrés Sosa	4
Eduardo Canale	4
Andrés Ferragut	3
Gonzalo Bello	3
Federico Lecumberry	3
Marcelo Fiori	3
Andrés Sosa	3
Stéphane Mourareau	3
Ricardo Fraiman	3
Nicolás Wschebor	3
Alejandro Cholaquidis	3
Cecilia Papalardo	2
Anders Szepessy	2
Raúl Tempone	2
Yuliya Mishura	2
Diego Armentano	2
Mario Wschebor	2
Héctor Cancela	2
Alan Lewis	2
Jukka Lempa	2
Georgios E. Zouraris	2
Felipe Cucker	2
Jean-Marc Azaı̈s	2
Cecilia Papalardo	1
Calle Igu	1
A. A. Gushchin	1
Paola Bermolen	1
José Rafael León	1
Matthieu Jonckheere	1
Dmitry Kramkov	1
Laura Aspirot	1
Federico De Olivera	1
Gabriel Illanes	1
Valeria Goicoechea	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	On the constructions of the skew Brownian motion	2006	Antoine Lejay	9
+	Levy Processes and Infinitely Divisible Distributions	1999	Ken‐iti Sato	8
+	Optimal Stopping of One-Dimensional Diffusions	1985	Paavo Salminen	8
+	Optimal stopping of Hunt and Lévy processes	2007	Ernesto Mordecki Paavo Salminen	7
+ PDF Chat	Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions	2013	Fabián Crocce Ernesto Mordecki	6
+	Diffusion Processes and Their Sample Paths.	1996	PALE Kiyosi Itô H. P. McKean	5
+	Handbook of Brownian Motion - Facts and Formulae	2002	A. N. Borodin Paavo Salminen	5
+ PDF Chat	Timing in the presence of directional predictability: optimal stopping of skew Brownian motion	2017	Luis H. R. Alvarez E. Paavo Salminen	5
+ PDF Chat	Flocking in noisy environments	2007	Felipe Cucker Ernesto Mordecki	4
+ PDF Chat	Rates of convergence to the local time of a diffusion	1998	Jean Jacod	4
+ PDF Chat	Optimal stopping of Brownian motion with broken drift	2019	Ernesto Mordecki Paavo Salminen	4
+	On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments	1966	B. A. Rogozin	4
+	Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit	2015	Paavo Salminen Bao Quoc Ta	4
+	Principle of smooth fit and diffusions with angles	2007	Goran Peškir	4
+ PDF Chat	Novel Type of Phase Transition in a System of Self-Driven Particles	1995	Tamás Vicsek András Czirók Eshel Ben‐Jacob Inon Cohen Ofer Shochet	4
+	Optimal strategy in a dice game	2000	John Haigh Markus Roters	4
+ PDF Chat	On a class of optimal stopping problems for diffusions with discontinuous coefficients	2008	Ludger Rüschendorf Mikhail Urusov	4
+ PDF Chat	COVID-19 dynamics after a national immunization program in Israel	2021	Hagai Rossman Smadar Shilo Tomer Meir Malka Gorfine Uri Shalit Eran Segal	3
+	Real-time tracking and prediction of COVID-19 infection using digital proxies of population mobility and mixing	2021	Kathy Leung Joseph T. Wu GM Leung	3
+	Prediction of the effective reproduction number of COVID-19 in Greece. A machine learning approach using Google mobility data	2021	Athanasios Arvanitis Irini Furxhi Thomas Tasioulis K Konstantinos	3
+	Determinants of SARS-CoV-2 transmission to guide vaccination strategy in an urban area	2020	Sarah C. Brüningk Juliane Klatt Madlen Stange Alfredo Mari Myrta Brunner Tim Roloff Helena M. B. Seth-Smith Michael Schweitzer Karoline Leuzinger Kirstine K. Søgaard	3
+	Biased movement at a boundary and conditional occupancy times for diffusion processes	2003	Otso Ovaskainen Stephen J. Cornell	3
+	The First Passage Time of a Level and the Behavior at Infinity for a Class of Processes with Independent Increments	1964	В. М. Золотарев	3
+	Community movement and COVID-19: a global study using Google's Community Mobility Reports	2020	Mihály Sulyok Mark Walker	3
+	Reduction in mobility and COVID-19 transmission	2021	Pierre Nouvellet Sangeeta Bhatia Anne Cori Kylie E. C. Ainslie Marc Baguelin Samir Bhatt Adhiratha Boonyasiri Nicholas F. Brazeau Lorenzo Cattarino Laura Cooper	3
+ PDF Chat	State-level tracking of COVID-19 in the United States	2020	H. Juliette T. Unwin Swapnil Mishra Valerie C. Bradley Axel Gandy Thomas A. Mellan Helen Coupland Jonathan Ish-Horowicz Michaela Vollmer Charles Whittaker Sarah Filippi	3
+ PDF Chat	Flattening the curve is flattening the complexity of covid-19	2021	Marcel Boumans	3
+	Optimal stopping of strong Markov processes	2012	Sören Christensen Paavo Salminen Bao Quoc Ta	3
+	Optimal Stopping for Strong Markov Processes : Explicit solutions and verification theorems for diffusions, multidimensional diffusions, and jump-processes.	2012	Fabián Crocce	3
+	Five reasons why COVID herd immunity is probably impossible	2021	Christie Aschwanden	3
+ PDF Chat	Impact of vaccination on new SARS-CoV-2 infections in the United Kingdom	2021	Emma Pritchard Philippa C. Matthews Nicole Stoesser David W. Eyre Owen Gethings Karina-Doris Vihta Joel W. Jones Thomas House Harper VanSteenhouse Iain Bell	3
+ PDF Chat	Association between mobility patterns and COVID-19 transmission in the USA: a mathematical modelling study	2020	Hamada S. Badr Hongru Du Maximilian Marshall Ensheng Dong Marietta M. Squire Lauren Gardner	3
+	Individual variation in susceptibility or exposure to SARS-CoV-2 lowers the herd immunity threshold	2020	M. Gabriela M. Gomes Marcelo U. Ferreira Rodrigo M. Corder Jessica G. King Caetano Souto-Maior Carlos Penha‐Gonçalves Guilherme Luis Scaramella Gonçalves Maria Chikina Wesley Pegden Ricardo Águas	3
+ PDF Chat	Herd Immunity and Implications for SARS-CoV-2 Control	2020	Saad B. Omer İnci Yıldırım Howard P. Forman	3
+	Optimal stopping of oscillating Brownian motion	2019	Ernesto Mordecki Paavo Salminen	3
+	The effect of human mobility and control measures on the COVID-19 epidemic in China	2020	Moritz U. G. Kraemer Chia-Hung Yang Bernardo Gutiérrez Chieh‐Hsi Wu Brennan Klein David M. Pigott Louis du Plessis Nuno R. Faria Ruoran Li William P. Hanage	3
+ PDF Chat	Challenges in creating herd immunity to SARS-CoV-2 infection by mass vaccination	2020	Roy M. Anderson Carolin Vegvari James E. Truscott Benjamin Collyer	3
+ PDF Chat	On Skew Brownian Motion	1981	J. Michael Harrison L. A. Shepp	3
+	Skew CIR process, conditional characteristic function, moments and bond pricing	2018	Yingxu Tian Haoyan Zhang	3
+ PDF Chat	Oscillating Brownian motion	1978	Julian Keilson Jon A. Wellner	3
+ PDF Chat	Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations	1991	Thomas G. Kurtz Philip Protter	3
+ PDF Chat	Multiple curve Lévy forward price model allowing for negative interest rates	2019	Ernst Eberlein Christoph Gerhart Zorana Grbac	3
+ PDF Chat	Statistical estimation of the Oscillating Brownian Motion	2018	Antoine Lejay Paolo Pigato	3
+	Estimates of the severity of coronavirus disease 2019: a model-based analysis	2020	Robert Verity Lucy Okell Ilaria Dorigatti Peter Winskill Charles Whittaker Natsuko Imai Gina Cuomo-Dannenburg Hayley Thompson Patrick Walker Han Fu	3
+ PDF Chat	Cucker–Smale Flocking under Hierarchical Leadership	2007	Jianhong Shen	3
+ PDF Chat	A mathematical model reveals the influence of population heterogeneity on herd immunity to SARS-CoV-2	2020	Tom Britton Frank Ball Pieter Trapman	3
+	THE LAPLACIAN SPECTRUM OF GRAPHS y	1991	Bojan Mohar	3
+	Processes of Meixner type	1999	B. Grigelionis	3
+ PDF Chat	On the optimal stopping problem for one-dimensional diffusions	2003	Savaş Dayanik Ioannis Karatzas	3
+	On optimal stopping of multidimensional diffusions	2018	Sören Christensen Fabián Crocce Ernesto Mordecki Paavo Salminen	3