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Author ID: jakubowski.jacek Recent zbMATH articles by "Jakubowski, Jacek"
Published as: Jakubowski, Jacek; Jakubowski, J.; Jakubowski, Jecek
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Publications by Year

Citations contained in zbMATH Open

39 Publications have been cited 167 times in 118 Documents Cited by Year
Stochastic integration for fractional Brownian motion in a Hilbert space. Zbl 1095.60017
Duncan, T. E.; Jakubowski, J.; Pasik-Duncan, B.
25
2006
Study of dependence for some stochastic processes. Zbl 1157.60312
Bielecki, Tomasz R.; Jakubowski, Jacek; Vidozzi, Andrea; Vidozzi, Luca
20
2008
Ito stochastic integral in the dual of a nuclear space. Zbl 0692.60042
Bojdecki, Tomasz; Jakubowski, Jacek
12
1989
Stochastic integration for inhomogeneous Wiener process in the dual of a nuclear space. Zbl 0716.60056
Bojdecki, Tomasz; Jakubowski, Jacek
10
1990
On multiplicative systems of functions. Zbl 0493.42036
Jakubowski, Jacek; Kwapien, Stanislaw
8
1979
On hyperbolic Bessel processes and beyond. Zbl 1284.60150
Jakubowski, Jacek; Wiśniewolski, Maciej
8
2013
A class of \(\mathbb F\)-doubly stochastic Markov chains. Zbl 1231.60048
Jakubowski, Jecek; Niewȩgłowski, Mariusz Andrzej
6
2010
Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae. Zbl 1290.60072
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
6
2013
Study of dependence for some stochastic processes: symbolic Markov copulae. Zbl 1247.60111
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
5
2012
Jump-diffusion processes in random environments. Zbl 1301.60081
Jakubowski, Jacek; Niewęgłowski, Mariusz
5
2014
Another look at the Hartman-Watson distributions. Zbl 1454.60125
Jakubowski, Jacek; Wiśniewolski, Maciej
5
2020
Conditional Markov chains: properties, construction and structured dependence. Zbl 1358.60081
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
4
2017
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model. Zbl 1294.60102
Jakubowski, Jacek; Wiśniewolski, Maciej
4
2013
On incompleteness of bond markets with infinite number of random factors. Zbl 1229.91369
Barski, Michał; Jakubowski, Jacek; Zabczyk, Jerzy
3
2011
The Markov consistency of Archimedean survival processes. Zbl 1343.60111
Jakubowski, J.; Pytel, A.
3
2016
Conditional Markov chains – construction and properties. Zbl 1323.60102
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
3
2015
Invariant measures for generalized Langevin equations in conuclear spaces. Zbl 0997.60067
Bojdecki, Tomasz; Jakubowski, Jacek
3
1999
Semimartingales and shrinkage of filtration. Zbl 1479.60084
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz
3
2021
Volterra integral equations of the first kind and applications to linear diffusions. Zbl 1468.45001
Jakubowski, Jacek; Wiśniewolski, Maciej
3
2020
Structured dependence between stochastic processes. Zbl 1482.60002
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
3
2020
Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains. Zbl 1283.91178
Jakubowski, Jacek; Niewęgłowski, Mariusz
2
2011
Stochastic integral with respect to a generalized Wiener process in a conuclear space. Zbl 0693.60043
Bojdecki, Tomasz; Jakubowski, Jacek
2
1989
The Girsanov theorem and weak solutions of stochastic differential equations in the dual of a nuclear space. Zbl 0743.60008
Bojdecki, Tomasz; Jakubowski, Jacek
2
1991
The Skorohod integral in conuclear spaces. Zbl 0779.60049
Bojdecki, Tomasz; Jakubowski, Jacek
2
1993
Feynman-Kac theorem in random environments and partial integro-differential equations. Zbl 1383.60099
Jakubowski, Jacek; Niewęgłowski, Mariusz
2
2017
On the distribution of verhulst process. Zbl 1321.60162
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2015
Defaultable bonds with an infinite number of Lévy factors. Zbl 1230.91177
Jakubowski, Jacek; Niewégłowski, Mariusz
2
2010
Explicit solutions of Volterra integro-differential convolution equations. Zbl 1473.45005
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2021
Invariance formulas for stopping times of squared Bessel process. Zbl 1401.60143
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2018
Itô’s formula for generalized Wiener processes in conuclear spaces. Zbl 0842.60054
Jakubowski, Jacek
1
1995
Moments and Mellin transform of the asset price in Stein and Stein model and option pricing. Zbl 1391.60205
Jakubowski, Jacek; Michalik, Zofia; Wiśniewolski, Maciej
1
2018
On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model. Zbl 1104.91029
Białkowski, Jędrzej; Jakubowski, Jacek
1
2004
The functional law of the iterated logarithm for weakly multiplicative systems. Zbl 0696.60033
Jakubowski, Jacek
1
1989
Pricing bonds and CDS in the model with rating migration induced by a Cox process. Zbl 1256.91058
Jakubowski, Jacek; Niewęgłowski, Mariusz
1
2008
On matching diffusions, Laplace transforms and partial differential equations. Zbl 1327.60131
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2015
A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation. Zbl 1479.60164
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2021
Construction and simulation of generalized multivariate Hawkes processes. Zbl 1506.60050
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
1
2022
A simple proof of the martingale property in a semi-log-normal stochastic volatility model. Zbl 1411.91638
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2018
On functionals of excursions for Bessel processes with negative index. Zbl 1422.60126
Byczkowski, Tomasz; Jakubowski, Jacek; Wiśniewolski, Maciej
1
2019
Construction and simulation of generalized multivariate Hawkes processes. Zbl 1506.60050
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
1
2022
Semimartingales and shrinkage of filtration. Zbl 1479.60084
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz
3
2021
Explicit solutions of Volterra integro-differential convolution equations. Zbl 1473.45005
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2021
A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation. Zbl 1479.60164
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2021
Another look at the Hartman-Watson distributions. Zbl 1454.60125
Jakubowski, Jacek; Wiśniewolski, Maciej
5
2020
Volterra integral equations of the first kind and applications to linear diffusions. Zbl 1468.45001
Jakubowski, Jacek; Wiśniewolski, Maciej
3
2020
Structured dependence between stochastic processes. Zbl 1482.60002
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
3
2020
On functionals of excursions for Bessel processes with negative index. Zbl 1422.60126
Byczkowski, Tomasz; Jakubowski, Jacek; Wiśniewolski, Maciej
1
2019
Invariance formulas for stopping times of squared Bessel process. Zbl 1401.60143
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2018
Moments and Mellin transform of the asset price in Stein and Stein model and option pricing. Zbl 1391.60205
Jakubowski, Jacek; Michalik, Zofia; Wiśniewolski, Maciej
1
2018
A simple proof of the martingale property in a semi-log-normal stochastic volatility model. Zbl 1411.91638
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2018
Conditional Markov chains: properties, construction and structured dependence. Zbl 1358.60081
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
4
2017
Feynman-Kac theorem in random environments and partial integro-differential equations. Zbl 1383.60099
Jakubowski, Jacek; Niewęgłowski, Mariusz
2
2017
The Markov consistency of Archimedean survival processes. Zbl 1343.60111
Jakubowski, J.; Pytel, A.
3
2016
Conditional Markov chains – construction and properties. Zbl 1323.60102
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
3
2015
On the distribution of verhulst process. Zbl 1321.60162
Jakubowski, Jacek; Wiśniewolski, Maciej
2
2015
On matching diffusions, Laplace transforms and partial differential equations. Zbl 1327.60131
Jakubowski, Jacek; Wiśniewolski, Maciej
1
2015
Jump-diffusion processes in random environments. Zbl 1301.60081
Jakubowski, Jacek; Niewęgłowski, Mariusz
5
2014
On hyperbolic Bessel processes and beyond. Zbl 1284.60150
Jakubowski, Jacek; Wiśniewolski, Maciej
8
2013
Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae. Zbl 1290.60072
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
6
2013
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model. Zbl 1294.60102
Jakubowski, Jacek; Wiśniewolski, Maciej
4
2013
Study of dependence for some stochastic processes: symbolic Markov copulae. Zbl 1247.60111
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz
5
2012
On incompleteness of bond markets with infinite number of random factors. Zbl 1229.91369
Barski, Michał; Jakubowski, Jacek; Zabczyk, Jerzy
3
2011
Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains. Zbl 1283.91178
Jakubowski, Jacek; Niewęgłowski, Mariusz
2
2011
A class of \(\mathbb F\)-doubly stochastic Markov chains. Zbl 1231.60048
Jakubowski, Jecek; Niewȩgłowski, Mariusz Andrzej
6
2010
Defaultable bonds with an infinite number of Lévy factors. Zbl 1230.91177
Jakubowski, Jacek; Niewégłowski, Mariusz
2
2010
Study of dependence for some stochastic processes. Zbl 1157.60312
Bielecki, Tomasz R.; Jakubowski, Jacek; Vidozzi, Andrea; Vidozzi, Luca
20
2008
Pricing bonds and CDS in the model with rating migration induced by a Cox process. Zbl 1256.91058
Jakubowski, Jacek; Niewęgłowski, Mariusz
1
2008
Stochastic integration for fractional Brownian motion in a Hilbert space. Zbl 1095.60017
Duncan, T. E.; Jakubowski, J.; Pasik-Duncan, B.
25
2006
On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model. Zbl 1104.91029
Białkowski, Jędrzej; Jakubowski, Jacek
1
2004
Invariant measures for generalized Langevin equations in conuclear spaces. Zbl 0997.60067
Bojdecki, Tomasz; Jakubowski, Jacek
3
1999
Itô’s formula for generalized Wiener processes in conuclear spaces. Zbl 0842.60054
Jakubowski, Jacek
1
1995
The Skorohod integral in conuclear spaces. Zbl 0779.60049
Bojdecki, Tomasz; Jakubowski, Jacek
2
1993
The Girsanov theorem and weak solutions of stochastic differential equations in the dual of a nuclear space. Zbl 0743.60008
Bojdecki, Tomasz; Jakubowski, Jacek
2
1991
Stochastic integration for inhomogeneous Wiener process in the dual of a nuclear space. Zbl 0716.60056
Bojdecki, Tomasz; Jakubowski, Jacek
10
1990
Ito stochastic integral in the dual of a nuclear space. Zbl 0692.60042
Bojdecki, Tomasz; Jakubowski, Jacek
12
1989
Stochastic integral with respect to a generalized Wiener process in a conuclear space. Zbl 0693.60043
Bojdecki, Tomasz; Jakubowski, Jacek
2
1989
The functional law of the iterated logarithm for weakly multiplicative systems. Zbl 0696.60033
Jakubowski, Jacek
1
1989
On multiplicative systems of functions. Zbl 0493.42036
Jakubowski, Jacek; Kwapien, Stanislaw
8
1979
all top 5

Cited by 147 Authors

23 Jakubowski, Jacek
10 Wiśniewolski, Maciej
9 Bielecki, Tomasz R.
8 Niewȩgłowski, Mariusz Andrzej
7 Bojdecki, Tomasz
6 Duncan, Tyrone E.
5 Gorostiza, Luis G.
4 Biagini, Francesca
4 Fonseca-Mora, Christian A.
4 Pasik-Duncan, Bozenna
3 Astashkin, Sergeĭ Vladimir
3 Huang, Zhiyuan
3 Lü, Xuebin
3 Wang, Guolian
3 Yang, Xiaoyuan
3 Zhang, Yinghan
2 Bueno-Guerrero, Alberto
2 Cialenco, Igor
2 Crepey, Stephane
2 Guo, Boling
2 Hariya, Yuu
2 Jeanblanc, Monique
2 Liang, Xue
2 López-Mimbela, José Alfredo
2 Maslowski, Bohdan
2 Peszat, Szymon
2 Sperlich, Stefan
2 Wan, Jianping
2 Widenmann, Jan Maximilian
2 Xi, Fubao
1 Ahmad, Abd Ghafur Bin
1 Aihara, Shin’ichi
1 Alvarado-Solano, Anddy E.
1 Anh, Vo V.
1 Backhaus, Jochen
1 Bagchi, Arunabha
1 Bakar, Mohd Rizam Abu
1 Barilari, Davide
1 Baudoin, Fabrice
1 Bednorz, Witold Marek
1 Belinsky, Boris P.
1 Belov, Aleksandr S.
1 Bian, Baojun
1 Blower, Gordon
1 Bogus, Kamil
1 Boscain, Ugo
1 Byczkowski, Tomasz
1 Caithamer, Peter
1 Campanino, Massimo
1 Cannarsa, Daniele
1 Cao, Nan
1 Chen, Mo
1 Cheng, Xue
1 Čoupek, Petr
1 Cui, Zhenyu
1 Dai, Wanyang
1 Dawson, Donald Andrew
1 Demni, Nizar
1 Deschatre, Thomas
1 Dong, Yinghui
1 Eberlein, Ernst W.
1 Feng, Shibi
1 Fernández, Begoña Fernández
1 Fokianos, Konstantinos
1 Frey, Rüdiger
1 Fried, Roland
1 Fu, Xianlong
1 Fudziah, I.
1 Fuschini, Serena
1 Gapeev, Pavel V.
1 Grbac, Zorana
1 Grecksch, Wilfried
1 Groll, Andreas
1 Habermann, Karen
1 Hoyle, Edward
1 Hu, Liangjian
1 Huang, Guangdong
1 Ihsan, Atif
1 Issoglio, Elena
1 Iyigunler, Ismail
1 Jamshidi, Nahid
1 Ji, Huijie
1 Jiang, Tingting
1 Kamrani, Minoo
1 Karczewska, Anna
1 Kharin, Yuriĭ Sëmenovich
1 Kumar, Suresh K.
1 Larkin, Evgeniĭ Vasil’evich
1 Li, Jun
1 Li, Ping
1 Liu, Guoxin
1 Liu, Yuying
1 Liu, Zhaoyang
1 łochowski, Rafał Marcin
1 Ma, Xiaocui
1 Majid, Zanariah Abdul
1 Małecki, Jacek
1 Mamon, Rogemar S.
1 Mao, Wei
1 Mao, Xuerong
...and 47 more Authors
all top 5

Cited in 58 Serials

10 Stochastic Processes and their Applications
8 Stochastic Analysis and Applications
6 Journal of Mathematical Analysis and Applications
5 Lithuanian Mathematical Journal
5 Stochastics and Dynamics
4 Applied Mathematics and Computation
4 Applied Mathematics and Optimization
4 Journal of Multivariate Analysis
3 Journal of Theoretical Probability
3 International Journal of Theoretical and Applied Finance
3 Stochastics
2 Mathematical Notes
2 Journal of Applied Probability
2 Journal of Differential Equations
2 Proceedings of the American Mathematical Society
2 Acta Mathematica Hungarica
2 Journal of Integral Equations and Applications
2 Communications in Statistics. Theory and Methods
2 Bernoulli
2 Discrete and Continuous Dynamical Systems
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Frontiers of Mathematics in China
2 Dependence Modeling
1 Studia Mathematica
1 Chaos, Solitons and Fractals
1 Insurance Mathematics & Economics
1 Statistics & Probability Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
1 Journal of Economic Dynamics & Control
1 International Journal of Adaptive Control and Signal Processing
1 The Annals of Applied Probability
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Applied Mathematics. Series B (English Edition)
1 Journal of Mathematical Sciences (New York)
1 NoDEA. Nonlinear Differential Equations and Applications
1 Bulletin des Sciences Mathématiques
1 Integral Transforms and Special Functions
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Izvestiya: Mathematics
1 Finance and Stochastics
1 Journal of Applied Analysis
1 Mathematical Communications
1 Mathematical Finance
1 Infinite Dimensional Analysis, Quantum Probability and Related Topics
1 Communications in Nonlinear Science and Numerical Simulation
1 Methodology and Computing in Applied Probability
1 Quantitative Finance
1 Discrete and Continuous Dynamical Systems. Series B
1 Journal of Systems Science and Complexity
1 Stochastic Models
1 Communications on Pure and Applied Analysis
1 Advances in Difference Equations
1 Chebyshevskiĭ Sbornik
1 Science China. Mathematics
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Results in Applied Mathematics

Citations by Year

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