Edit Profile (opens in new tab) Jakubowski, Jacek Co-Author Distance Author ID: jakubowski.jacek Published as: Jakubowski, Jacek; Jakubowski, J.; Jakubowski, Jecek more...less External Links: MGP · Wikidata · GND Documents Indexed: 58 Publications since 1979, including 1 Book and 4 Additional arXiv Preprints 1 Contribution as Editor Reviewing Activity: 102 Reviews Co-Authors: 18 Co-Authors with 52 Joint Publications 305 Co-Co-Authors all top 5 Co-Authors 7 single-authored 20 Niewȩgłowski, Mariusz Andrzej 17 Wiśniewolski, Maciej 14 Bielecki, Tomasz R. 8 Bojdecki, Tomasz 2 Duncan, Tyrone E. 2 Pasik-Duncan, Bozenna 1 Barski, Michał 1 Białkowski, Jȩdrzej 1 Byczkowski, Tomasz 1 Jeanblanc, Monique 1 Kwapień, Stanisław 1 Michalik, Zofia 1 Pytel, A. 1 Rásonyi, Miklós 1 Stettner, Łukasz 1 Vidozzi, Andrea 1 Vidozzi, Luca 1 Zabczyk, Jerzy all top 5 Serials 4 Demonstratio Mathematica 4 Stochastic Processes and their Applications 3 Lithuanian Mathematical Journal 3 Stochastic Analysis and Applications 3 Bulletin of the Polish Academy of Sciences, Mathematics 3 Bernoulli 2 Journal of Mathematical Analysis and Applications 2 Studia Mathematica 2 Applied Mathematics and Optimization 2 Journal of Differential Equations 2 Journal of Multivariate Analysis 2 Applicationes Mathematicae 2 Electronic Journal of Probability 1 Journal of Applied Probability 1 Transactions of the American Mathematical Society 1 Acta Mathematica Hungarica 1 The Annals of Applied Probability 1 Bulletin de l’Académie Polonaise des Sciences. Série des Sciences Mathématiques 1 Potential Analysis 1 Boletín de la Sociedad Matemática Mexicana. Third Series 1 Mathematical Finance 1 Methodology and Computing in Applied Probability 1 Stochastic Models 1 Stochastics and Dynamics 1 Communications in Information and Systems 1 Banach Center Publications 1 Encyclopedia of Mathematics and Its Applications all top 5 Fields 55 Probability theory and stochastic processes (60-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Integral equations (45-XX) 2 Partial differential equations (35-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 1 General and overarching topics; collections (00-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Statistics (62-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 25 Fields 101 Probability theory and stochastic processes (60-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Statistics (62-XX) 9 Integral equations (45-XX) 8 Systems theory; control (93-XX) 7 Partial differential equations (35-XX) 5 Functional analysis (46-XX) 4 Ordinary differential equations (34-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Numerical analysis (65-XX) 3 Special functions (33-XX) 3 Operator theory (47-XX) 2 Real functions (26-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Number theory (11-XX) 1 Topological groups, Lie groups (22-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Approximations and expansions (41-XX) 1 Abstract harmonic analysis (43-XX) 1 Differential geometry (53-XX) 1 Quantum theory (81-XX) 1 Biology and other natural sciences (92-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.