Salvador Ortiz-Latorre

Publication Activity (10 Years)

Years Active: 2010-2022
Publications (10 Years): 5

Top Topics

Increase In Computational Complexity

Stochastic Process

Noise Reduction

Top Venues

J. Appl. Probab.

SIAM J. Financial Math.

Publications

Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations. CoRR (2022)
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
Pathwise approximations for the solution of the non-linear filtering problem. CoRR (2021)
Fabian A. Harang, Marc Lagunas-Merino, Salvador Ortiz-Latorre
Self-exciting multifractional processes. J. Appl. Probab. 58 (1) (2021)
Dan Crisan, Thomas G. Kurtz, Salvador Ortiz-Latorre
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations. CoRR (2021)
Giulia Di Nunno, Salvador Ortiz-Latorre, Andreas Petersson
SPDE bridges with observation noise and their spatial approximation. CoRR (2021)
Fred Espen Benth, Salvador Ortiz-Latorre
A Pricing Measure to Explain the Risk Premium in Power Markets. SIAM J. Financial Math. 5 (1) (2014)
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
Optimal simulation schemes for Lévy driven stochastic differential equations. Math. Comput. 83 (289) (2014)
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre
Weak Kyle-Back Equilibrium Models for Max and ArgMax. SIAM J. Financial Math. 1 (1) (2010)