Hostages.
An article about how AI impacts in mathematical work.
La casa tomada.
Un artículo sobre cómo la IA impacta en el trabajo de los matemáticos.
Articles
[69] Ernesto Mordecki, Facundo Oliú. Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games. Accepted in Applied Mathematics and Optimization (August 2026)
[68] Laura Aspirot, Ernesto Mordecki, Andrés Sosa. Dynkin games for Lévy processes. SIAM Journal on Control and Optimization. 64(4), 2715–2736. (2026)
[66] Guillermo Magnou, Ernesto Mordecki and Andrés Sosa. A Note on Pricing Options on Interest Rates in Uruguay. Revista Brasileira de Economia. 2024, vol. 78, e192024.
[65] Christensen, S., Mordecki, E. and Oliú, F. Two sided ergodic singular control and mean-field game for diffusions. Decisions in Economics and Finance (2024). https://doi.org/10.1007/s10203-024-00464
[64] Jukka Lempa, Ernesto Mordecki, Paavo Salminen. Diffusion spiders: Green kernel, excessive functions and optimal stopping. Stochastic Processes and their Applications 167 (2024) 104229 http://dx.doi.org/10.1016/j.spa.2023.104229
[63] Minimum description length for selection of models of musical rhythm. Verónica Rumbo, Ernesto Mordecki, and Martín Rocamora. Journal of Mathematics and Music, 17(3), 433–45 (2023). https://doi.org/10.1080/17459737.2023.2213471
[62] On the finiteness of the moments of the measure of level sets of random fields. D. Armentano, J-M. Azaïs, F. Dalmao, J. R. León, E. Mordecki. Brazilian Journal of Probability and Statistics 2023, Vol. 37, No. 1, 219–245. https://doi.org/10.1214/23-BJPS568
[61] An algorithm to solve optimal stopping problems for one-dimensional diffusions. Fabián Crocce, Ernesto Mordecki. ALEA, Lat. Am. J. Probab. Math. Stat. 19, 1353-1375 (2022) DOI: 10.30757/ALEA.v19-54
[60] Illanes G, Fariello MI, Spangenberg L, Mordecki E, Naya H (2022) Testing the existence of an unadmixed ancestor from a specific population t generations ago. PLoS ONE 17(8): e0271097. https://doi.org/10.1371/journal.pone.0271097
[59] Marcelo Fiori, Gonzalo Bello, Nicolás Wschebor, Federico Lecumberry, Andrés Ferragut, Ernesto Mordecki. Decoupling between SARS-CoV-2 transmissibility and population mobility associated with increasing immunity from vaccination and infection in South America. Sci Rep - Nature, 12, 6874 (2022). https://doi.org/10.1038/s41598-022-10896-4
[58] On the impact of the Covid-19 health crisis on GDP forecasting: an empirical approach. Gabriel Illanes, Andrés Sosa, Ernesto Mordecki. Journal of Dynamics and Games, 2022-4-2. doi: 10.3934/jdg.2022008.
[57] Large Deviation Principle for the Greedy Exploration Algorithm over Erdös-Rényi Graphs. P. Bermolen, V. Goicoechea, M. Jonckheere and E.Mordecki ALEA, Lat. Am. J. Probab. Math. Stat. 19, 439–456 (2022) DOI: 10.30757/ALEA.v19-16
[56] A zero interest rate Black-Derman-Toy model. Grzegorz Krzyżanowski, Ernesto Mordecki, Andrés Sosa. The Journal of Fixed Income Winter 2022, 31 (3) 93-111; DOI: https://doi.org/10.3905/jfi.2021.1.122
[55] Mordecki, E., Oliú Eguren, F. Two-sided optimal stopping for Lévy processes, Electronic Communications in Probability, Volumne 26, 1 – 12 (2021) https://doi.org/10.1214/21-ECP376
[54] Alejandro Cholaquidis, Ricardo Fraiman, Ernesto Mordecki, and Cecilia Papalardo. Level sets and drift estimation for reflected Brownian motion with drift. Statistica Sinica 31 (2021), 29-51. https://doi.org/10.5705/ss.202018.0211
[53] Ernesto Mordecki, Andrés Sosa Rodríguez. Country risk index for emerging economies: A dynamical proposal with a case study. Brazilian Review of Econometrics vol. 40, n. 2, pp. 285-302. November 2020. https://doi.org/10.12660/bre.v40n22020.80944
[52] QoS provision in a dynamic channel allocation based on admission control decisions. Claudina Rattaro, Laura Aspirot, Ernesto Mordecki, Pablo Belzarena. ACM Transactions on Modeling and Performance Evaluation of Computing Systems (ToMPECS), Vol. 1, No. 1, Article 1. Publication date: January 2019. https://doi.org/10.1145/3372786
[51] Ernesto Mordecki and Paavo Salminen. Optimal stopping of oscillating Brownian motion. Electronic Communications in Probability. Volume 24(1) (2019), pp. 1–12.
[50] Ernesto Mordecki and Paavo Salminen. Optimal stopping of Brownian motion with broken drift. High Frequency, 2(2), Special Issue in memory of Larry Shepp, part 1 (2019) pp. 113–120.
[49] Lejay, Antoine; Mordecki, Ernesto; Torres, Soledad; Two consistent estimators for the skew Brownian motion. ESAIM Probab. Stat. 23 (2019), 567–583. https://doi.org/10.1051/ps/2018018
[48] A non-iterative algorithm for generalized Pig games. Fabián Crocce, Ernesto Mordecki. Journal of Dynamics and Games October 2018, 5(4): 331-341. doi: 10.3934/jdg.2018020.
[47] On optimal stopping of multidimensional diffusions. Sören Christensen, Fabián Crocce, Ernesto Mordecki, Paavo Salminen. Stochastic Processes and their Applications 129 (2019) 2561–2581. DOI information: 10.1016/j.spa.2018.07.014
[46] Asymptotic normality of high level-large time crossings of a Gaussian process. Federico Dalmao, José Rafael León, Stéphane Mourareau, Ernesto Mordecki. Stochastic Processes and their Applications 129 (2019) 1349–1370. https://doi.org/10.1016/j.spa.2018.05.003
[45] Skewed Lévy Models and Implied Volatility Skew. Federico De Olivera, José Fajardo, Ernesto Mordecki. Int. Journal of Theoretical and Applied Finance. Vol. 21, No. 1 (2018) 1850003 (16 pages). DOI: 10.1142/S0219024918500036
[44] Guillermo Magnou, Ernesto Mordecki, Andrés Sosa. Pricing bond options in emerging markets: a case study. Journal of Dynamics and Games (JDG). pp 21–30, Volume 5, Issue 1, January (2018) doi:10.3934/jdg.2018003
[43] E. Mordecki, Yu. Mishura. Optimal stopping for Lévy processes with one-sided solutions. SIAM Journal on Control and Optimization. Vol. 54, No. 5, pp. 2553–2567 (2016).
[42] Ernesto Mordecki, Andrés Sosa. Modeling the Uruguayan debt through gaussians models. In: Trends in Mathematical Economics. Springer Proceedings of Mathematics and Statistics Series, pp. 331–346, (2016).
[41] Federico De Olivera, Ernesto Mordecki. Computing Greeks for Lévy Models: The Fourier Transform Approach. In: Trends in Mathematical Economics. Springer Proceedings of Mathematics and Statistics Series, pp. 99-122, (2016)
[40] F. Crocce, E. Mordecki (2016) A finite exact algorithm to solve a dice game. Journal of Applied Probability Volume 53, Number 1 (2016), 91–105.
[39] E. Canale, F. Dalmao, E. Mordecki, M. O. Souza. Robustness of Cucker-Smale flocking model. IET Control Theory & Applications (2015) Vol. 9, Iss. 3, pp. 346–350 (DOI: 10.1049/iet-cta.2014.0496)
[38] F. Dalmao, E. Mordecki. Rice Formula for processes with jumps and applications. Extremes (2015) Vol. 18, Issue 1, pp. 15–35 (DOI 0.1007/s10687-014-0200-2)
[37] F. Crocce, E. Mordecki (2014) Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions. Stochastics An International Journal of Probability and Stochastic Processes (formerly Stochastics and Stochastics Reports) Volume 86, Issue 3, 491–509. (dx.doi.org/10.1080/17442508.2013.837467)
[36] Fajardo, J.; Mordecki, E. (2014) Skewness premium with Lévy processes. Quantitative Finance, Volume 14, Number 9, September 2014, pp. 1619-1626
[35] A. Lejay, E. Mordecki and S. Torres (2014) Is a Brownian Motion Skew? Scandinavian Journal of Statistics (online 4 OCT 2013, DOI: 10.1111/sjos.12033) Volume 41, Issue 2, pages 346-364, June 2014
[34] E. Mordecki, A. Pena, A. Sosa (2013) Caracterization and estimation of exchange credit risk in partially-dollarized economies. Revista de Economía. Banco Central del Uruguay. Noviembre de 2013. Vol. 20, No. 2. pp. 61-91.
[33] L. Aspirot, E. Mordecki, G. Rubino (2013). Fluid Limit for the Machine Repairman Model with Phase-Type Distributions. In: Proc. “Quantitative Evaluation of Systems”, Lecture Notes in Computer Science Volume 8054, pp 139-154.
[32] E. Mordecki, A. Pena, A. Sosa (2013). Exchange Credit Risk: Measurement and Implications on the stability of partially dollarized financial systems. Risk Governance and Control: Financial Markets and Institutions. Volume 3, 58–72.
[31] F. Dalmao, E. Mordecki. (2012) Hierarchical Cucker-Smale model subject to random failure, IEEE Transactions in Automatic Control, 57(7): 1789-1793 (2012)
[30] Aspirot, L.; Mordecki, E.; Rubino, G. Fluid Limits Applied to Peer to Peer Network Analysis. Proceedings: Quantitative Evaluation of Systems (VIII QEST). pp. 13–20, IEEE Computer Society, Aachen (2011).
[29] Dalmao, F.; Mordecki, E. Cucker-Smale Flocking Under Hierarchical Leadership and Random Interactions. SIAM Journal on Applied Mathematics, v.: 71 4, p.: 1307 - 1316, (2011)
[28] Fajardo, J. and Mordecki, E. Market symmetry in time-changed Brownian models. Finance Research Letters Vol. 7, Issue 1, 53–59 (2010).
[27] Fajardo, J. and Mordecki, E. Duality and Symmetry with Time-Changed Lévy processes. Brazilian Review of Econometrics, Vol. 28, Nr. 1, (2008), 95–110.
[26] Lewis, A., Mordecki, E. Wiener-Hopf factorization for Lévy processes with negative jumps with rational transforms. Journal of Applied Probability, Vol 45, Nr. 1. (2008), 118–134.
[25] Mordecki, E., Szepessy, A., Tempone, R., and Zouraris, G. E. Adaptive Weak Approximation of Diffusions with Jumps. SIAM Journal on Numerical Analysis46, Issue 4, (2008) 1732–1768.
[24] Cucker, F. and Mordecki, E. Flocking in noisy environments. Journal de Mathématiques Pures et Appliquées89, Issue 3 (2008), 278–296.
[23] Mordecki, E. and Salminen, P. Optimal stopping of Hunt and Lévy processes Stochastics, (2007) 79, Issue 3-4, 233–251.
[22] Fajardo, J. and Mordecki, E. Symmetry and Duality in Lévy Markets Quantitative Finance, (2006) 6, No. 3, 219–227.
[21] Mordecki E. and Wschebor M. Smoothing the paths and weak approximation of the occupation measure of Lévy processes. Publicaciones Matemáticas del Uruguay. (2006) 11, 23–40.
[20] Fajardo, J. and Mordecki, E. Pricing Derivatives on Two-Dimensional Lévy Processes. International Journal of Theoretical and Applied Finance, (2006) 9, No. 2 185-197
[19] Fajardo, J. and Mordecki, E. A note on Pricing, Duality and Symmetry for Two Dimensional Lévy Processes. From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. Eds: Yu. Kabanov, R. Liptser, J. Stoyanov, 249–256. Springer (2006).
[18] Mordecki E, Wschebor M. Approximation of the occupation measure of Lévy processes. C. R. Acad. Sci., Paris, (2005) 340 Série I: 605–610.
[17] Severov D.N., Mordecki E., Pshennikov V.A. SST anomaly variability in Southwestern Atlantic and El Niño/Southern oscillation Advances in Space Research, (2004) 33, 343–347.
[16] Mordecki, E. Ruin probabilities for a Lévy process with mixed exponential negative jumps. Theory of Probability and its Applications, (2003) 48, 188–194.
[15] E. Mordecki. The distribution of the maximum of a Lévy processes with positive jumps of phase-type. Theory of Stochastic Processes, (2002) 8(24), N3-4, 309–316.
[14] Mordecki, E. Optimal stopping and perpetual options for Lévy processes. Finance and Stochastics, (2002) VI, issue 4, 473–493
[13] Mordecki, E. Perpetual options for Lévy processes in the Bachelier model. Proceedings of the Steklov Mathematical Institute, (2002) 237, 256–264
[12] Gushchin A.A., Mordecki E. Bounds of option prices and statistical experiments for semimartingales. Proceedings of the Steklov Mathematical Institute, (2002) 237, 80–122.
[11] Mordecki, E. Moreira, W. Russian options for a diffusion with negative jumps. Publicaciones Matemáticas del Uruguay, (2001) 9, 37–52.
[10] Kramkov, D.O., Mordecki E. Optimal stopping and Maximal Inequalities for Poisson Processes. Publicaciones Matemáticas del Uruguay, (1999) 8, 153–178.
[9] Mordecki E. Optimal Stopping for a Diffusion with Jumps. Finance and Stochastics (1999) 3, 227–238.
[8] Mordecki E. Necessary conditions for stable convergence of semimartingales. Theory of Probability and Its Applications (1999) 44(1), 229–232.
[7] Mordecki E. Ruin Probabilities and Optimal Stopping for a Diffusion with Jumps. Proceedings of the Fourth Congress “Dr A. Monteiro”. (Bahia Blanca, 1997), Univ. Nac. del Sur, Bahia Blanca, Argentina, 39–48.
[6] Mordecki E. Optimal Stopping Rules for Compound Poisson Processes with Exponential Jumps. Publicaciones Matemáticas del Uruguay, (1997) 7, 55–66.
[5] Mordecki E. Strong convergence of statistical experiments and Hellinger Processes. Frontiers in Pure and Applied Probability II (Proceedings of the 4th Finish-Russian Symposium on Probability and Mathematical Statistics). Ed. by A.N. Shiryaev et al, Moscow, TVP Science Publishers (1996), 139–152.
[4] Kramkov D.O. and Mordecki E. Integral Option. Theory of Probability and Its Applications, (1994) 39(1), 201–210.
[3] Mordecki E. Asymptotic mixed normality and Hellinger Processes. Stochastics and Stochastic Reports, (1994) 48(3-4), 129–143.
[2] Mordecki E. Necessary Conditions for Stable Convergence of Semimartingales. Russian Math. Surveys, (1993) 48, 193–194.
[1] Mordecki E. Convergence of Binary Statistical Experiments and Hellinger Processes. Russian Math. Surveys, (1992) 47, 223–224.
Modelos estocásticos en finanzas
Cursillo dictado en las Primer Jornada Internacional de Probabilidad y Estadística
3 al 5 de febrero de 2010, Lima, Perú.
