Book:

•            Large Deviation for Stochastic Processes (Jin Feng and Thomas G. Kurtz), (2006) AMS (American Mathematical Society) "Mathematical Surveys and Monographs 131".   Errata will be maintained here. 

Recent articles:

• Short maturity asymptotics for a fast mean reverting Heston stochastic volatility model (with Martin Forde and Jean-Pierre Fouque),  To appear, SIAM Journal on Financial Mathematics.
• A Comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions (with Markos Katsoulakis), Archive for Rational Mechanic and Analysis, vol 192, page 275-310, (2009)
  
• Stochastic scalar conservation laws (with David Nualart), Journal of Functional Analysis, vol 255., page 313-373, (2008).