I read my PhD in 1985 on the topic of Martingales with multidimensional parameter; my advisor was prof. David Nualart (now at Kansas University). I was associate professor at Universitat of Barcelona (1986-1993) and from 1993 I am professor at the Department of Mathematics of the Universitat Autonoma de Barcelona. Besides the topic of multidimentsional processes, I worked in Asymptotic statistics, Survival Analysis, Malliavin Calculus, Lévy processes, Mathematical Finance and Extreme value theory. I also colaborated with a applied scientists (mainly researchers in Biological sicences) in very applied problems.
- Lévy processes
- Malliavin Calculus
- Complex analysis methods in Probability Theory
- Gasull, Armengol, Jolis, Maria, Utzet, Frederic. On the norming constants for normal maxima. Math. Anal. Appl. 422 (2015), no. 1, 376–396.
- del Baño Rollin, Sebastian, Ferreiro-Castilla, Albert, Utzet, Frederic. On the density of log-spot in the Heston volatility model. Stochastic Process. Appl. 120 (2010), 2037-2063.
- Farré, Mercè, Jolis, Maria, Utzet, Frederic. Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes. Ann. Probab. 38 (2010), 2136-2169.
- Peccati, G., Solé, J. L., Taqqu, M. S., Utzet, F. Stein’s method and normal approximation of Poisson functionals. Ann. Probab. 38 (2010), , 443-478.
- Solé, Josep Lluís, Utzet, Frederic. On the orthogonal polynomials associated with a Lévy process. Ann. Probab. 36 (2008) 765-795.