Publications

Submitted manuscripts:

• with S. Mentemeier: Limit theorems for stochastic exponentials of matrix-valued Lévy processes. 2024+.
  Preprint: arXiv:2411.14876

Peer-Reviewed (also check Google scholar, ORCID):

• Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. To appear in Finance and Stochastics, 2024+.
  Preprint: arXiv:2407.05866
• with P. Di Tella and A. Sideris: On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes. Stoch. Proc. Appl. 174, 2024.
  https://doi.org/10.1016/j.spa.2024.104382, Preprint: arXiv:2207.11093
• with D. Oechsler: Invariant measures of Lévy-type operators and their associated Markov processes. Electronic Journal of Probability 29, paper no. 59, 1-29, 2024.

  https://doi.org/10.1214/24-EJP1116, Preprint: arXiv:2208.07668

• with P.L. Strietzel On moments of downward passage times for spectrally negative Lévy processes. J. Appl. Prob. 60, 452 - 464 , 2023.
  https://doi.org/10.1017/jpr.2022.70, Preprint: arXiv:2106.00401
• with D. Oechsler and R. Schilling: On q-scale functions of spectrally negative
  Lévy processes. Adv. Appl. Prob. 55, 56-84, 2023.
  https://doi.org/10.1017/apr.2022.10. Preprint: arXiv:2109.09359
• with P.L. Strietzel: Moments of the ruin time in a Lévy risk model. Methodol. Comput. Appl. Probab. 24, 3075-3099, 2022.
  https://doi.org/10.1007/s11009-022-09967-w. Preprint: arXiv:2108.05139
• with A. Sideris: Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. Bernoulli 28, 1309-1339, 2022.
  http://dx.doi.org/10.3150/21-BEJ1389. Preprint: arXiv:2012.10712
• with A. Lindner, J. Reker and V. Rivero: Continuity properties and the support of killed exponential functionals. Stoch. Proc. Appl. 140, 115–146, 2021.
  https://doi.org/10.1016/j.spa.2021.06.002. Preprint: arXiv:1912.03052
• with A. Lindner and J. Reker: On the law of killed exponential functionals. Electronic Journal of Probability 26(60), 1-35, 2021.

  https://doi.org/10.1214/21-EJP616. Preprint: arXiv:2003.02073

• with P.L. Strietzel: A 2 x 2 random switching model and its dual risk model. Queueing Syst. 99, 27–64, 2021.
  https://doi.org/10.1007/s11134-021-09697-9. Preprint: arXiv:2007.03369
• with C. Klüppelberg and G. Reinert: Ruin probabilities for risk processes in a bipartite network, Stochastic Models 36(4), 548-573, 2020.
  https://doi.org/10.1080/15326349.2020.1760109. Preprint: arXiv:1805.12459
• with A. Sideris: Exponential functionals of Markov additive processes,  Electronic Journal of Probability 25(37),  1-25, 2020.
  https://doi.org/10.1214/20-EJP441. Preprint: arXiv:1911.03168
• with A. Schnurr: Laplace symbols and invariant distributions. Stat. Probab. Letters 137, 217-223, 2018.
  Preprint: arXiv:1509.04727
• with L. Bondesson: A class of scale mixtures of gamma(k)-distributions that are generalized gamma convolutions. Bernoulli 23, 773-787, 2017.
  Preprint: arXiv:1507.04017
• with A. Lindner and M. Maejima: On the range of exponential functionals of Lévy processes. Séminaire de Probabilités XLVIII, Lecture Notes in Mathematics 2168, 267-302, 2016.
  Preprint: arXiv:1402.6559
• Exponential functionals of Lévy processes with jumps. ALEA 12, 375-397, 2015.
  Preprint: arXiv:1504.03660
• with A. Schnurr: A criterion for invariant measures of Itô processes based on the symbol. Bernoulli 21(3), 1697-1718, 2015.
  Preprint: arXiv:1310.4333
• with C. Chong and C. Klüppelberg: Superposition of COGARCH processes. Stoch. Proc. Appl. 125, 1426-1469, 2015.
  Preprint: arXiv:1305.2296
• with A. Lindner: On exponential functionals of Lévy processes. JOTP 28, 681-720, 2015.
  Preprint: arXiv:1301.3272
• with C. Klüppelberg and K. Mayr: Asymmetric COGARCH processes. J. Appl. Probab. 51A, 161-173,  2014.
  Preprint: arXiv:1403.7068
• Moments of MGOU processes and positive semidefinite matrix processes. JMVA 111, 183-197, 2012.
• with A. Lindner: Multivariate generalized Ornstein-Uhlenbeck processes. Stoch. Proc. Appl. 122, 1487-1518, 2012.
• with M. Maejima, M. Matsui and N. Sakuma: Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions. Bernoulli 18(4), 1172-1187, 2012. arXiv:1211.5281.
• Distributional properties of solutions of $dV_t=V_{t-}dU_t+dL_t$ with Lévy noise. Adv. Appl. Prob. 43.3, 688-711, 2011.
• with A. Lindner and R. Maller: Stationary solutions of the stochastic differential equation $dV_t=V_{t-}dU_t+dL_t$ with Lévy noise. Stoch. Proc. Appl. 121, 91-108, 2011.

Theses:

• A. Behme (2011) Generalized Ornstein-Uhlenbeck Processes and Extensions. Dissertation, TU Braunschweig.
• A. Behme (2016) Exponential Functionals of Lévy Processes: Properties, Theory and Applications. Habilitation, TU München.

Other manuscripts:

• mit D. Oechsler (2020): On q-scale functions of spectrally negative compound Poisson processes. arXiv:2007.15880

Book review:

• Theory of Stochastic Objects: Probability, Stochastic Processes and Inference, by A. C. Micheas. JASA, 2020. doi.org/10.1080/01621459.2020.1721248