Publications

2021

• On the locations of maxima and minima in a sequence of exchangeable random variablesFerger, D., 2021, In: Theory of probability and mathematical statistics . 105, p. 35-50, 16 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article

2020

• Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operatorsKaleta, K. & Schilling, R. L., 1 Oct 2020, In: Journal of functional analysis. 279, 6, 108606Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Lévy driven CARMA generalized processes and stochastic partial differential equationsBerger, D., Oct 2020, In: Stochastic processes and their applications. 130, 10, p. 5865-5887, 23 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Forward invariance and Wong-Zakai approximation for stochastic moving boundary problemsKeller-Ressel, M. & Mueller, M. S., Sep 2020, In: Journal of evolution equations. 20, 3, p. 869-929, 61 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• A comparison principle between rough and non-rough Heston models-with applications to the volatility surfaceKeller-Ressel, M. & Majid, A., 2 Jun 2020, In: Quantitative finance. 20, 6, p. 919-933, 15 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Semistatic and sparse variance-optimal hedgingDi Tella, P., Haubold, M. & Keller-Ressel, M., Apr 2020, In: Mathematical finance. 30, 2, p. 403-425, 23 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Hydra - a method for strain-minimizing hyperbolic embedding of network- and distance-based dataKeller-Ressel, M. & Nargang, S., Feb 2020, In: Journal of complex networks. 8, 1, 18 p., 002Electronic (full-text) versionResearch output: Contribution to journal > Research article
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximizationDi Tella, P., Feb 2020, In: Stochastic Processes and their Applications. 2020, 130(2), p. 760-784Research output: Contribution to journal > Research article
• A unified approach to coupling SDEs driven by Lévy noise and some applicationsLiang, M., Schilling, R. L. & Wang, J., 2020, In: Bernoulli. 26, 1, p. 664-693, 30 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Exponential functionals of Markov additive processesBehme, A. D. & Sideris, A., 2020, In: Electronic Journal of Probability. 25, 37, p. 1-25Research output: Contribution to journal > Research article