Publications
Publications
For more information, please visit the individual pages of our professors:
Anita Behme, Dietmar Ferger, Martin Keller-Ressel und René L. Schilling
and other teaching staff.
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158 Entries
2019
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SEMI-STATIC VARIANCE-OPTIMAL HEDGING IN STOCHASTIC VOLATILITY MODELS WITH FOURIER REPRESENTATION , Sep 2019, In: Journal of Applied Probability. 56, 3, p. 787-809, 23 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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A probabilistic proof of Schoenberg's theorem , 1 Aug 2019, In: Journal of mathematical analysis and applications. 476, 1, p. 13-26, 14 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Exact asymptotic formulas for the heat kernels of space and time-fractional equations , 1 Aug 2019, In: Fractional Calculus and Applied Analysis. 22, 4, p. 968-989, 22 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs , Aug 2019, In: Stochastic processes and their applications. 129, 8, p. 2654-2680, 27 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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On the domain of fractional Laplacians and related generators of Feller processes , 15 Apr 2019, In: Journal of functional analysis. 276, 8, p. 2397-2439, 43 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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BSDEs and Log-Utility Maximization for Lévy-Processes , 2019, In: Modern Stochastics: Theory and Applications. 2019, 6(4), p. 479-494Research output: Contribution to journal > Research article
2018
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Markov Chain Approximation of Pure Jump Processes , 1 Dec 2018, In: Acta applicandae mathematicae. 158, 1, p. 167-206, 40 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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A probabilistic proof of the breakdown of Besov regularity in L-shaped domains , 2018, Stochastic Partial Differential Equations and Related Fields - In Honor of Michael Röckner SPDERF, 2016. Trutnau, G., Eberle, A., Hoh, W., Kassmann, M., Grothaus, M. & Stannat, W. (eds.). Springer Verlag, New York, p. 473-488, 16 p.Electronic (full-text) versionResearch output: Contribution to book/conference proceedings/anthology/report > Conference contribution
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Correction to: ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ , 2018, In: Finance and StochasticsResearch output: Contribution to journal > Research article
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Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. , 2018, In: Modern Stochastics: Theory and ApplicationsResearch output: Contribution to journal > Research article
Preprints
Dresdner Schriften zur Mathematischen Stochastik
(Dresden Publications on Mathematical Stochastics, 1994 - 2021)
Dresdner Schriften zur Versicherungsmathematik
(Dresden Publications on Insurance Mathematics, 1994 - 2016)