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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175 Entries
2020
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Moments and Multiplication Formulas for Iterated Stochastic Integrals (generated by Lévy Processes), 2020, In: Stochastics : an international journal of probability and stochastic processes. p. 969-1004Research output: Contribution to journal > Research article
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Ruin probabilities for risk processes in a bipartite network, 2020, In: Stochastic models : affiliated publication of the Institute for Operations Research and the Management Sciences. 36, p. 548-573Research output: Contribution to journal > Research article
2019
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AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY, Dec 2019, In: Annals of Applied Probability. 29, 6, p. 3387-3437, 51 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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DISTANCE MULTIVARIANCE - NEW DEPENDENCE MEASURES FOR RANDOM VECTORS, Oct 2019, In: Annals of statistics. 47, 5, p. 2757-2789, 33 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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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
This information is provided by the FIS.
Preprints
Dresdner Schriften zur Mathematischen Stochastik
(Dresden Publications on Mathematical Stochastics, 1994 - 2021)
Dresdner Schriften zur Versicherungsmathematik
(Dresden Publications on Insurance Mathematics, 1994 - 2016)