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
2015
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Estimation of rating classes and default probabilities in credit risk models with dependencies , 1 Nov 2015, In: Applied stochastic models in business and industry. 31, 6, p. 762-781, 20 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Asymptotic properties of brownian motion delayed by inverse subordinators , 1 Oct 2015, In: Proceedings of the American Mathematical Society. 143, 10, p. 4485-4501, 17 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes , 30 Jul 2015, In: Stochastic processes and their applications. 125, 10, p. 3851-3878, 28 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Stochastic solutions for fractional wave equations , 1 Jun 2015, In: Nonlinear dynamics. 80, 4, p. 1685-1695, 11 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Reflected spectrally negative stable processes and their governing equations , 20 Apr 2015, In: Transactions of the American Mathematical Society. 368, 1, p. 227-248, 22 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Martingales , 26 Mar 2015, International Encyclopedia of the Social & Behavioral Sciences: Second Edition. Elsevier Inc., p. 630-634, 5 p.Electronic (full-text) versionResearch output: Contribution to book/conference proceedings/anthology/report > Chapter in book/anthology/report
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Lower bounds of the Hausdorff dimension for the images of Feller processes , 1 Feb 2015, In: Statistics and Probability Letters. 97, p. 222-228, 7 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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A criterion for invariant measures of Itô processes based on the symbol , 2015, In: Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability. 21, 3, p. 1697-1718Electronic (full-text) versionResearch output: Contribution to journal > Research article
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A remark on Gatheral's 'most-likely path approximation' of implied volatility , 2015, Large Deviations and Asymptotic Methods in Finance. K. Friz, P., Gatheral, J., Gulisashvili, A., Jacquier, A. & Teichmann, J. (eds.). Springer, Cham, Vol. 110Research output: Contribution to book/conference proceedings/anthology/report > Conference contribution
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Arginf–stets of multivariate cadlag processes and their convergence in hyperspace topologies , 2015, In: Theory of stochastic processes. 20(36), 2, p. 13-41, 28 p.Electronic (full-text) versionResearch 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)