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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161 Entries
2015
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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
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Correlation structure of time-changed levy processes , 2015, In: Communications in applied and industrial mathematics : CAIM. 6, 1, e-483Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Exponential Moments of Affine Processes , 2015, In: Annals of Applied Probability. 2Research output: Contribution to journal > Research article
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On level and collision sets of some Feller processes , 2015, In: Alea : Latin American journal of probability and mathematical statistics. 2015, 12, p. 1001-1029, 29 p.Research output: Contribution to journal > Research article
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On the Predictable Representation Property of Martingales Associated with Lévy Processes , 2015, In: Stochastics : an international journal of probability and stochastic processes. p. 170-184Research output: Contribution to journal > Research article
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Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise , 2015, In: SIAM ASA journal on uncertainty quantification. 3, 1, p. 1159-1199, 41 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
2014
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Lower bounded semi-Dirichlet forms associated with Lévy type operators , 27 Nov 2014, Festschrift Masatoshi Fukushima: In Honor Of Masatoshi Fukushima’s Sanju. World Scientific Publishing Co. Pte Ltd, p. 507-526, 20 p.Electronic (full-text) versionResearch output: Contribution to book/conference proceedings/anthology/report > Chapter in book/anthology/report
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On the small-time behaviour of Lévy-type processes , Jun 2014, In: Stochastic processes and their applications. 124, 6, p. 2249-2265, 17 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Validity of covariance models for the analysis of geographical variation , Apr 2014, In: Methods in Ecology and Evolution. 5, 4, p. 329-335, 7 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)