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Fakultät für Mathematik
Anschrift
Thea-Leymann-Str. 9
45127 Essen
45127 Essen
Raum
WSC-W-3.30
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Funktionen
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Universitätsprofessor/in, Stochastik, Versicherungsmathematik
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Professor/in, Personal FB Mathematik, Campus Essen
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Gruppe der Professorinnen und Professoren, Fakultätsrat
Aktuelle Veranstaltungen
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2023 SS
Vergangene Veranstaltungen (max. 10)
Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.
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Numerical modeling of the task of support tension near cleaningIn: Kompleksnoe Ispolzovanie Mineralnogo Syrâ Jg. 1 (2023) Nr. 324, S. 83 - 88ISSN: 2224-5243; 2616-6445; 0202-1382Online Volltext: dx.doi.org/ (Open Access)
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Semiparametric estimation of McKean–Vlasov SDEsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 59 (2023) Nr. 1, S. 79 - 96ISSN: 0246-0203; 1778-7017; 0020-2347Online Volltext: dx.doi.org/ (Open Access)
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Weak solutions to gamma-driven stochastic differential equationsIn: Indagationes Mathematicae (2023) in pressISSN: 0019-3577; 1872-6100Online Volltext: dx.doi.org/ (Open Access)
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A versatile deep-neural-network-based music preprocessing and remixing scheme for cochlear implant listenersIn: Journal of the Acoustical Society of America (JASA) Jg. 151 (2022) Nr. 5, S. 2975 - 2986ISSN: 1520-8524; 0001-4966Online Volltext: dx.doi.org/
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Empirical variance minimization with applications in variance reduction and optimal controlIn: Bernoulli Jg. 28 (2022) Nr. 2, S. 1382 - 1407ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access)
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Investigation of the Stress State of Mine Workings Using Methods of Deformable Solid MechanicsIn: Eurasian Physical Technical Journal Jg. 19 (2022) Nr. 4, S. 67 - 72ISSN: 2413-2179; 1811-1165Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equationsIn: Bernoulli Jg. 28 (2022) Nr. 4, S. 2151 - 2180ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access)
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Reinforced optimal controlIn: Communications in Mathematical Sciences Jg. 20 (2022) Nr. 7, S. 1951 - 1978ISSN: 1945-0796; 1539-6746Online Volltext: dx.doi.org/ (Open Access)
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Solving Optimal Stopping Problems via Randomization and Empirical Dual OptimizationIn: Mathematics of Operations Research (2022) in pressISSN: 0364-765X; 1526-5471Online Volltext: dx.doi.org/
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Solving optimal stopping problems under model uncertainty via empirical dual optimisationIn: Finance and Stochastics Jg. 26 (2022) Nr. 3, S. 461 - 503ISSN: 0949-2984; 1432-1122Online Volltext: dx.doi.org/ (Open Access)
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Variance reduction for additive functionals of Markov chains via martingale representationsIn: Statistics and Computing Jg. 32 (2022) Nr. 1,ISSN: 1573-1375; 0960-3174Online Volltext: dx.doi.org/ (Open Access)
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Bayesian TVP-VARX models with time invariant long-run multipliersIn: Economic Modelling Jg. 101 (2021)ISSN: 0264-9993; 1873-6122Online Volltext: dx.doi.org/
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Density deconvolution under general assumptions on the distribution of measurement errorsIn: Annals of Statistics Jg. 49 (2021) Nr. 2, S. 615 - 649ISSN: 2168-8966; 0090-5364Online Volltext: dx.doi.org/ (Open Access)
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Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicityIn: Mathematics and Computers in Simulation Jg. 181 (2021) S. 351 - 363ISSN: 0378-4754; 1872-7166Online Volltext: dx.doi.org/ (Open Access)
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Randomized optimal stopping algorithms and their convergence analysisIn: SIAM Journal on Financial Mathematics Jg. 12 (2021) Nr. 3, S. 1201 - 1225ISSN: 1945-497XOnline Volltext: dx.doi.org/ (Open Access)
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Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMCIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) / Society for Industrial and Applied Mathematics (SIAM) (Hrsg.) Jg. 9 (2021) Nr. 2, S. 507 - 535ISSN: 2166-2525Online Volltext: dx.doi.org/ (Open Access)
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Finite difference method implementation for numericalintegration hydrodynamic equations meltsIn: Eurasian Physical Technical Journal Jg. 17 (2020) Nr. 1, S. 145 - 150ISSN: 2413-2179; 1811-1165Online Volltext: dx.doi.org/ (Open Access)
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Nonparametric density estimation from observations with multiplicative measurement errorsIn: Annales de l'Institut Henri Poincaré: recueil de conférences et mémoires de calcul des probabilités et physique théorique Jg. 56 (2020) Nr. 1, S. 36 - 37ISSN: 0246-0203; 1778-7017; 0020-2347Online Volltext: dx.doi.org/ (Open Access)
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Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle SystemsIn: SIAM Journal on Control and Optimization Jg. 58 (2020) Nr. 1, S. 529 - 550ISSN: 0363-0129; 1095-7138Online Volltext: dx.doi.org/ (Open Access)
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Optimal stopping via reinforced regressionIn: Communications in Mathematical Sciences Jg. 18 (2020) Nr. 1, S. 109 - 121ISSN: 1945-0796; 1539-6746Online Volltext: dx.doi.org/ (Open Access)
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Semitractability of optimal stopping problems via a weighted stochastic mesh algorithmIn: Mathematical Finance Jg. 30 (2020) Nr. 4, S. 1591 - 1616ISSN: 1467-9965; 0960-1627Online Volltext: dx.doi.org/ (Open Access)
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Solving linear parabolic rough partial differential equationsIn: Journal of Mathematical Analysis and Applications Jg. 490 (2020) Nr. 1, S. 124236ISSN: 1096-0813; 0022-247XOnline Volltext: dx.doi.org/ (Open Access)
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Variance reduction for Markov chains with application to MCMCIn: Statistics and Computing Jg. 30 (2020) Nr. 4, S. 973 - 997ISSN: 1573-1375; 0960-3174Online Volltext: dx.doi.org/ (Open Access)
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Entscheidungen mathematisch treffen : Approximative Dynamische Programmierung mit Tiefen Neuronalen NetzwerkenIn: Unikate: Berichte aus Forschung und Lehre (2019) Nr. 53: Mathematik - Herausforderung des Nichtlinearen, S. 73 - 78ISBN: 978-3-934359-53-6 ISSN: 0944-6060; 1869-3881Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Functions of atoms radial distribution and pair potential of some semiconductors meltsIn: The Bulletin of the National Academy of Sciences of the Republic of Kazakhstan (2019) Nr. 4, S. 6 - 14ISSN: 1991-3494Online Volltext: dx.doi.org/
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Fundamental characteristics of reliability in technological processes in ferrous metal industryIn: The Bulletin Jg. 2 (2019) Nr. 378, S. 120 - 127ISSN: 0002-3213; 1991-3494Online Volltext: dx.doi.org/
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Low-frequency estimation of continuous-time moving average Lévy processesIn: Bernoulli Jg. 25 (2019) Nr. 2, S. 902 - 931ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access)
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Minimax theorems for American options without time-consistencyIn: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238ISSN: 0949-2984; 1432-1122Online Volltext: dx.doi.org/
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Nonparametric Bayesian inference for Gamma-type Lévy subordinatorsIn: Communications in Mathematical Sciences Jg. 17 (2019) Nr. 3, S. 781 - 816ISSN: 1945-0796; 1539-6746Online Volltext: dx.doi.org/ (Open Access)
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Optimal Stopping via Pathwise Dual Empirical MaximisationIn: Applied Mathematics and Optimization Jg. 79 (2019) Nr. 3, S. 715 - 741ISSN: 1432-0606; 0095-4616Online Volltext: dx.doi.org/
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Sobolev-Hermite versus Sobolev nonparametric density estimation on RIn: Annals of the Institute of Statistical Mathematics Jg. 71 (2019) Nr. 1, S. 29 - 62ISSN: 1572-9052; 0020-3157Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Sparse covariance matrix estimation in high-dimensional deconvolutionIn: Bernoulli Jg. 25 (2019) Nr. 3, S. 1901 - 1938ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access)
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Statistical inference for moving-average Lévy-driven processes : Fourier-based approachIn: Statistica Neerlandica Jg. 73 (2019) Nr. 1, S. 100 - 117ISSN: 1467-9574; 0039-0402Online Volltext: dx.doi.org/ (Open Access)
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Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processesIn: Annales de l'institut Henri Poincare (B) Probability and Statistics Jg. 54 (2018) Nr. 3, S. 1583 - 1621ISSN: 0246-0203Online Volltext: dx.doi.org/ (Open Access)
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Projected particle methods for solving McKean-Vlasov stochastic differential equationsIn: SIAM Journal on Numerical Analysis Jg. 56 (2018) Nr. 6, S. 3169 - 3195ISSN: 0036-1429; 1095-7170Online Volltext: dx.doi.org/ (Open Access)
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Recurrent relations for correlation functionsIn: Bulletin of the Karaganda University: Physics series (2018) Nr. 1 (89), S. 8 - 15ISSN: 2518-7198; 2663-5089
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Regression-based complexity reduction of the nested monte carlo methodsIn: SIAM Journal on Financial Mathematics Jg. 9 (2018) Nr. 2, S. 665 - 689ISSN: 1945-497XOnline Volltext: dx.doi.org/ (Open Access)
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Semiparametric estimation in the normal variance-mean mixture modelIn: Statistics: A Journal of Theoretical and Applied Statistics Jg. 52 (2018) Nr. 3, S. 571 - 589ISSN: 1029-4910; 0233-1888Online Volltext: dx.doi.org/ (Open Access)
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Stratified regression-based variance reduction approach for weak approximation schemesIn: Mathematics and Computers in Simulation Jg. 143 (2018) S. 125 - 137ISSN: 0378-4754; 1872-7166Online Volltext: dx.doi.org/ (Open Access)
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Variance Reduction in Monte Carlo Estimators via Empirical Variance MinimizationIn: Doklady Mathematics Jg. 98 (2018) Nr. 2, S. 494 - 497ISSN: 1064-5624; 1531-8362Online Volltext: dx.doi.org/
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Variance reduction for discretised diffusions via regressionIn: Journal of mathematical analysis and applications Jg. 458 (2018) Nr. 1, S. 393 - 418ISSN: 0022-247XOnline Volltext: dx.doi.org/ (Open Access)
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Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”In: The Annals of Applied Probability Jg. 27 (2017) Nr. 2, S. 1289 - 1293ISSN: 1050-5164Online Volltext: dx.doi.org/ (Open Access)
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Correction to: Nonparametric Laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 11 (2017) Nr. 2, S. 4845 - 4850ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access)
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Generalized Post–Widder inversion formula with application to statisticsIn: Journal of Mathematical Analysis and Applications Jg. 455 (2017) Nr. 1, S. 89 - 104ISSN: 1096-0813; 0022-247XOnline Volltext: dx.doi.org/ (Open Access)
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Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEsIn: Bernoulli Jg. 23 (2017) Nr. 2, S. 927 - 950ISSN: 1350-7265Online Volltext: dx.doi.org/
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Optimal stopping under probability distortionsIn: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833ISSN: 0364-765X; 1526-5471Online Volltext: dx.doi.org/
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SIEVE ESTIMATION of the MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY with APPLICATION to PRICING KERNEL ESTIMATIONIn: International Journal of Theoretical and Applied Finance Jg. 20 (2017) Nr. 6, S. 1750041ISSN: 0219-0249Online Volltext: dx.doi.org/
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Truncated control variates for weak approximation schemesIn: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42ISSN: 2267-3059; 1270-900XOnline Volltext: dx.doi.org/ (Open Access)
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Nonparametric laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 10 (2016) Nr. 2, S. 3114 - 3152ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access)
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Optimal stopping under model uncertainty : Randomized stopping times approachIn: The annals of applied probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295ISSN: 1050-5164Online Volltext: dx.doi.org/ (Open Access)
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Optimal stopping under probability distortions and law invariant coherent risk measuresIn: De.arxiv.org Jg. 2016 (2016) S. 1506.04439
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Statistical inference for time-changed Lévy processes via Mellin transform approachIn: Stochastic processes and their applications Jg. 126 (2016) Nr. 7, S. 2092 - 2122Online Volltext: dx.doi.org/
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Addendum to: Multilevel dual approach for pricing American style derivativesIn: Finance and stochastics Jg. 19 (2015) Nr. 3, S. 681 - 684ISSN: 0949-2984Online Volltext: dx.doi.org/
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Multilevel simulation based policy iteration for optimal stopping-convergence and complexityIn: SIAM-ASA Journal on Uncertainty Quantification Jg. 3 (2015) Nr. 1, S. 460 - 483ISSN: 2166-2525Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Pricing Bermudan options via multilevel approximation methodsIn: SIAM Journal on Financial Mathematics Jg. 6 (2015) Nr. 1, S. 448 - 466ISSN: 1945-497XOnline Volltext: dx.doi.org/
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Stability of Characterization of the Independence of Random Variables by the Independence of Linear Statistics Read More: https://epubs.siam.org/doi/10.1137/S0040585X97T987363In: Theory of Probability and its Applications Jg. 59 (2015) Nr. 4, S. 672 - 677ISSN: 1095-7219; 0040-585XOnline Volltext: dx.doi.org/
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Statistical Skorohod embedding problem : optimality and asymptotic normalityIn: Statistics & probability letters Jg. 104 (2015) S. 169 - 180ISSN: 0167-7152Online Volltext: dx.doi.org/
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Statistical inference for generalized Ornstein-Uhlenbeck processesIn: Electronic journal of statistics Jg. 9 (2015) Nr. 2, S. 1974 - 2006ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access)
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Concentration inequalities for smooth random fieldsIn: Theory of Probability & Its Applications Jg. 58 (2014) Nr. 2, S. 314 - 323ISSN: 0040-585XOnline Volltext: dx.doi.org/ (Open Access)
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Abelian theorems for stochastic volatility models with application to the estimation of jump activityIn: Stochastic Processes and their Applications Jg. 123 (2013) Nr. 1, S. 15 - 44ISSN: 0304-4149Online Volltext: dx.doi.org/ (Open Access)
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Estimation of the activity of jumps in time-changed Lévy modelsIn: Electronic Journal of Statistics Jg. 7 (2013) Nr. 1, S. 2970 - 3003ISSN: 1935-7524Online Volltext: dx.doi.org/
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Multilevel dual approach for pricing American style derivativesIn: Finance and stochastics Jg. 17 (2013) Nr. 4, S. 717 - 742ISSN: 0949-2984Online Volltext: dx.doi.org/
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Solving optimal stopping problems via empirical dual optimizationIn: Annals of Applied Probability Jg. 23 (2013) Nr. 5, S. 1988 - 2019ISSN: 1050-5164Online Volltext: dx.doi.org/
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Central limit theorems for law-invariant coherent risk measuresIn: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21ISSN: 0021-9002; 1475-6072Online Volltext: dx.doi.org/
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Spectral estimation of the Lévy density in partially observed affine modelsIn: Stochastic Processes and their Applications Jg. 121 (2011) Nr. 6, S. 1217 - 1244ISSN: 0304-4149Online Volltext: dx.doi.org/ (Open Access)
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Statistical inference for time-changed Lévy processes via composite characteristic function estimationIn: The Annals of Statistics: an official journal of the Institute of Mathematical Statistics Jg. 39 (2011) Nr. 4, S. 2205 - 2242ISSN: 2168-8966; 0090-5364Online Volltext: dx.doi.org/ (Open Access)
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Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary FormulationIn: Theory of probability and its applications Jg. 54 (2010) Nr. 1, S. 14 - 28ISSN: 1095-7219Online Volltext: dx.doi.org/
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Completion and continuation of nonlinear traffic time series : A probabilistic approachIn: Journal of Physics A: Mathematical and General Jg. 36 (2003) Nr. 45, S. 11369 - 11383ISSN: 0305-4470; 1361-6447Online Volltext: dx.doi.org/
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Spectral complexity reduction of music signals for cochlear implant users based on subspace trackingIn: 27th European Signal Processing Conference (EUSIPCO) / EUSIPCO, A CorUña,Spain, September 2-6,2019 2019ISBN: 978-9-0827-9703-9; 978-90-827970-2-2; 978-1-5386-7300-3 ISSN: 2219-5491Online Volltext: dx.doi.org/
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Regression-Based Variance Reduction Approach for Strong Approximation SchemesIn: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir (Hrsg.) 2017, S. 131 - 178ISBN: 9783319653129 ISSN: 2194-1017; 2194-1009Online Volltext: dx.doi.org/
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Segmentation of music signals based on explained variance ratio for applications in spectral complexity reductionIn: ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings / ICASSP 2017; New Orleans; United States; 5 March 2017 through 9 March 2017 2017, S. 206 - 210ISBN: 9781509041176 ISSN: 1520-6149Online Volltext: dx.doi.org/
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Unbiased simulation of distributions with explicitly known integral transformsIn: Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014 / Cools, Ronald; Nuyens, Dirk (Hrsg.) 2016, S. 229 - 244ISBN: 978-3-319-33507-0Online Volltext: dx.doi.org/
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Estimation and calibration of lévy models via Fourier methodsIn: Lévy Matters IV: Estimation for Discretely Observed Lévy Processes 2015, S. 1 - 76ISBN: 978-3-319-12372-1; 978-3-319-12373-8Online Volltext: dx.doi.org/
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Solving stochastic dynamic programs by convex optimization and simulationIn: Extraction of Quantifiable Information from Complex Systems Jg. 102 2014, S. 1 - 23ISBN: 978-3-319-08158-8Online Volltext: dx.doi.org/
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Tight bounds for American options via multilevel Monte CarloIn: Proceedings of the 2012 Winter Simulation Conference (WSC) / Winter Simulation Conference (WSC), 9 - 12 Dec. 2012, Berlin, Germany 2012ISBN: 978-1-4673-4779-2; 978-1-4673-4781-5; 978-1-4673-4779-2Online Volltext: dx.doi.org/
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Advanced simulation-based methods for optimal stopping and control : With applications in financeLondon (2018)ISBN: 978-1-137-03350-5; 978-1-137-03351-2Online Volltext: dx.doi.org/
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Lévy Matters IV : Estimation for Discretely Observed Lévy ProcessesCham (2015) XV, 286 S.
(Lecture Notes in Mathematics ; 2128)ISBN: 978-3-319-12372-1; 978-3-319-12373-8Online Volltext: dx.doi.org/; Online Volltext: dx.doi.org/ -
Variance reduction for MCMC methods via martingale representations(2019) 30 SeitenOnline Volltext (Open Access)