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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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SoSe 2025
Vergangene Veranstaltungen (max. 10)
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WiSe 2024
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SoSe 2024
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WiSe 2023
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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Statistical Inference for Conservation Law McKean-Vlasov SDEs via Deep Neural NetworksIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) , Jg. 13 2025, Nr. 2, S. 425 – 448
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Weighted mesh algorithms for general Markov decision processes : Convergence and tractabilityIn: Journal of Complexity , Jg. 88 2025, 101932DOI (Open Access)
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov modelsIn: Finance and Stochastics , Jg. 28 2024, Nr. 4, S. 1147 – 1178DOI (Open Access)
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Nonparametric statistical inference for compound modelsIn: Statistics: A Journal of Theoretical and Applied Statistics , Jg. 58 2024, Nr. 4, S. 943 – 960
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Polynomial rates via deconvolution for nonparametric estimation in McKean–Vlasov SDEsIn: Probability Theory and Related Fields 2024 , in press
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Primal-Dual Regression Approach for Markov Decision Processes with General State and Action SpacesIn: SIAM Journal on Control and Optimization , Jg. 62 2024, Nr. 1, S. 650 – 679
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Statistical inference for scale mixture models via Mellin transform approachIn: Statistics: A Journal of Theoretical and Applied Statistics , Jg. 58 2024, Nr. 1, S. 209 – 229DOI, Online Volltext (Open Access)
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Theoretical guarantees for neural control variates in MCMCIn: Mathematics and Computers in Simulation , Jg. 220 2024, S. 382 – 405DOI, Online Volltext (Open Access)
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Demonstration of the feasibility and practical value of direct acoustic measurements in liquid metalsIn: Kompleksnoe Ispolzovanie Mineralnogo Syrâ 2023, Nr. 2, S. 17 – 33
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From optimal martingales to randomized dual optimal stoppingIn: Quantitative Finance , Jg. 23 2023, Nr. 7-8, S. 1099 – 1113DOI (Open Access)
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Model-free Posterior Sampling via Learning Rate RandomizationIn: Advances in neural information processing systems : ... proceedings of the ... conference , Jg. 36 2023
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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 – 88DOI (Open Access)
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Rates of convergence for density estimation with generative adversarial networksIn: Journal of Machine Learning Research , Jg. 24 2023, S. 1 – 47(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 – 96DOI, Online Volltext (Open Access)
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Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activationsIn: Neural Networks , Jg. 161 2023, S. 242 – 253DOI, Online Volltext (Open Access)
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Solving Optimal Stopping Problems via Randomization and Empirical Dual OptimizationIn: Mathematics of Operations Research , Jg. 48 2023, Nr. 3, S. 1454 – 1480
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Weak solutions to gamma-driven stochastic differential equationsIn: Indagationes Mathematicae , Jg. 34 2023, Nr. 4, S. 820 – 829DOI (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 – 2986
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Empirical variance minimization with applications in variance reduction and optimal controlIn: Bernoulli , Jg. 28 2022, Nr. 2, S. 1382 – 1407DOI, Online Volltext (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 – 72DOI (Open Access)
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Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equationsIn: Bernoulli , Jg. 28 2022, Nr. 4, S. 2151 – 2180DOI, Online Volltext (Open Access)
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Reinforced optimal controlIn: Communications in Mathematical Sciences , Jg. 20 2022, Nr. 7, S. 1951 – 1978DOI, Online Volltext (Open Access)
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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 – 503DOI (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, 16DOI, Online Volltext (Open Access)
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Bayesian TVP-VARX models with time invariant long-run multipliersIn: Economic Modelling , Jg. 101 2021, 105531
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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 – 649DOI, Online Volltext (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 – 363DOI, Online Volltext (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 – 1225DOI, Online Volltext (Open Access)
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Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMCIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) , Jg. 9 2021, Nr. 2, S. 507 – 535DOI, Online Volltext (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 – 150DOI (Open Access)
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Nonparametric density estimation from observations with multiplicative measurement errorsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics , Jg. 56 2020, Nr. 1, S. 36 – 37DOI, Online Volltext (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 – 550DOI, Online Volltext (Open Access)
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Optimal stopping via reinforced regressionIn: Communications in Mathematical Sciences , Jg. 18 2020, Nr. 1, S. 109 – 121DOI, Online Volltext (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 – 1616DOI, Online Volltext (Open Access)
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Solving linear parabolic rough partial differential equationsIn: Journal of Mathematical Analysis and Applications , Jg. 490 2020, Nr. 1, 124236DOI, Online Volltext (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 – 997DOI, Online Volltext (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 – 78DOI, 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 – 14DOI (Open Access)
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Fundamental characteristics of reliability in technological processes in ferrous metal industryIn: The Bulletin of the National Academy of Sciences of the Republic of Kazakhstan , Jg. 2 2019, Nr. 378, S. 120 – 127
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Low-frequency estimation of continuous-time moving average Lévy processesIn: Bernoulli , Jg. 25 2019, Nr. 2, S. 902 – 931DOI, Online Volltext (Open Access)
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Minimax theorems for American options without time-consistencyIn: Finance and Stochastics , Jg. 23 2019, Nr. 1, S. 209 – 238
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Nonparametric Bayesian inference for Gamma-type Lévy subordinatorsIn: Communications in Mathematical Sciences , Jg. 17 2019, Nr. 3, S. 781 – 816DOI, Online Volltext (Open Access)
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Optimal Stopping via Pathwise Dual Empirical MaximisationIn: Applied Mathematics and Optimization , Jg. 79 2019, Nr. 3, S. 715 – 741
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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 – 62DOI (Open Access)
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Sparse covariance matrix estimation in high-dimensional deconvolutionIn: Bernoulli , Jg. 25 2019, Nr. 3, S. 1901 – 1938DOI, Online Volltext (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 – 117DOI, Online Volltext (Open Access)
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Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processesIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics , Jg. 54 2018, Nr. 3, S. 1583 – 1621DOI, Online Volltext (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 – 3195DOI, Online Volltext (Open Access)
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Recurrent relations for correlation functionsIn: Bulletin of the Karaganda University: Physics series 2018, Nr. 1 (89), S. 8 – 15
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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 – 689DOI, Online Volltext (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 – 589DOI, Online Volltext (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 – 137DOI, Online Volltext (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 – 497
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Variance reduction for discretised diffusions via regressionIn: Journal of Mathematical Analysis and Applications , Jg. 458 2018, Nr. 1, S. 393 – 418DOI, Online Volltext (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 – 1293DOI (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 – 4850DOI (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 – 104DOI, Online Volltext (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 – 950
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Optimal stopping under probability distortionsIn: Mathematics of Operations Research , Jg. 42 2017, Nr. 3, S. 806 – 833
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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. 1750041
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Truncated control variates for weak approximation schemesIn: ESAIM: Proceedings and Surveys , Jg. 59 2017, S. 15 – 42DOI (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 – 3152DOI (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 – 1295DOI, Online Volltext (Open Access)
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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 – 2122
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Addendum to: Multilevel dual approach for pricing American style derivativesIn: Finance and Stochastics , Jg. 19 2015, Nr. 3, S. 681 – 684
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Multilevel simulation based policy iteration for optimal stopping-convergence and complexityIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) , Jg. 3 2015, Nr. 1, S. 460 – 483DOI (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 – 466
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Stability of Characterization of the Independence of Random Variables by the Independence of Linear StatisticsIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics , Jg. 59 2015, Nr. 4, S. 672 – 677
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Statistical Skorohod embedding problem : optimality and asymptotic normalityIn: Statistics and Probability Letters , Jg. 104 2015, S. 169 – 180
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Statistical inference for generalized Ornstein-Uhlenbeck processesIn: Electronic Journal of Statistics , Jg. 9 2015, Nr. 2, S. 1974 – 2006DOI (Open Access)
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Concentration inequalities for smooth random fieldsIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics , Jg. 58 2014, Nr. 2, S. 314 – 323DOI, Online Volltext (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 – 44DOI (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 – 3003
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Multilevel dual approach for pricing American style derivativesIn: Finance and Stochastics , Jg. 17 2013, Nr. 4, S. 717 – 742
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Solving optimal stopping problems via empirical dual optimizationIn: The Annals of Applied Probability , Jg. 23 2013, Nr. 5, S. 1988 – 2019
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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 – 21
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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 – 1244DOI (Open Access)
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Statistical inference for time-changed Lévy processes via composite characteristic function estimationIn: Annals of Statistics , Jg. 39 2011, Nr. 4, S. 2205 – 2242DOI, Online Volltext (Open Access)
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Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary FormulationIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics , Jg. 54 2010, Nr. 1, S. 14 – 28
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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 – 11383
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Optimal stopping under probability distortions and law invariant coherent risk measures2016
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PrefaceIn: Foundations of Modern Statistics: Festschrift in Honor of Vladimir Spokoiny, Berlin, Germany, November 6–8, 2019, Moscow, Russia, November 30, 2019 / Belomestny, Denis; Butucea, Cristina; Mammen, Enno; Moulines, Eric; Reiß, Markus; Ulyanov, Vladimir V. 2023, S. v – vii
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Variance reduction for MCMC methods via martingale representations2019Online Volltext (Open Access)
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Fast Rates for Maximum Entropy ExplorationIn: Proceedings of the 40th International Conference on Machine Learning (ICML 2023) / 40th International Conference on Machine Learning (ICML 2023): Honolulu, 23 - 29 July 2023 / Krause, A.; Brunskill, E.; Cho, K.; Engelhardt, B.; Sabato, S.; Scarlett, J. (Hrsg.) 2023, S. 34161 – 34221
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Sparse Constrained Projection Approximation Subspace TrackingIn: Foundations of Modern Statistics: Festschrift in Honor of Vladimir Spokoiny, Berlin, Germany, November 6–8, 2019, Moscow, Russia, November 30, 2019 / Belomestny, Denis; Butucea, Cristina; Mammen, Enno; Moulines, Eric; Reiß, Markus; Ulyanov, Vladimir V. 2023, S. 323 – 354DOI, Online Volltext (Open Access)
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From Dirichlet to Rubin : Optimistic Exploration in RL without BonusesIn: Proceedings of the 39 th International Conference on Machine Learning / 39 th International Conference on Machine Learning, Baltimore, Maryland, USA, PMLR 162, 2022 2022, S. 21380 – 21431(Open Access)
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Optimistic Posterior Sampling for Reinforcement Learning with Few Samples and Tight GuaranteesIn: Thirty-Sixth Conference on Neural Information Processing Systems: Proceedings / Thirty-Sixth Conference on Neural Information Processing Systems, NeurIPS 2022, New Orleans, Louisiana, United States of America, November 2022 2022
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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 2019
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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 – 178
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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 – 210
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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 – 244
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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 – 76
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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 – 23
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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 2012
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Advanced simulation-based methods for optimal stopping and control : With applications in financeLondon: Palgrave Macmillan 2018
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Lévy Matters IV : Estimation for Discretely Observed Lévy ProcessesCham: Springer International Publishing 2015
(Lecture Notes in Mathematics ; 2128) -
Demonstration-Regularized RL
12th International Conference on Learning Representations, ICLR 2024, May 7th to 11th, 2024, Vienna, Austria,Vienna 2024