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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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E-Mail
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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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2022 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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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
ISSN: 1520-8524; 0001-4966Online Volltext: dx.doi.org/ -
Empirical variance minimization with applications in variance reduction and optimal controlIn: Bernoulli Jg. 28 (2022) Nr. 2, S. 1382 - 1407
ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access) -
Solving optimal stopping problems under model uncertainty via empirical dual optimisationIn: Finance and Stochastics (2022) in press
ISSN: 0949-2984; 1432-1122Online Volltext: dx.doi.org/ (Open Access) -
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) -
Bayesian TVP-VARX models with time invariant long-run multipliersIn: Economic Modelling Jg. 101 (2021)
ISSN: 0264-9993; 1873-6122Online Volltext: dx.doi.org/ -
Density deconvolution under general assumptions on the distribution of measurement errorsIn: Annals of Statistics Jg. 49 (2021) Nr. 2, S. 615 - 649
ISSN: 2168-8966; 0090-5364Online Volltext: dx.doi.org/ (Open Access) -
Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicityIn: Mathematics and Computers in Simulation Jg. 181 (2021) S. 351 - 363
ISSN: 0378-4754Online Volltext: dx.doi.org/ (Open Access) -
Randomized optimal stopping algorithms and their convergence analysisIn: SIAM Journal on Financial Mathematics Jg. 12 (2021) Nr. 3, S. 1201 - 1225
ISSN: 1945-497XOnline Volltext: dx.doi.org/ (Open Access) -
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 - 535
ISSN: 2166-2525Online Volltext: dx.doi.org/ (Open Access) -
Finite difference method implementation for numericalintegration hydrodynamic equations meltsIn: Eurasian Physical Technical Journal Jg. 17 (2020) Nr. 1, S. 145 - 150
ISSN: 2413-2179; 1811-1165Online Volltext: dx.doi.org/ -
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 - 37
ISSN: 0246-0203; 1778-7017; 0020-2347Online Volltext: dx.doi.org/ (Open Access) -
Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle SystemsIn: SIAM Journal on Control and Optimization Jg. 58 (2020) Nr. 1, S. 529 - 550
ISSN: 0363-0129; 1095-7138Online Volltext: dx.doi.org/ (Open Access) -
Optimal stopping via reinforced regressionIn: Communications in Mathematical Sciences Jg. 18 (2020) Nr. 1, S. 109 - 121
ISSN: 1945-0796; 1539-6746Online Volltext: dx.doi.org/ (Open Access) -
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithmIn: Mathematical Finance Jg. 30 (2020) Nr. 4, S. 1591 - 1616
ISSN: 1467-9965; 0960-1627Online Volltext: dx.doi.org/ (Open Access) -
Solving linear parabolic rough partial differential equationsIn: Journal of Mathematical Analysis and Applications Jg. 490 (2020) Nr. 1, S. 124236
ISSN: 1096-0813; 0022-247XOnline Volltext: dx.doi.org/ (Open Access) -
Variance reduction for Markov chains with application to MCMCIn: Statistics and Computing Jg. 30 (2020) Nr. 4, S. 973 - 997
ISSN: 1573-1375; 0960-3174Online Volltext: dx.doi.org/ (Open Access) -
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 - 78
ISBN: 978-3-934359-53-6 ISSN: 0944-6060; 1869-3881Online Volltext: dx.doi.org/ Online Volltext (Open Access) -
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 - 14
ISSN: 1991-3494Online Volltext: dx.doi.org/ (Open Access) -
Fundamental characteristics of reliability in technological processes in ferrous metal industryIn: The Bulletin Jg. 2 (2019) Nr. 378, S. 120 - 127
ISSN: 0002-3213; 1991-3494Online Volltext: dx.doi.org/ -
Low-frequency estimation of continuous-time moving average Lévy processesIn: Bernoulli Jg. 25 (2019) Nr. 2, S. 902 - 931
ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access) -
Minimax theorems for American options without time-consistencyIn: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238
ISSN: 0949-2984; 1432-1122Online Volltext: dx.doi.org/ -
Nonparametric Bayesian inference for Gamma-type Lévy subordinatorsIn: Communications in Mathematical Sciences Jg. 17 (2019) Nr. 3, S. 781 - 816
ISSN: 1539-6746Online Volltext: dx.doi.org/ (Open Access) -
Optimal Stopping via Pathwise Dual Empirical MaximisationIn: Applied Mathematics and Optimization Jg. 79 (2019) Nr. 3, S. 715 - 741
ISSN: 1432-0606; 0095-4616Online Volltext: dx.doi.org/ -
Sobolev-Hermite versus Sobolev nonparametric density estimation on RIn: Annals of the Institute of Statistical Mathematics Jg. 71 (2019) Nr. 1, S. 29 - 62
ISSN: 1572-9052; 0020-3157Online Volltext: dx.doi.org/ Online Volltext (Open Access) -
Sparse covariance matrix estimation in high-dimensional deconvolutionIn: Bernoulli Jg. 25 (2019) Nr. 3, S. 1901 - 1938
ISSN: 1350-7265Online Volltext: dx.doi.org/ (Open Access) -
Statistical inference for moving-average Lévy-driven processes : Fourier-based approachIn: Statistica Neerlandica Jg. 73 (2019) Nr. 1, S. 100 - 117
ISSN: 1467-9574; 0039-0402Online Volltext: dx.doi.org/ (Open Access) -
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 - 1621
ISSN: 0246-0203Online Volltext: dx.doi.org/ (Open Access) -
Projected particle methods for solving McKean-Vlasov stochastic differential equationsIn: SIAM Journal on Numerical Analysis Jg. 56 (2018) Nr. 6, S. 3169 - 3195
ISSN: 0036-1429; 1095-7170Online Volltext: dx.doi.org/ (Open Access) -
Recurrent relations for correlation functionsIn: Bulletin of the Karaganda University: Physics series (2018) Nr. 1 (89), S. 8 - 15
ISSN: 2518-7198; 2663-5089 -
Regression-based complexity reduction of the nested monte carlo methodsIn: SIAM Journal on Financial Mathematics Jg. 9 (2018) Nr. 2, S. 665 - 689
ISSN: 1945-497XOnline Volltext: dx.doi.org/ (Open Access) -
Semiparametric estimation in the normal variance-mean mixture modelIn: Statistics: A Journal of Theoretical and Applied Statistics Jg. 52 (2018) Nr. 3, S. 571 - 589
ISSN: 1029-4910; 0233-1888Online Volltext: dx.doi.org/ (Open Access) -
Stratified regression-based variance reduction approach for weak approximation schemesIn: Mathematics and Computers in Simulation Jg. 143 (2018) S. 125 - 137
ISSN: 0378-4754Online Volltext: dx.doi.org/ (Open Access) -
Variance Reduction in Monte Carlo Estimators via Empirical Variance MinimizationIn: Doklady Mathematics Jg. 98 (2018) Nr. 2, S. 494 - 497
ISSN: 1064-5624; 1531-8362Online Volltext: dx.doi.org/ -
Variance reduction for discretised diffusions via regressionIn: Journal of mathematical analysis and applications Jg. 458 (2018) Nr. 1, S. 393 - 418
ISSN: 0022-247XOnline Volltext: dx.doi.org/ (Open Access) -
Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”In: The Annals of Applied Probability Jg. 27 (2017) Nr. 2, S. 1289 - 1293
ISSN: 1050-5164Online Volltext: dx.doi.org/ (Open Access) -
Correction to: Nonparametric Laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 11 (2017) Nr. 2, S. 4845 - 4850
ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access) -
Generalized Post–Widder inversion formula with application to statisticsIn: Journal of Mathematical Analysis and Applications Jg. 455 (2017) Nr. 1, S. 89 - 104
ISSN: 1096-0813; 0022-247XOnline Volltext: dx.doi.org/ (Open Access) -
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEsIn: Bernoulli Jg. 23 (2017) Nr. 2, S. 927 - 950
ISSN: 1350-7265Online Volltext: dx.doi.org/ -
Optimal stopping under probability distortionsIn: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833
ISSN: 1526-5471; 0364-765XOnline Volltext: dx.doi.org/ -
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
ISSN: 0219-0249Online Volltext: dx.doi.org/ -
Truncated control variates for weak approximation schemesIn: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42
ISSN: 2267-3059; 1270-900XOnline Volltext: dx.doi.org/ (Open Access) -
Nonparametric laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 10 (2016) Nr. 2, S. 3114 - 3152
ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access) -
Optimal stopping under model uncertainty : Randomized stopping times approachIn: The annals of applied probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295
ISSN: 1050-5164Online Volltext: dx.doi.org/ (Open Access) -
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 - 2122
Online Volltext: dx.doi.org/ -
Addendum to: Multilevel dual approach for pricing American style derivativesIn: Finance and stochastics Jg. 19 (2015) Nr. 3, S. 681 - 684
ISSN: 0949-2984Online Volltext: dx.doi.org/ -
Multilevel simulation based policy iteration for optimal stopping-convergence and complexityIn: SIAM-ASA Journal on Uncertainty Quantification Jg. 3 (2015) Nr. 1, S. 460 - 483
ISSN: 2166-2525Online Volltext: dx.doi.org/ Online Volltext (Open Access) -
Pricing Bermudan options via multilevel approximation methodsIn: SIAM Journal on Financial Mathematics Jg. 6 (2015) Nr. 1, S. 448 - 466
ISSN: 1945-497XOnline Volltext: dx.doi.org/ -
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 - 677
ISSN: 1095-7219; 0040-585XOnline Volltext: dx.doi.org/ -
Statistical Skorohod embedding problem : optimality and asymptotic normalityIn: Statistics & probability letters Jg. 104 (2015) S. 169 - 180
ISSN: 0167-7152Online Volltext: dx.doi.org/ -
Statistical inference for generalized Ornstein-Uhlenbeck processesIn: Electronic journal of statistics Jg. 9 (2015) Nr. 2, S. 1974 - 2006
ISSN: 1935-7524Online Volltext: dx.doi.org/ (Open Access) -
Concentration inequalities for smooth random fieldsIn: Theory of Probability & Its Applications Jg. 58 (2014) Nr. 2, S. 314 - 323
ISSN: 0040-585XOnline Volltext: dx.doi.org/ (Open Access) -
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 - 44
ISSN: 0304-4149Online Volltext: dx.doi.org/ (Open Access) -
Estimation of the activity of jumps in time-changed Lévy modelsIn: Electronic Journal of Statistics Jg. 7 (2013) Nr. 1, S. 2970 - 3003
ISSN: 1935-7524Online Volltext: dx.doi.org/ -
Multilevel dual approach for pricing American style derivativesIn: Finance and stochastics Jg. 17 (2013) Nr. 4, S. 717 - 742
ISSN: 0949-2984Online Volltext: dx.doi.org/ -
Solving optimal stopping problems via empirical dual optimizationIn: Annals of Applied Probability Jg. 23 (2013) Nr. 5, S. 1988 - 2019
ISSN: 1050-5164Online Volltext: dx.doi.org/ -
Central limit theorems for law-invariant coherent risk measuresIn: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21
ISSN: 0021-9002; 1475-6072Online Volltext: dx.doi.org/ -
Spectral estimation of the Lévy density in partially observed affine modelsIn: Stochastic Processes and their Applications Jg. 121 (2011) Nr. 6, S. 1217 - 1244
ISSN: 0304-4149Online Volltext: dx.doi.org/ (Open Access) -
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 - 2242
ISSN: 2168-8966; 0090-5364Online Volltext: dx.doi.org/ (Open Access) -
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 - 28
ISSN: 1095-7219Online Volltext: dx.doi.org/ -
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
ISSN: 0305-4470; 1361-6447Online Volltext: dx.doi.org/ -
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
ISBN: 978-9-0827-9703-9; 978-90-827970-2-2; 978-1-5386-7300-3 ISSN: 2219-5491Online Volltext: dx.doi.org/ -
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
ISBN: 9783319653129 ISSN: 2194-1017; 2194-1009Online Volltext: dx.doi.org/ -
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
ISBN: 9781509041176 ISSN: 1520-6149Online Volltext: dx.doi.org/ -
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
ISBN: 978-3-319-33507-0Online Volltext: dx.doi.org/ -
Estimation and calibration of lévy models via Fourier methodsIn: Lévy Matters IV: Estimation for Discretely Observed Lévy Processes 2015, S. 1 - 76
ISBN: 978-3-319-12372-1; 978-3-319-12373-8Online Volltext: dx.doi.org/ -
Solving stochastic dynamic programs by convex optimization and simulationIn: Extraction of Quantifiable Information from Complex Systems Jg. 102 2014, S. 1 - 23
ISBN: 978-3-319-08158-8Online Volltext: dx.doi.org/ -
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
ISBN: 978-1-4673-4779-2; 978-1-4673-4781-5; 978-1-4673-4779-2Online Volltext: dx.doi.org/ -
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/ -
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 Seiten
Online Volltext (Open Access)