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Fakultät für Mathematik
Anschrift
Thea-Leymann-Str. 9
45127 Essen
45127 Essen
Raum
WSC-W-3.25
Telefon
E-Mail
Funktionen
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---, Mathematik
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Professor/in, Personal FB Mathematik, Campus Essen
Aktuelle Veranstaltungen
Keine aktuellen Veranstaltungen.
Vergangene Veranstaltungen (max. 10)
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2024 SS
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2023 WS
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2023 SS
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2022 WS
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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Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problemsIn: Finance and Stochastics (2024) Nr. 28, S. 813 - 863Online Volltext: dx.doi.org/ (Open Access)
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Self-exciting price impact via negative resilience in stochastic order booksIn: Annals of Operations Research Jg. 336 (2024) Nr. 1-2, S. 637 - 659Online Volltext: dx.doi.org/ (Open Access)
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A Kolmogorov–Chentsov Type Theorem on General Metric Spaces with Applications to Limit Theorems for Banach-Valued ProcessesIn: Journal of Theoretical Probability Jg. 36 (2023) Nr. 3, S. 1454 - 1486Online Volltext: dx.doi.org/ (Open Access)
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Properties of the EMCEL scheme for approximating irregular diffusionsIn: Journal of Mathematical Analysis and Applications Jg. 509 (2022) Nr. 1, 125931Online Volltext: dx.doi.org/ (Open Access)
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Càdlàg semimartingale strategies for optimal trade execution in stochastic order book modelsIn: Finance and Stochastics Jg. 25 (2021) Nr. 4, S. 757 - 810Online Volltext: dx.doi.org/ (Open Access)
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Optimal trade execution in an order book model with stochastic liquidity parametersIn: SIAM Journal on Financial Mathematics Jg. 12 (2021) Nr. 2, S. 788 - 822Online Volltext: dx.doi.org/ (Open Access)
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Sequential tracking of an unobservable two-state Markov process under Brownian noiseIn: Sequential Analysis Jg. 40 (2021) Nr. 1, S. 1 - 16Online Volltext: dx.doi.org/ (Open Access)
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Wasserstein convergence rates for random bit approximations of continuous Markov processesIn: Journal of Mathematical Analysis and Applications Jg. 493 (2021) Nr. 2, 124543Online Volltext: dx.doi.org/ (Open Access)
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A functional limit theorem for coin tossing Markov chainsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 56 (2020) Nr. 4, S. 2996 - 3019Online Volltext: dx.doi.org/ (Open Access)
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Approximating exit times of continuous markov processesIn: Discrete and Continuous Dynamical Systems: Series B (DCDS-B) Jg. 25 (2020) Nr. 9, S. 3631 - 3650Online Volltext: dx.doi.org/ (Open Access)
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Minimal embeddings of integrable processes in a Brownian motionIn: Russian Mathematical Surveys Jg. 74 (2019) Nr. 5, S. 953 - 955Online Volltext: dx.doi.org/
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Optimal trade execution in order books with stochastic liquidityIn: Mathematical Finance Jg. 29 (2019) Nr. 2, S. 507 - 541Online Volltext: dx.doi.org/
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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 - 689Online 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 - 137Online Volltext: dx.doi.org/ (Open Access)
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Variance reduction for discretised diffusions via regressionIn: Journal of Mathematical Analysis and Applications Jg. 458 (2018) Nr. 1, S. 393 - 418Online Volltext: dx.doi.org/ (Open Access)
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A functional limit theorem for irregular SDEsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 53 (2017) Nr. 3, S. 1438 - 1457Online Volltext: dx.doi.org/ (Open Access)
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Necessary and sufficient conditions for the r-excessive local martingales to be martingalesIn: Electronic Communications in Probability Jg. 22 (2017) S. 10Online Volltext: dx.doi.org/ (Open Access)
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Truncated control variates for weak approximation schemesIn: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42Online Volltext: dx.doi.org/ (Open Access)
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WLLN for arrays of nonnegative random variablesIn: Statistics and Probability Letters Jg. 122 (2017) S. 73 - 78Online Volltext: dx.doi.org/
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Numerical approximation of irregular SDEs via Skorokhod embeddingsIn: Journal of Mathematical Analysis and Applications Jg. 440 (2016) Nr. 2, S. 692 - 715Online Volltext: dx.doi.org/
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Processes that can be embedded in a geometric Brownian motionIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics Jg. 60 (2016) Nr. 2, S. 248 - 271Online Volltext: dx.doi.org/; Online Volltext: dx.doi.org/
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On the Loss of the Semimartingale Property at the Hitting Time of a LevelIn: Journal of Theoretical Probability Jg. 28 (2015) Nr. 3, S. 892 - 922Online Volltext: dx.doi.org/ (Open Access)
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A note on delta hedging in markets with jumpsIn: IMA Journal of Applied Mathematics Jg. 79 (2014) Nr. 2, S. 300 - 312Online Volltext: dx.doi.org/
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On the submartingale/supermartingale property of diffusions in natural scaleIn: Proceedings of the Steklov Institute of Mathematics Jg. 287 (2014) Nr. 1, S. 122 - 132Online Volltext: dx.doi.org/
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Optimal trade execution and price manipulation in order books with time-varying liquidityIn: Mathematical Finance Jg. 24 (2014) Nr. 4, S. 651 - 695Online Volltext: dx.doi.org/
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Convergence of integral functionals of one-dimensional diffusionsIn: Electronic Communications in Probability Jg. 17 (2012) S. 61Online Volltext: dx.doi.org/ (Open Access)
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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion modelsIn: Finance and stochastics Jg. 16 (2012) Nr. 2, S. 225 - 247Online Volltext: dx.doi.org/
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On the martingale property of certain local martingalesIn: Probability theory and related fields Jg. 152 (2012) Nr. 1, S. 1 - 30Online Volltext: dx.doi.org/
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A note on a paper by Wong and HeydeIn: Journal of applied probability Jg. 48 (2011) Nr. 3, S. 811 - 819Online Volltext: dx.doi.org/
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On minimax duality in optimal stoppingIn: Sequential analysis Jg. 29 (2010) Nr. 3, S. 328 - 342Online Volltext: dx.doi.org/
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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 - 28Online Volltext: dx.doi.org/
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A canonical setting and separating times for continuous local martingalesIn: Stochastic Processes and their Applications Jg. 119 (2009) Nr. 4, S. 1039 - 1054Online Volltext: dx.doi.org/
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On a Class of Optimal Stopping Problems for Diffusions with Discontinuous CoefficientsIn: The annals of applied probability Jg. 18 (2008) Nr. 3, S. 847 - 878Online Volltext: dx.doi.org/
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Optimal stopping via measure transformation : the Beibel–Lerche approachIn: Stochastics: An International Journal of Probability and Stochastic Processes Jg. 79 (2007) Nr. 3-4, S. 275 - 291Online Volltext: dx.doi.org/
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On a property of the time of attaining the maximum by Brownian motion and some optimal stopping problemsIn: Theory of probability and its applications Jg. 49 (2005) Nr. 1, S. 169 - 176Online Volltext: dx.doi.org/
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Separating Times for Measures on Filtered SpacesIn: Theory of probability and its applications Jg. 48 (2004) Nr. 2, S. 337 - 347Online Volltext: dx.doi.org/
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The use of separating times in proving singularity of Gaussian measuresIn: Russian mathematical surveys Jg. 58 (2003) Nr. 4, S. 807 - 809Online Volltext: dx.doi.org/
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Optimal forecasting of the time of attaining the maximum by Brownian motionIn: Russian mathematical surveys Jg. 57 (2002) Nr. 1, S. 163 - 164Online Volltext: dx.doi.org/
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No-arbitrage conditions in discrete financial modelsIn: Russian mathematical surveys Jg. 54 (1999) Nr. 5, S. 1053 - 1055Online 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 - 178Online Volltext: dx.doi.org/
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Martingale Property of Generalized Stochastic ExponentialsIn: Séminaire de probabilités XLIV / Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain (Hrsg.) 2012, S. 41 - 59Online Volltext: dx.doi.org/
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On the Absolute Continuity and Singularity of Measures on Filtered Spaces : Separating TimesIn: From stochastic calculus to mathematical finance 2006Online Volltext: dx.doi.org/
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Variance reduction for MCMC methods via martingale representations(2019) 30 SeitenOnline Volltext (Open Access)
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On the martingale property of time-homogeneous diffusions(2007) 9 SeitenOnline Volltext: dx.doi.org/ Online Volltext (Open Access)