Veröffentlichungen

Vorveröffentlichungen (Preprints)

Robust market approximations: from discrete to continuous time, 2024, arXiv.
Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs, mit Moritz Ritter, 2023, arXiv.
A stochastic representation theorem for sublinear semigroups with non-local generators, mit Lars Niemann, 2023, arXiv.
Nonlinear semimartingales and Markov processes with jumps, mit Lars Niemann, 2023, arXiv.
A limit theory for controlled McKean-Vlasov SPDEs, 2023, arXiv.
Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion models, mit Mikhail Urusov, 2023, arXiv.
A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs, 2023, arXiv.
Separating times for one-dimensional diffusions, mit Mikhail Urusov, 2022, arXiv.

2024

Markov selections and Feller properties of nonlinear diffusions, mit Lars Niemann. Stochastic Processes and their Applications, 173:104354, 2024, article.

Stochastic processes under parameter uncertainty, Journal of Mathematical Analysis and Applications,

538:(2), 128388, 2024, article.

A class of multidimensional nonlinear diffusions with the Feller property, mit Lars Niemann, Statistics and Probability Letters, 208:110057, 2024, article.

Nonlinear continuous semimartingales, mit Lars Niemann, Electronic Journal of Probability, 28(146), 1-40, 2023, article.
On the relation of one-dimensional diffusions on natural scale and their speed measures, Journal of Theoretical Probability, 36(4), 2339-2358, 2023, article.
Robust utility maximization with nonlinear continuous semimartingales, mit Lars Niemann, Mathematics and Financial Economics, 17, 499-536, 2023, article.

Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations, Journal of Statistical Physics, 190:114, 2023, article.
On the Feller-Dynkin and the martingale property of one-dimensional diffusions, Electronic Communications in Probability, 28(20), 1-15, 2023, article.
The martingale problem method revisited, mit Peter Pfaffelhuber und Thorsten Schmidt, Electronic Journal of Probability, 28(19), 1-46, 2023, article.

On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, mit Moritz Ritter, Journal of Theoretical Probability, 35, 2052-2067, 2022, article.
A parabolic Harnack principle for balanced difference equations in random environment, mit Noam Berger, Archive for Rational Mechanics and Analysis, 245(2), 899-947, 2022, article.

A dual Yamada-Watanabe theorem for Levy driven stochastic differential equations, Electronic Communications in Probability, 26(18), 1-10, 2021, article.
On absolute continuity and singularity of multidimensional diffusions, Electronic Journal of Probability, 26(12), 1-26, 2021, article.

Lyapunov criteria for the Feller-Dynkin property of martingale problems, Stochastic Processes and their Applications, 130(5), 2693-2736, 2020, article.
No arbitrage in continuous financial markets, Mathematics and Financial Economics, 14, 461-506, 2020, article.
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks, International Journal of Theoretical and Applied Finance, 23(3), 2050020, 2020, article.
On the existence of semimartingales with continuous characteristics, Stochastics, 92(5), 785-813, 2020, article.
Correction to: Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 1791-1800, 2020, article.
Limit theorem for cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 866-905, 2020, article.

Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 32, 1306-1359, 2019, article, correction.
Couplings for processes with independent increments, Statistics and Probability Letters, 146, 161-167, 2019, article.

Absolute continuity of semimartinges, mit Kathrin Glau, Electronic Journal of Probability, 23(125), 1-28, 2018, article.
A note on the monotone stochastic order for processes with independent increments, Statistics and Probability Letters, 135, 127-131, 2018, article.
Structure preserving equivalent martingale measures for H-SII models, Journal of Applied Probability, 55(1), 1-14, 2018, article.
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets, International Journal of Theoretical and Applied Finance, 21(1), 1850002, 2018, article.

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models, mit Kathrin Glau und Zorana Grbac, Applied Mathematical Finance, 24(1), 23-37, 2017, article.