You are here: Home Professors David Criens Publications




  • Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion models, with 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, with Mikhail Urusov, 2022, arXiv.
  • Stochastic processes under parameter uncertainty, 2022, arXiv.
  • A class of multidimensional nonlinear diffusions with the Feller property, with Lars Niemann, 2022, arXiv
  • Markov selections and Feller properties of nonlinear diffusions, with Lars Niemann, 2022, arXiv
  • Nonlinear continuous semimartingales, with Lars Niemann, 2022, arXiv.




Accepted for Publication


  • Robust utility maximization with nonlinear continuous semimartingales, mit Lars Niemann, 2022, arXiv, to appear in Mathematics and Financial Economics.


Online First 


  • On the relation of one-dimensional diffusions on natural scale and their speed measures, Journal of Theoretical Probability, online first, 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, with Peter Pfaffelhuber and Thorsten SchmidtElectronic Journal of Probability, 28(19), 1-46, 2023, article.




  • On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, with Moritz RitterJournal of Theoretical Probability, 35, 2052-2067, 2022, article.
  • A parabolic Harnack principle for balanced difference equations in random environment, with Noam BergerArchive 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, articlecorrection.
  • Couplings for processes with independent increments, Statistics and Probability Letters, 146, 161-167, 2019, article.




  • Absolute continuity of semimartinges, with Kathrin GlauElectronic 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, with Kathrin Glau and Zorana GrbacApplied Mathematical Finance, 24(1), 23-37, 2017, article.


Ph.D. Thesis


Essays on Stochastic Processes and their Applications, 2020, Technical University of Munich, supervised by Noam Berger.