Publications

Preprints

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 Schmidt, Electronic Journal of Probability, 28(19), 1-46, 2023, article.

On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, with Moritz Ritter, Journal of Theoretical Probability, 35, 2052-2067, 2022, article.
A parabolic Harnack principle for balanced difference equations in random environment, with 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, with 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, with Kathrin Glau and Zorana Grbac, Applied Mathematical Finance, 24(1), 23-37, 2017, article.