Editor of the translation (from Russian) of J.A. Rosanov;
"Wahrscheinlichkeitstheorie"
Akademie Verlag Berlin (1971)
Editor of the translation (from Russian) of J.A. Rosanov;
"Stochastische Prozesse"
Akademie Verlag Berlin (1975)
Lexikon der Stochastik
Akademie-Verlag (1970), 4. edition 1983, 5. improved and essentially
extended edition (as Coauthor) (1991)
Einführung in die Bedienungstheorie
Teubner, Leipzig, (1986), (with N.N. Amossova, H. Gillert, Maximov)
Exponential Families of Stochastic Processes
Springer Verlag Monographie (1997), 330 pages, (with M.
Sørensen)
Veröffentlichte Zeitschriftenartikel
Über die Anzahl der Ruhetakte einer Markovschen
Kette
Wiss. Zeitschrift d. Technischen Universität Dresden, 22
(1973),
787-790, (with U. Priber)
Über die Sigma-Algebra der asymptotischen
Ereignisse bei
diskreten Geburts- und Todesprozessen
Math. Nachr. 65 (1975), 321-329
Über eine Verallgemeinerung der
Supermartingaleigenschaft
Math. Nachr. 70 (1976), 55-70, (with PH.Müller, S.
Rohmeiß)
Über die asymptotischen und die invarianten
Ereignisse
Markovscher
Prozesse und ihrer Raum-Zeit-Prozesse
Math. Nachr. 92 (1979), 25-30, (with B. Fröhlich)
Some asymptotic properties of the transition densities of
one-dimensional quasidiffusions
Publ. of the RIMS (Research institute of mathematical sciences) Kyoto
University 16 (1980), 245-268
On parabolic functions of one-dimensional quasidiffusions
Publ. of the RIMS, Kyoto University 16 (1980), 269-287
On the tail sigma-field and the minimal parabolic
functions for
one-dimensional quasidiffusions
Zeitschr. f. Wahrsch.theorie u. verw. Geb. 51 (1980), 303-322, (with U.
Lunze)
Analytical aspects of exponential families of distribution
functions
Math. Nachr. 101 (1981), 1563-164, (with I. Küchler)
An analytical treatment of exponential families of
stochastic
processes
with independent increments
Math. Nachr. 102 (1981), 21-30, (with I. Küchler)
On exponential families of Markov processes, Part 1:
General
Results
Math. Operationsforschung Statist., Ser. Statistics 13 (1982), 57-69
On exponential families of Markov processes, Part II:
Birth- and
Death
Processes
Math. Op.-forschung, Statist., Ser. Statistics 13 (1982), 210-230
Richard von Mises (Laudatio), Statistics 14 (1983), 507-508
Quasidiffusions, Sojourn times and spectral measures
Comptes rendus de Academic bulgare des Sciences Tome 38, 11 (1985),
1445-1448
Some results on exponential families of Markov processes.
In Banach Center Publications, Vol. 16, Warsaw (1985), 327-335
On sojourn times, excursions and spectral measures
connected with
quasidiffusions
Journal of Math. of Kyoto Univers. 26 (1986), 403-421
The semimartingale decomposition of one-dimensional
quasidiffusions
with scale.
Stoch. processes and applications 25 (1987), 237-244, (with G.
Burkhardt)
On the semimartingale decomposition of quasidiffusions with
nonnatural
scale
Lecture Notes in Control and Inf. Sciences Eol. 96 (1987), 152-155
Exponential families, extreme point models and minimal
space-time
invariant functions
for stochastic processes with stat. ind. increments
Scand. Journal of Statistics 16, 3 (1989), 237-262, (with G. Burkhardt
and S. Lauritzen)
A limit theorem for the excursion of quasidiffusions
straddling
in Mathematical Research
ed. by H. Langer, V. Nollau, Vol 54 (1989),
Akademie Verlag Berlin, 100-103
Exponential families of Stochastic processes: A Unifying
Semimartingale
Approach
Internat. Statist. Review 57, 2 (1989), 123-144, (with M.
Sørensen)
On spectral measures of strings and excursions of
quasidiffusions in Lecture Notes in Mathematics,
Vol. 1372 (1989), 490-502
(Séminaire des Probalités XXIII), (with P.
Salminen)
Continuous local martingales, local times and scale
proecesses
Revista Brasileira de Probabilidade e Estatistica 3 (1989), 43-57,
(with R. Rebolledo)
An extension of Krein's inverse spectral theorem to strings
with
nonreflecting left hand boundary
Lecture Notes in Mathematics, Vol. 1485 (1991), 354-373.
(Séminaire
de Probabilités XXV),
(with K. Neumann)
On Langevins stochastic differential equation extended by
a time
delayed term
Stochastics and Stochastic Reports 40, (1991), 123-144, (with B. Mensch)
Exponential families of Stochastic processes and
Lévy
processes
Journal of Statist. Planning and Inference, 39 (1994), 211-237, (with
M. Sørensen)
Exponential families of Stochastic processes with time
continuous
likelihood functions
Scand. J. Statist. 21 (1994), 421-431, (with M. Sørensen)
Curved Exponential Families of Stochastic Processes and
Their
Envelope
Families
Ann.Inst.Statist.Math. 48 (1996), 61-74, (with M. Sørensen)
On exponential families of Markov processes
Journal of Statist. Planning and inference 66 (1998), 3-19, (with M.
Sørensen)
Richard von Mises, in Mathematics in Berlin, (Eds. H.G.W.
Begehr,
H. Koch, J. Kramer, N. Schappacher, E.-J. Thiele)
Birkhäuser Basel (1998), 111-116, (with H. Föllmer)
Stock Returns and Hyperbolic Distributions
Mathematical and Computer Modelling 29, (1999), 1-15, (with K. Neumann,
M. Sørensen, A. Streller)
A Note on Limit Theorems for Multivariate Martingales
Bernoulli 5(3) (1999), 483-493, (with M. Sørensen)
Asymptotic Properties of Maximum-Likelihood-Estimatiors for
a
Class of
Linear Stochastic Differential Equations with Time Delay
Bernoulli 5(6) (1999), 1059-1098, (with A. Gushchin)
Delay Estimation for some Stationary Diffusion-type
Processes
Scandinavian Journal of Statistics 27 (3) (2000), 405-414, (with Y.
Kutoyants)
On Stationary Solutions of Delay Differential Equations
Driven by
a
Lévy Process
Stochastic Processes and their Applications 88, (2000), 195-211, (with
A. Gushchin)
The Process of Metastases Formation by Melanoma Patients
during
the
Aftercare - Modelling with Markov Chains and Cox's Regression
Biometrical Journal 42 (2000) 2, 161-170, (with I. Küchler, S.
Thiele,
K.-D. Wernecke, H. Winter)
Strong Discrete Time Approximation of Stochastic
Differential
Equations
with Time Delay
Mathematics and Computer Simulation 54 (2000), 189-205, (with E. Platen)
On sequential parameter estimation for some linear
stochastic
differential equations with time delay
Sequential Analysis, 20 (3) (2001), 117-146, (with V.A. Vasil'iev)
Coherent Risk Measures and good-deal bounds
Finance and Stochastics, 5 (2001), 181-200, (with S. Jaschke)
Addendum to "Asymptotic Inference for a Linear Stochastic
Differential
Equation with Time Delay"
Bernoulli, 7 (2001), 629-632, (with A. Gushchin)
Weak Discrete Time Approximation of Stochastic Differential
Equations
with Time Delay
Mathematics and Computer Simulations (2002) 59, 497-507,
(with E. Platen)
On parametric statistical models for stationary solutions
of
affine stochastic delay differential equations
Mathematical Methods of Statistics, New York, 12(1), (2003), 31-61,
(with A. Gushchin)
On ensured parametric estimation of a diffusion process
with time
delay.
Proceedings of the 13th IFAC Symposium on System Identification
'SYSID-2003',
Rotterdamm,
Netherlands (2003), 1217-1221, (with V.A. Vassiliev)
On integrals with respect to Lévy processes,
Statistics
and
Probability Letters 66 (2004), 145-151
On recovery of a measure from its symmetrization.
Theory Probab.
Appl., v.49 (2004), 352-362 (with A. Gushchin)
On Oscillations of the geometric Brownian motion with
time-delayed drift.
Statistics & Probability Letters 70 (2004) 19-24 (with A.
Gushchin)
Sequential identification of linear dynamic systems with
memory.
Statistical Inference of Stochastic Processes (2005) VIII, (1), 1-24,
(with V.A. Vassiliev)
On Markovian Short Rates in Term Structure Models Driven by
Jump-Diffusion Processes.
Submitted to Statistics & Decision (2005) (with P. V. Gapeev)
On guaranted parameter estimation of stochastic
differential
equations with time
delay by noisy observations, (2007), 137, 3007 - 3023, Journal of
Statist. Planning
and Inference (with V.A. Vasiliev)
Bilateral Gamma distributions and processes in Fnancial
mathematics, Stochastic
Processes and Applications, (2008), 118 (261 - 283) (with S. Tappe) (pdf, ps).
On Sequential Estimators for Affince Stochastic Delay
Differential Equations,
”Algorithms for Approximation”, A. Iske, J.
Levesley (eds.) Springer
Verlag,
Heidelberg, (2006), pp. 287 - 296, (with V.A. Vasiliev)
On Large Deviations in Testing Ornstein-Uhlenbeck-Type
Models, to
appear in Sta-
tistical Inference for Stochastic Processes (2008)143 - 155 (with P.V.
Gapeev)
On the Shapes of Bilateral Gamma Densities (pdf, ps).
To appear in Statistics and Probability Letters (with S. Tappe)
Unveröffentlichte Preprints und Manuskripte
Stochastic differential equations for a class of
quasidiffusions
with natural scale, (1985)
Preprint Nr. 98, Humboldt-Universität Berlin, Sektion
Mathematik,
(with
W. Schmidt)
On life-time-distributions of some one-dimensional
diffusions and
related exponentialfamilies,
Preprint 9/1993, Humboldt-Universität Berlin, Institut f.
Mathematik,1-20
Über die Stabilität des Euler-Schemas
für eine
Affine
Stochastische Differentialgleichung mit Gedächtnis,
Discussion Paper 20, (2001) Sonderforschungsbereich 373,
Humboldt-Universität zu Berlin,
(with H. Gilsing, E. Platen)
Statistical inference for discrete-time samples from affine
stochastic delay differential equations (pdf).
(with M. Sørensen)