Humboldt-Universität zu Berlin - Mathematisch-Naturwissenschaftliche Fakultät - Peter Imkeller

Graduate Students

 

Alumni

Fischer, Markus:   A two state model for noise induced resonance2004

Wolf, Sarah:  First exist times of the Ornstein-Uhlenbeck type process driven by a symmetric Lévy process with a slowly tempered stable component;  07/2005

Tisserand, Marc:  Exponential of Lévy processes as a stock price - Arbitrage opportunities, Completeness, and derivatives valuation  08/2006

Lefebvre de Rieux, Anastasie:  Outils statistiques de correlation El Nino et L'agriculture aux USA08/2006

Wetzel, Torsten:  Austrittszeiten für dynamische Systeme mit Levy'schem Rauschen; 05/2007

Pénisson, Sophie:  Euler Approximations of Lévy-noise driven linear SDEs and exit times; 09/2007

Heyne, Gregor:   A new solution to the Skorokhod Problem with drift and on measure solutions of BSDE10/2007

Hein, Claudia:  Limit theorems for p-variations of stable Lévy processes10/2007

Bricke, Thomas:  Risiko extremer Ereignisse12/2007

Liu, Pingkai:  Exponential Utility and Entropic Risk Measure04/2008

Zhang, Jianing:  Measure Solutions of BSDEs and a Feyman-Kac formula01/2009

Saalmann, Anaice:  Wetterderivate in einem erweiterten Temperaturmodell03/2009

Ritter, Matthias:  Wetterderivate: Ein Überblick über Modelle, Bewertung und Absicherung03/2009

Stauch, Michael:  Austrittszeiten nichtlinearer dynamischer Systeme in Rd mit multifraktalem Lévyschem Rauschen06/2009

Pollrich, Martin:  Stochastische Rückwärtsdifferentialgleichungen mit Sprüngen und Nutzenmaximierung in unvollständigen Märkten07/2009

Beinrucker, André:  An Extension of Ito's Formula for Hypoelliptic Diffusion Processes11/2009

Fabich, Judith:  Bestimmung der Schadeninflation im Versicherungswesen12/2009

Jamneshan, Asgar:  On initial enlargements on countable sample spaces and discrete time martingales03/2010

Fromm, Alexander:  Measure solutions of quadratic FBSDE and applications to dynamic convex risk measures05/2010

Voss, Carola:  Harness-Prozesse09/2010

Melchior, Anna:  Calibration of jump diffusions modeling paleoclimatic time series by means of empirical characteristic functions06/2011

Fischer, Anne:  Compound Poisson approximation for subdiffusions06/2011

Andresen, Andreas:  Large deviations for Hilbert space Wiener processes: a sequence space approach07/2011

Gairing, Jan:  Speed of convergence of discrete power variations of jump diffusions with applications to parameter fitting09/2011

Hinze, Christian:  Gaussian exit behaviour of Lévy process driven diffusions09/2011

Arnold. Dominic:  Fractional Gaussian Stochastic Fields and related Stratonovich integral01/2012

Willrich, Niklas:  Konstruktion von stochastischen Prozessen mit variablem Stabilitätsparameter als Lösungen von Martingalproblemen und stochastischen Differentialgleichungen03/2012

Prömel, David:  Minimal Supersolutions of non-Markovian BSDEs; 08/2012

Feunou, Victor Nzengang: (F)BSDE Related to Utility Maximization in Incomplete Markets; 08/2012

Kaltofen, Moritz: Erweiterungen des Ito'schen Integralbegriffs; 10/2012

Steinberg, Philipp:  BSDEs related to exponential utility maximization problem in a jump market model; 10/2013

Bagattini, Giulio:  Peacocks of bounded variation for Brownian martingales, and Malliavin calculus 01/2014

Meissner, Konstantin:  Expected utility maximization under dynamic risk constraints 06/2014

Silz, Elisa:  Skorokhodsches Einbettungsproblem für die Brownsche Bewegung mit stückweise linearem Drift 11/2014

Fenzl, Marcel: Robustness of the Skorokhod embedding for Brownian motion with linear drift via BSDE;  11/2015

Sakhi, Nadia: Different notions of stochastic integrals via Fourier expansion and paracontrol;  01/2016

Zarske, Marco: Austrittszeiten für dynamische Systeme mit fraktionärem Gaußschen Rauschen;  06/2016

Shevchenko, Radomyra: Central Limit Theorems for quadratic α-Variations of SDEs driven by the fractional Brownian motion;  06/2016

 

 


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