Preprints
Worst-Case Optimal Investment in Incomplete Markets
with S. Desmettre, S. Merkel, A. Mickel, 2023.
https://arxiv.org/abs/2311.10021On the tradeoff between almost sure error tolerance versus mean deviation frequency in martingale convergence
with L.F. Estrada and M.A. Högele, 2023.
https://arxiv.org/abs/2310.09055Product formulas for multiple stochastic integrals associated with Lévy processes
with P. Di Tella and Ch. Geiss, 2023.
https://arxiv.org/abs/2309.11150Deviation frequencies of Brownian path property approximations
with M.A. Högele, 2023.
https://arxiv.org/abs/2302.04115A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
with P. Przybyłowicz, V. Schwarz, M. Szölgyenyi, 2022.
https://arxiv.org/abs/2201.06278
Publications
- Complements and Improvements Regarding Distributivity of the Product for σ-Algebras with Respect to the Intersection
with K.P.S. Bhaskara Rao, accepted to Mathematica Slovaca, 2023.
https://arxiv.org/abs/2208.01428 - Continuous functions with impermeable graphs
with G. Leobacher and Zoltán Buczolich, Math. Nachr. 296(10), 4778-4805, 2023.
https://doi.org/10.1002/mana.202200268 - On the Configurations of Closed Kinematic Chains in three-dimensional Space,
with G. Zangerl, IEJG, 15(1), 96-115, 2022.
https://doi.org/10.36890/iejg.972576 - Exception sets of intrinsic and piecewise Lipschitz functions,
with G. Leobacher, Journal of Geometric Analysis, 32, 118, 2022.
https://doi.org/10.1007/s12220-021-00860-5 - Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate
with J. Eisenberg and S. Kremsner, Mathematics, 9(18), 2257, 2021.
https://doi.org/10.3390/math9182257 - Existence, Uniqueness and Regularity of the Projection onto Differentiable Manifolds,
with G. Leobacher, Annals of Global Analysis and Geometry, 60(3), 559-587, 2021.
https://doi.org/10.1007/s10455-021-09788-z - (Non-)Distributivity of the Product for σ-Algebras with Respect to the Intersection,
Archiv der Mathematik, 116(6), 667-675, 2021.
https://doi.org/10.1007/s00013-020-01571-z - A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics,
with S. Kremsner and M. Szölgyenyi, Risks, 8(4), 136, 2020.
https://doi.org/10.3390/risks8040136 - L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting,
with S. Kremsner, Journal of Theoretical Probability, 35, 231–281, 2020.
https://doi.org/10.1007/s10959-020-01056-3 - Existence, Uniqueness and Malliavin Differentiability of Lévy-driven BSDEs with Locally Lipschitz Driver,
with C. Geiss, Stochastics, 92(3):418-453, 2019.
https://doi.org/10.1080/17442508.2019.1626859 - Existence, Uniqueness and Comparison Results for BSDEs with Lévy Jumps in an Extended Monotonic Generator Setting,
with C. Geiss, Probab Uncertain Quant Risk, 3 no. 9, 2018.
https://doi.org/10.1186/s41546-018-0034-y - Malliavin derivative of random functions and applications to Lévy driven BSDEs,
with C. Geiss, Electronic Journal of Probability, 21 no. 10, 2016.
https://projecteuclid.org/euclid.ejp/1455026806 - Functionals of a Lévy Process on Canonical and Generic Probability Spaces,
Journal of Theoretical Probability, 29:443-458, 2016.
https://link.springer.com/article/10.1007%2Fs10959-014-0583-7 - L^2 variation of Lévy-driven BSDEs with non-smooth terminal conditions,
with C. Geiss, Bernoulli, 22 (2):995-1025, 2016.
https://projecteuclid.org/euclid.bj/1447077767