Publications
Preprints
- No arbitrage and the existence of ACLMMs in general diffusion markets, with Mikhail Urusov, 2024, arXiv.
- Stochastic solutions to Hamilton-Jacobi-Bellman Dirichlet problems, 2024, arXiv.
- Robust market convergence: from discrete to continuous time, 2024, arXiv.
- Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs, with Moritz Ritter, 2023, arXiv.
- A stochastic representation theorem for sublinear semigroups with non-local generators, with Lars Niemann, 2023, arXiv.
- Nonlinear semimartingales and Markov processes with jumps, with Lars Niemann, 2023, arXiv.
- A limit theory for controlled McKean-Vlasov SPDEs, 2023, arXiv.
- Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion models, with Mikhail Urusov, 2023, arXiv.
- Separating times for one-dimensional diffusions, with Mikhail Urusov, 2022, arXiv.
Publications
Accepted for publication
- On the representation property for 1D general diffusion semimartingales, with Mikhail Urusov, to appear in Theory of Probability and its Applications, arXiv.
2024
- A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs, Nonlinear Differential Equations and Applications NoDEA, 31:97, 2024, article.
- Markov selections and Feller properties of nonlinear diffusions, with Lars Niemann, Stochastic Processes and their Applications, 173:104354, 2024, article.
- Stochastic processes under parameter uncertainty, Journal of Mathematical Analysis and Applications, 538:(2), 128388, 2024, article.
- A class of multidimensional nonlinear diffusions with the Feller property, with Lars Niemann, Statistics and Probability Letters, 208:110057, 2024, article.
2023
- Nonlinear continuous semimartingales, with Lars Niemann, Electronic Journal of Probability, 28(146), 1-40, 2023, article.
- On the relation of one-dimensional diffusions on natural scale and their speed measures, Journal of Theoretical Probability, 36(4), 2339-2358, 2023, article.
- Robust utility maximization with nonlinear continuous semimartingales, with Lars Niemann, Mathematics and Financial Economics, 17, 499-536, 2023, 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.
2022
- 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.
2021
- 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.
2020
- 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.
2019
- 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.
2018
- Absolute continuity of semimartinges, mit 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.
2017
- 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.
PhD Thesis
Essays on Stochastic Processes and their Applications, 2020, Technical University of Munich, betreut von Noam Berger.