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Publications

 Preprints

 

  • No arbitrage and the existence of ACLMMs in general diffusion markets, with Mikhail Urusov1, 2024, arXiv2.
  • Stochastic solutions to Hamilton-Jacobi-Bellman Dirichlet problems, 2024, arXiv3.
  • Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs, with Moritz Ritter4, 2023, arXiv5.
  • A limit theory for controlled McKean-Vlasov SPDEs, 2023, arXiv.6
  • Separating times for one-dimensional diffusions, with Mikhail Urusov7, 2022, arXiv8.

  

 

Publications

 

Accepted for publication

 

  • A stochastic representation theorem for sublinear semigroups with non-local generators, mit Lars Niemann9, to appear in Electronic Journal of Probability, arXiv10. 
  • Criteria for the absence of arbitrage in general diffusion markets, mit Mikhail Urusov7, to appear in Finance and Stochatics, arXiv11.
  • Robust market convergence: from discrete to continuous time, to appear in SIAM Journal on Financial Mathematics, arXiv12.
  • On the representation property for 1D general diffusion semimartingales, with Mikhail Urusov7, to appear in Theory of Probability and its Applications, arXiv13.

 

2025

 

  • Nonlinear semimartingales and Markov processes with jumps, with Lars Niemann14, Journal of Evolution Equations, 25(21), article15.

 

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, article16.
    17
  • Markov selections and Feller properties of nonlinear diffusions, with Lars Niemann14, Stochastic Processes and their Applications, 173:104354, 2024, article18.
  • Stochastic processes under parameter uncertainty, Journal of Mathematical Analysis and Applications, 538:(2), 128388, 2024, article19.
  • A class of multidimensional nonlinear diffusions with the Feller property, with Lars Niemann14, Statistics and Probability Letters, 208:110057, 2024, article.20

 

2023

 

  • Nonlinear continuous semimartingales, with Lars Niemann14, Electronic Journal of Probability, 28(146), 1-40, 2023, article21.
  • On the relation of one-dimensional diffusions on natural scale and their speed measures, Journal of Theoretical Probability, 36(4), 2339-2358, 2023, article22.
  • Robust utility maximization with nonlinear continuous semimartingales, with Lars Niemann14, Mathematics and Financial Economics, 17, 499-536, 2023, article23.
  • Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations, Journal of Statistical Physics, 190:114, 2023, article24.
  • On the Feller-Dynkin and the martingale property of one-dimensional diffusions, Electronic Communications in Probability, 28(20), 1-15, 2023, article25.
  • The martingale problem method revisited, with Peter Pfaffelhuber26 and Thorsten Schmidt27, Electronic Journal of Probability, 28(19), 1-46, 2023, article28.

 

2022

 

  • On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, with Moritz Ritter29, Journal of Theoretical Probability, 35, 2052-2067, 2022, article30.
  • A parabolic Harnack principle for balanced difference equations in random environment, with Noam Berger31, Archive for Rational Mechanics and Analysis, 245(2), 899-947, 2022, article32.

 

2021

 

  • A dual Yamada-Watanabe theorem for Levy driven stochastic differential equations, Electronic Communications in Probability, 26(18), 1-10, 2021, article33.
  • On absolute continuity and singularity of multidimensional diffusions, Electronic Journal of Probability, 26(12), 1-26, 2021, article34.

 

2020

 

  • Lyapunov criteria for the Feller-Dynkin property of martingale problems, Stochastic Processes and their Applications, 130(5), 2693-2736, 2020, article35.
  • No arbitrage in continuous financial markets, Mathematics and Financial Economics, 14, 461-506, 2020, article36.
  • 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, article37.
  • On the existence of semimartingales with continuous characteristics, Stochastics, 92(5), 785-813, 2020, article38.
  • Correction to: Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 1791-1800, 2020, article39.
  • Limit theorem for cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 866-905, 2020, article40. 

 

2019

 

  • Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 32, 1306-1359, 2019, article41, correction39.
  • Couplings for processes with independent increments, Statistics and Probability Letters, 146, 161-167, 2019, article42.

 

2018

 

  • Absolute continuity of semimartinges, mit Kathrin Glau43, Electronic Journal of Probability, 23(125), 1-28, 2018, article44.
  • A note on the monotone stochastic order for processes with independent increments, Statistics and Probability Letters, 135, 127-131, 2018, article45.
  • Structure preserving equivalent martingale measures for H-SII models, Journal of Applied Probability, 55(1), 1-14, 2018, article46.
  • 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, article47.

 

2017

 

  • Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models, with Kathrin Glau43 and Zorana Grbac48, Applied Mathematical Finance, 24(1), 23-37, 2017, article49.

 

PhD Thesis

 

Essays on Stochastic Processes and their Applications50, 2020, Technical University of Munich, betreut von Noam Berger31.

 

Links

  1. https://sites.google.com/view/mikhail-urusov/home
  2. https://www.arxiv.org/abs/2410.09789
  3. https://arxiv.org/abs/2404.17236
  4. https://p4test21.uni-freiburg.de/de/mitarbeiter/ritter/info-ritter
  5. https://arxiv.org/abs/2312.08331
  6. https://arxiv.org/abs/2310.00928
  7. https://sites.google.com/view/mikhail-urusov
  8. https://arxiv.org/abs/2211.06042
  9. https://p4test21.uni-freiburg.de/de/mitarbeiter/niemann
  10. https://arxiv.org/abs/2311.03138
  11. https://arxiv.org/abs/2306.11470
  12. https://arxiv.org/abs/2402.16108
  13. https://arxiv.org/abs/2406.08109
  14. https://p4test21.uni-freiburg.de/en/mitarbeiter/niemann
  15. https://link.springer.com/article/10.1007/s00028-024-01046-6
  16. https://link.springer.com/article/10.1007/s00030-024-00986-9?utm_source=rct_congratemailt&utm_medium=email&utm_campaign=oa_20240804&utm_content=10.1007%2Fs00030-024-00986-9
  17. https://arxiv.org/abs/2304.08919
  18. https://www.sciencedirect.com/science/article/pii/S0304414924000607
  19. https://www.sciencedirect.com/science/article/pii/S0022247X2400310X
  20. https://www.sciencedirect.com/science/article/pii/S0167715224000269
  21. https://projecteuclid.org/journals/electronic-journal-of-probability/volume-28/issue-none/Nonlinear-continuous-semimartingales/10.1214/23-EJP1037.full
  22. https://link.springer.com/article/10.1007/s10959-023-01247-8
  23. https://link.springer.com/article/10.1007/s11579-023-00342-y
  24. https://link.springer.com/article/10.1007/s10955-023-03121-7
  25. https://projecteuclid.org/journals/electronic-communications-in-probability/volume-28/issue-none/On-the-FellerDynkin-and-the-martingale-property-of-one-dimensional/10.1214/23-ECP524.full
  26. https://p4test21.uni-freiburg.de/en/professors/pfaffelhuber
  27. https://p4test21.uni-freiburg.de/en/professors/schmidt
  28. https://projecteuclid.org/journals/electronic-journal-of-probability/volume-28/issue-none/The-martingale-problem-method-revisited/10.1214/23-EJP902.full
  29. https://p4test21.uni-freiburg.de/en/mitarbeiter/ritter
  30. https://link.springer.com/article/10.1007/s10959-021-01107-3
  31. https://www.math.cit.tum.de/math/personen/professuren/berger/
  32. https://link.springer.com/article/10.1007/s00205-022-01793-1
  33. https://projecteuclid.org/journals/electronic-communications-in-probability/volume-26/issue-none/A-dual-YamadaWatanabe-theorem-for-Lévy-driven-stochastic-differential-equations/10.1214/21-ECP384.full
  34. http://projecteuclid.org/euclid.ejp/1611025216
  35. http://www.sciencedirect.com/science/article/abs/pii/S0304414918305738?dgcid=author
  36. http://link.springer.com/article/10.1007/s11579-020-00262-1
  37. http://www.worldscientific.com/doi/10.1142/S021902492050020X
  38. http://www.tandfonline.com/doi/full/10.1080/17442508.2019.1657430
  39. http://link.springer.com/article/10.1007/s10959-020-01012-1
  40. http://link.springer.com/article/10.1007/s10959-019-00948-3
  41. http://link.springer.com/article/10.1007/s10959-018-0814-4
  42. http://www.sciencedirect.com/science/article/pii/S0167715218303638
  43. http://www.maths.qmul.ac.uk/~kglau/
  44. http://projecteuclid.org/euclid.ejp/1545188692
  45. http://www.sciencedirect.com/science/article/pii/S0167715217303462
  46. http://www.cambridge.org/core/journals/journal-of-applied-probability/article/structurepreserving-equivalent-martingale-measures-for-sii-models/1B28060A162BE278BF59C9BAABA148CC
  47. http://www.worldscientific.com/doi/pdf/10.1142/S0219024918500024
  48. https://www.lpsm.paris/pageperso/grbac/
  49. http://www.tandfonline.com/doi/abs/10.1080/1350486X.2017.1327324
  50. https://mediatum.ub.tum.de/604993?query=david+criens&show_id=1553277&srcnodeid=604993
  51. https://p4test21.uni-freiburg.de/en/events_listing
  52. https://p4test21.uni-freiburg.de/en/news/advances-in-mathematical-finance