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Preprints / Publications

Publications:

 

Articles and Preprints

  • [22] On the Boundary Behaviour of Lévy Type Processes (with Paul Krühner). work in progress.
  • [21] Ordinal Patterns for Long Range Dependent Time Series (with H. Dehling, J. Buchsteiner, J. Woerner). preprint.  
  • [20] Markov Copulae (with Jian Wang). preprint. 
  • [19] Ordinal Patterns in Clusters of Extremes of Regularly Varying Time Series (with Marco Oesting). preprint.
  • [18] The Fourth Characteristic of a Semimartingale. submitted. 
  • [17] Laplace Symbols and Invariant Distributions (with Anita Behme). Stat. Prob. Lett. 137 (2018), 217-223, pdf
  • [15] Time Change Equations for Lévy Type Processes (with Paul Krühner). Stoch. Proc. Appl. 128(3) (2018), 963-978.
  • [16] Ordinal Pattern Dependence Between Hydrological Time Series (with Andreas Schumann and Svenja Fischer). Journal of Hydrology 548 (2017) 536-551. 
  • [15] Ordinal Pattern Dependence in Contrast to Other Concepts of Dependence (with Ines Münker). To appear in Proceedings of the ISI World Congress 2017
  • [14] Criteria for the Finiteness of the $p$-Variation (with Martynas Manstavicius). Stochastic Anal. Appl. 35(5) (2017), 873-899, pdf.
  • [13] Testing for Structural Breaks via Ordinal Pattern Dependence (with Herold Dehling). JASA 112(518) (2017), 706-720. online.
  • [12] Comparison of time-inhomogeneous Markov processes (with Ludger Rüschendorf and Viktor Wolf). Adv. Appl. Prob. 48 (2016), 1015–1044.
  • [11] A Criterion for Invariant Measures of Itô Processes Based on the Symbol (with Anita Behme). Bernoulli 21(3) (2015), 1697-1718, pdf
  • [10] An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series. Stat. Papers 55(4) (2014), 919-931, pdf.
  • [9] Generalization of the Blumenthal-Getoor Index to the Class of Homogeneous Diffusions With Jumps and Some Applications. Bernoulli 19(5A) (2013), 2010-2032. pdf.
  • [8] COGARCH: Symbol, Generator and Characteristics. Rendiconti del Seminario Matematico 71(2) (2013), 251-260.
  • [7] On Deterministic Markov Processes: Expandability and Related Topics. Markov Process. Related Fields 19 (2013), 693-720. pdf.
  • [6] On the Semimartingale Nature of Feller Processes with Killing. Stoch. Proc. Appl122 (2012), 2758-2780. pdf.
  • [5] SDEs Driven by SDE Solutions. Univ. J. Math. and Math. Sci. 1(2) (2012), 83-105. pdf.
  • [4] Well-balanced Levy Driven Ornstein-Uhlenbeck Processes (with Jeannette Woerner). Statistics & Risk Modeling 28 (2011), 343–357. pdf.
  • [3] A Classification of Deterministic Hunt Processes With Some Applications. Markov Process. Related Fields. 17(2) (2011), 259-276. pdf.
  • [2] The Euler Scheme for Feller Processes (with Björn Böttcher). Stochastic Anal. Appl. 29(6) (2011), 1045-1056. pdf.
  • [1] The Symbol Associated With the Solution of a Stochastic Differential Equation (with Rene Schilling). Electr. J. Probab. 15 (2010), 1369-1393. pdf.
 

Theses

  • Stochastic Analysis and Modelling Beyond Lévy Processes: Generalized Indices and Their Relationship to Path Properties, written part of the habilitation, TU Dortmund, 2014 (Woerner/Lindner/Rosinski).
  • The Symbol of a Markov Semimartingale. PhD thesis (Shaker Verlag, Aachen),  TU Dresden, 2009 (Schilling/Nollau/Jacob).  
  • Zeitreihen und hilbertsche Zerlegungen ihrer Prozesskerne.  Staatsexamensarbeit, Uni Marburg, Dez 2005 (Portenier/Gromes).

Referee

  • Transactions of the AMS
  • Annals of Applied Probability
  • Stochastic Processes and Their Applications
  • Bernoulli
  • Journal of Theoretical Probability
  • Markov Processes and Related Fields
  • Statistics and Probability Letters
  • Journal of Mathematical Analysis and Applications
  • Scandinavian Journal of Statistics
  • Canadian Journal of Statistics
  • Computational Statistics and Data Analysis
  • Journal of Econometrics
  • Zentralblatt MATH