18 Treffer für Schlagwort = "Stochastik"

• Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility Belomestny, Denis ; Panov, Vladimir [Dortmund] : SFB 823, 2011

• Approximation and error analysis of forward-backward SDEs driven by general Lévy processes using shot noise series representations Massing, Till Philipp Georg [Dortmund] : SFB 823, 2021

• Efficiency gains in structural vector autoregressions by selecting informative higher-order moment conditions Keweloh, Sascha Alexander ; Hetzenecker, Stephan Johannes [Dortmund] : SFB 823, 2021

• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps Bibinger, Markus ; Vetter, Mathias [Dortmund] : SFB 823, May 14, 2013

• K-sign depth: from asymptotics to efficient implementation Malcherczyk, Dennis ; Leckey, Kevin ; Müller, Christine H. Dortmund : Universitätsbibliothek Dortmund, 2020

• Natural (non-)informative priors for skew-symmetric distributions Dette, Holger ; Ley, Christophe ; Rubio, Francisco J. Dortmund : Universitätsbibliothek Dortmund, [2016]

• A new approach for open-end sequential change point monitoring Gösmann, Josua ; Kley, Tobias ; Dette, Holger Dortmund : Universitätsbibliothek Dortmund, [June 2019]

• On an integral equation for the free boundary of stochastic, irreversible investment problems Ferrari, Giorgio Bielefeld : IMW - Bielefeld University, November 2012

• Optimal dividend payout under stochastic discounting Bandini, Elena ; De Angelis, Tiziano ; Ferrari, Giorgio ; Gozzi, Fausto Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, May 2020

• Optimal dividends under Markov-modulated bankruptcy level Ferrari, Giorgio ; Schuhmann, Patrick ; Zhu, Shihao Bielefeld : Center for Mathematical Economics (IMW), Bielefeld University, November 2021

• Optimal execution with multiplicative price impact and incomplete information on the return Dammann, Felix ; Ferrari, Giorgio Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, February 2022

• Powerful generalized sign tests based on sign depth Leckey, Kevin ; Malcherczyk, Dennis ; Müller, Christine H. Dortmund : Universitätsbibliothek Dortmund, 2020

• Relevant change points in high dimensional time series Dette, Holger ; Gösmann, Josua Dortmund : Universitätsbibliothek Dortmund, 2017

• Singular control of the drift of a Brownian system Federico, Salvatore ; Ferrari, Giorgio ; Schuhmann, Patrick Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, May 2020

• Taming the spread of an epidemic by lockdown policies Federico, Salvatore ; Ferrari, Giorgio Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, July 2020

• Testing for change in stochastic volatility with long range dependence Betken, Annika ; Kulik, Rafal Dortmund : Universitätsbibliothek Dortmund, November 6, 2016

• Unreplicated fractional factorials, analysis with the half-normal plot and randomization of the run order Kunert, Joachim ; Wilk, Adrian [Dortmund] : SFB 823, 2011

• Viability and arbitrage under Knightian Uncertainty Burzoni, M. ; Riedel, Frank ; Soner, Halil Mete Bielefeld : Center for Mathematical Economics (IMW), July 2017