Arbeitsgruppenseminar - Prof. Dr. Peter Imkeller

Das Arbeitsgruppenseminar findet nicht mehr statt.

Wintersemester 2014/2015

12.02.André de Oliveira GomesThe First Exit Time Problem for Exponentially Light Tailed Jump Diffusions in Rd (canceled)
29.01.Ania AksamitNo arbitrage in progressive enlargement of filtration setting
16.01.David Prömel, Mathias TrabsRough differential equations on Besov spaces
15.01.André de Oliveira GomesAsymptotics and Large Deviations for FBSDEs with Jumps
20.11.Prof. Aleksei ChechkinAlpha-Stable Lévy Processes from the Physicist's Point of View

Sommersemester 2014

17.07.Neda EsmaeeliRBSDEs and American Contingent Claims with Additional Information for the Buyer
17.07.Elias OffenReflected backward stochastic differential equations with general jumps when obstacle is a LCRL process
24.06.Miryana GrigorovaChoquet integrals and risk measures
19.06.Conall KellyStochastic systems with nonnormal drift
15.05.Toralf BurghoffSpectral Properties of Metastable Levy-driven Dynamical Systems
08.05.Victor FeunouOptimal portfolios for utility functions defined on the positive real line

Wintersemester 2013/2014

14.02.Torsten WetzelLDPs für Lévyprozesse, für bedingte Lévyprozesse sowie für Austrittspfade dynamischer Systeme
08.01.Konstantin MeissnerExpected Utility Maximization Under Dynamic Risk Constrains
18.12.Jan GairingExponential growth rates of Lévy systems: towards a Furstenberg-Khasminskii formula
04.12.Konstantin MeissnerExpected Utility Maximization Under Dynamic Risk Constrains
13.11.David PrömelPathwise stochastic integration for model free finance

Sommersemester 2013

30.05.Jan GairingIntroduction to Martin Hairer's recent work, the theory of regularity structures (5th talk)
10.05.Paul GassiatIntroduction to Martin Hairer's recent work, the theory of regularity structures (4th talk)
02.05.Torstein NilssenIntroduction to Martin Hairer's recent work, the theory of regularity structures (3rd talk)
24.04.Yiqing LinA new result for second order BSDEs with quadratic growth and its applications
17.04.Joscha DiehlIntroduction to Martin Hairer's recent work, the theory of regularity structures (2nd talk)
11.04.Jan GairingIntroduction to Martin Hairer's recent work, the theory of regularity structures (1st talk)

Wintersemester 2012/2013

07.02.David Johannes PrömelOn pathwise integration in model free finance
31.01.Nicolas PerkowskiRough paths, controlled distributions, and nonlinear SPDEs
24.01.Torstein Kastberg NilssenConstruction of Strong Solutions of SDE’s with Discontinuous Drift
20.12.Anthony RéveillacBSDEs with weak terminal condition
22.11.Jianing ZhangFully-coupled FBSDEs via convex compactness
08.11.Moritz KaltofenErweiterungen des Itô'schen Integralbegriffs
01.11.Alexander FrommGlobal Existence of Decoupling Fields

Sommersemester 2012

11.06.Niklas WillrichSolutions of martingale problems for Lévy-type operators with discontinuous parameters and existence of weak solutions for associated stochastic differential equations
14.05.Jan GairingTipping and bifurcation - parameter sensitivity and early warning signals in climate dynamical systems
23.04.David Johannes PrömelMinimal supersolutions of non-markovian BSDEs

Wintersemester 2011/2012

15.12.Feunou Victor NzengangA BSDE comparison principle approach to the exponential and power utility maximization problem

Sommersemester 2011

17.06.Dominic ArnoldWeighted quadratic variation process of the fractional Brownian sheet
27.05.Moritz KaltofenExtentions of the Itô-Integral: Comparison of Kuo- and Skorokhod-Integral
06.05.Philipp SteinbergUtility maximization in an incomplete financial market model

Wintersemester 2010/2011

17.02.Anna MelchiorParameter Estimation of a Diffusion Driven by a Symmetric alpha Stable Levy Process
03.02.Anne FischerCompound Poisson Approximation for Subdiffusions
27.01.Niklas WillrichExistence of solutions for an SDE with discontinuous coefficients driven by symmetric stable processes
13.01.Nicolas PerkowskiA Homogenized Particle Filter
16.12.Andreas AndresenLarge Deviations for Hilbert Space Wiener Processes: A Sequence Space Approach
09.12.Jean-Louis MarchandConditioning diffusions with respect to partial observations
02.12.Jan GairingSpeed of convergence of discrete power variations of jump diffusions - with applications to parameter fitting
11.11.Martin Riedler Topics in Piecewise Deterministic Markov Processes with Applications to Neuron Models

Sommersemester 2010

14.07.David Prömel A Short proof of Cramér's theorem in R
18.06.Christian Hinze
21.05.Torsten Wetzel

Wintersemester 2009/10

26.02. Stefan Geisendorf First exit times of solutions of stochastic differential equations driven by an alpha-stable process
11.02. Alexander Fromm Measure Solutions of BSDEs with quadratic generators
04.02. Katrin Eichmann The Optimal Liquidation Problem or Smoothing a Stochastic Bang-Bang Solution
21.01. Jan Gairing Power Variation of alpha-stable Lévy Processes - and application to paleoclimatic modelling
10.12. Nicolas Perkowski Large Deviations for Infinite Dimensional Stochastic Dynamical Systems
03.12. Asgar Jamneshan Enlargements of filtrations in discrete settings
19.11. André Beinrucker An Extension of Itô's Formula for Hypoelliptic Diffusion Processes
05.11. Jianing Zhang Recovering a Feynman-Kac formula via measure solutions of BSDEs

Sommersemester 2009

06.04. Martin Pollrich Utility Maximization in incomplete Markets

Wintersemester 2008/09

09.02. Dörte Kreher Superhedging of portfolio-valued claims in illiquid markets under portfolio constraints
02.02. Gregor Heyne Cross hedging with stochastic correlation
05.01. Michael Stauch Dynamical systems on Rd perturbed by Lévy-noises
15.12. Matthias Ritter An introduction to weather derivatives
15.12. Anaïce Saalmann Weather derivatives in an extended temperature model
08.12. Gonçalo dos Reis A discussion on numerical methods for BSDEs with quadratic growth
17.11. Anthony Réveillac Asymptotic behavior of Hermite variations of the fractional Brownian motion and construction of weak Stratonovich integrals for some fractional Brownian motions
10.11. Adam Andersson On weak differentiability of quadratic non-degenerate FBSDEs with application to cross hedging
03.11. Silvia Volkwardt Why is the northern hemisphere somewhat warmer than the southern hemisphere?

Sommersemester 2008

26.06. Gregor Heyne A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift

Wintersemester 2007/08

22.02. Claudia Hein Limit theorems for power variations of stable Lévy processes
22.02. Gonçalo dos Reis Pricing and hedging of derivatives based on non-tradable underlyings
08.02. Jakub Zwierz Entropy of filtrations for jump processes
14.12. Michael Högele First exit times for a SPDE in climate modelling
30.11. Sophie Pénisson Euler approximations of Lévy-noise driven linear SDEs and exit times
23.11. Torsten Wetzel Austrittszeiten für dynamische Systheme mit Lévy'schem Rauschen
16.11. Gonçalo dos Reis Jump processes, representations and Pure jump BSDEs