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Publications in Statistics

Asymptotic Inference for a Linear Stochastic Differential Equation With Time Delay

English

Partition Structures Derived From Brownian Motion and Stable Subordinators

English

Efficient Estimation in the Bivariate Normal Copula Model: Normal Margins Are Least Favourable

English

Applications of the Van Trees Inequality: A Bayesian Cramér-Rao Bound

English

Valuation of Default-Sensitive Claims Under Imperfect Information

Finance and Stochastics

English

A Note on the Existence of Unique Equivalent Martingale Measures in a Markovian Setting

Finance and Stochastics

English

Risk Aversion and the Dynamics of Optimal Liquidation Strategies in Illiquid Markets

Finance and Stochastics

English

Inf-Convolution of Risk Measures and Optimal Risk Transfer

Finance and Stochastics

English

The Variance-Optimal Martingale Measure for Continuous Processes

English

Large Deviations and Variational Theorems for Marginal Problems

English