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Diffusion control games | Department of Mathematics
www.cityu.edu.hk
Feb 23, — Stefan Ankirchner received his Ph.D. from Humboldt University, Berlin, Germany, in He was a Chapman Fellow at the Imperial College, ... › news-events › diffusion-con...
EPSRC Workshop: Topics in Control - University of Warwick
warwick.ac.uk
Stefan Ankirchner (HCM, Bonn, Germany) talk · Nick Bingham (Imperial College, UK) talk · Jochen Broecker (Max Planck Institute, Dresden, Germany) talk. › maths › research › events › tic
Functional Limit Theorems for Irregular Stochastic Processes
aims.edu.gh
Apr 22, — Dr. Stefan Ankirchner (Professor of Stochastic Analysis, Institute of Mathematics, Friedrich-Schiller-University, Germany). › event › functional-limit-theorems-...
Telephone & Addresses
Utility duality under additional information: conditional measures...
ideas.repec.org
Stefan Ankirchner & Steffen Dereich & Peter Imkeller, "The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders," SFB 649
Credit risk premia and quadratic BSDEs with a single jump
ideas.repec.org
Author Info. Stefan Ankirchner. (Institut fur Angewandte Mathematik). Christophette Blanchet-Scalliet. (ICJ). Anne Eyraud-Loisel. (SAF). Registered author(s): ...
Network Profiles
LinkedIn: Stefan Ankirchner | LinkedIn
Stefan Ankirchners berufliches Profil anzeigen LinkedIn ist das weltweit größte professionelle Netzwerk, das Fach- und Führungskräften wie Stefan Ankirchner ...
CRC 701: Spectral Structures and Topological Methods in Mathematics
sfb701.math.uni-bielefeld.de
Homepage of the Collaborative Research Centre 701
Business Profiles
Researchgate: Stefan Ankirchner
Bonn, Nordrhein-Westfalen, Germany
Employees
Prof. Dr. Stefan Ankirchner
www.stochastik.uni-jena.de
Stochastik, Wahrscheinlichkeitstheorie, Stochastische Analysis, Mathematische Statistik
Beijing International Center for Mathematical Research
www.proba.jussieu.fr
15:00—15:50 Stefan Ankirchner. 16:00—16:20 Tea break. 16:20—16:50 Sébastien Choukroun. 16:50—17:40 Monique Pontier. 18:30. Banquet. Friday June 28.
Title and abstract - Université Claude Bernard Lyon 1
isfaserveur.univ-lyon1.fr
Stefan Ankirchner (Universitat Bonn). Hedging forward positions: basis risk versus liquidity costs. Consider an agent with a forward position of an illiquid asset ...
Awards
Prof. Dr. Stefan Ankirchner spricht beim Schülertag für Mathematik ...
www.abitur-und-studium.de
› ...
Books & Literature
Arbitrage, Credit And Informational Risks
books.google.com
... Stefan Ankirchner, Universität Bonn, Giuseppe Benedetti, Université Paris Dauphine, Christophette Blanchet-Scalliet, Ecole Centrale de Lyon, Lijun Bo, ...
Decoupling on the Wiener Space, Related Besov Spaces, and ...
books.google.com
MR [2] Stefan Ankirchner, Peter Imkeller, and Gonçalo Dos Reis, Classical and variational differentiability of BSDEs with quadratic growth, Electron.
Seminar on Stochastic Analysis, Random Fields and ...
books.google.com
Stochastic Methods in Financial Models Hedging with Residual Risk: A BSDE Approach Stefan Ankirchner and Stochastic Methods in Financial Models.
Stochastic Processes and Applications to Mathematical ...
books.google.com
Stefan Ankirchner and Peter Imkeller Institut f ̈ur Mathematik, Humboldt-Universit ̈at zu Berlin, Unter den Linden 6, Berlin, Germany We review a ...
Related Documents
Abstracts for the talks - MPI MIS
www.mis.mpg.de
Nov 22, — Stefan Ankirchner FSU Jena Optimal Stopping with expectation constraints. We discuss several methods for solving stopping problems with ... › calendar › conferences › msw
Finite utility on financial markets with asymmetric information ...
daneshyari.com
Stefan Ankirchner, Peter Imkeller. *. Institut für Mathematik, Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, Germany. › article › preview
Futures Cross-hedging with a Stationary Basis
www.mathematik.hu-berlin.de
by S Ankirchner · Cited by 22 — Stefan Ankirchner. Georgi Dimitroff. Gregor Heyne. Christian Pigorsch∗. When managing risk, frequently only imperfect hedging instruments are at hand. › ~heyne
[ ] BSDEs with singular terminal condition and control...
arxiv.org
Authors: Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse. (Submitted on 28 May (v1), last revised 3 Jun (this version, v2)). Abstract: We ...
Scientific Publications
WWU - Institut für Mathematische Stochastik
www.uni-muenster.de
joint work with Stefan Ankirchner and Peter Imkeller in Séminaire de Probabilités XL (ed. Catherine Donati-Martin, Michel Émery, Alain Rouault, ... › dereich › Publikationen
Vol. 43, No. 3, Sep., of Journal of Applied Probability on ...
www.jstor.org
Monotone Utility Convergence. Monotone Utility Convergence (pp ). Stefan Ankirchner. https://www.jstor.org/stable Download. › stable
DMV Jahrestagung TU Chemnitz
www.tu-chemnitz.de
... Sec12: Stochastics, Statistics and Financial Mathematics: Stefan Ankirchner (Jena), Martin Keller-Ressel (Dresden) and Alois Pichler (Chemnitz) › dmv2020 › sections
Publications
Optimal liquidation with additional information - CORE
core.ac.uk
by S Ankirchner · Cited by 8 — Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. To cite this version: Stefan Ankirchner, Christophette ... › download › pdf
Long Term Average Cost Control Problems Without Ergodicity
link.springer.com
by S Ankirchner · — Stefan Ankirchner. University of Edinburgh, Edinburgh, UK. Stefan Engelhardt. Authors. Stefan Ankirchner. View author publications. › article
Stopping with expectation constraints: 3 points suffice - scanR
scanr.enseignementsup-recherche.gouv.fr
Type · Stefan Ankirchner · Nabil Kazi-Tani · Maike Klein · Thomas Kruse. › hal
Optimal Cross Hedging of Insurance Derivatives - COREcore.ac.uk › MUCC (Crossref)
core.ac.uk
Optimal Cross Hedging of Insurance Derivatives. By Stefan Ankirchner, Peter Imkeller and Alexandre Popier. Cite. BibTex; Full citation. No static citation data.
Reports & Statements
Program - MPI MIS
www.mis.mpg.de
22 Nov — 16: :00, Stefan Ankirchner (FSU Jena) Optimal Stopping with expectation constraints. abstract. 17: :30, Joscha Diehl (MPI MIS) › calendar › conferences › msw
Miscellaneous
Festkolloquium: Föllmer & Imkeller - Google Sites
sites.google.com
Stefan Ankirchner. Peter Bank. Jean-Dominique Deuschel. Ulrich Horst. Ilya Pavlyukevich. Nicolas Perkowski. David Prömel. › colloquium-foellmer-imkeller
Option Pricing. Chapter 9 - Barrier Options - Stefan Ankirchner ...
docplayer.net
› Option-pricing-chapter...
A general version of the fundamental theorem of asset pricing.
eudml.org
by F Delbaen · · Cited by — Citations in EuDML Documents · Stefan Ankirchner, Peter Imkeller, Finite utility on financial markets with asymmetric information and structure properties of the ... › doc
AMS :: Proceedings of the American Mathematical Society
www.ams.org
by E Bayraktar · — Stefan Ankirchner and Philipp Strack, Skorokhod embeddings in bounded time, Stoch. Dyn. 11 (2011), no. 2-3, 215–226. › proc
Approximating stochastic gradient descent with diffusions
hal.archives-ouvertes.fr
by S Ankirchner · · Cited by 1 — Stefan Ankirchner, Stefan Perko. Approximating stochastic gradient descent with diffusions: error expansions and impact of learning rate schedules by S Ankirchner · · Cited by 14 — Contributeur : Stefan Ankirchner Connectez-vous pour contacter le contributeur ... Stefan Ankirchner, Thomas Kruse, Mikhail Urusov. › hal › hal
Articles citing this article - ESAIM: Probability and Statistics
www.esaim-ps.org
Stefan Ankirchner, Thomas Kruse and Mikhail Urusov Journal of Mathematical Analysis and Applications 493 (2) (2021) DOI: j.jmaa › component › citedby
Finite utility on financial markets with asymmetric OPUS 4
opus4.kobv.de
by S Ankirchner · · Cited by 1 — Stefan Ankirchner, Peter Imkeller. We consider financial markets with two kinds of small traders: regular traders who perceive the asset price process S ... › index › index › docId
Finite, integrable and bounded time embeddings for diffusions
projecteuclid.org
by S Ankirchner · · Cited by 27 — Stefan Ankirchner. David Hobson. Philipp Strack. "Finite, integrable and bounded time embeddings for diffusions." Bernoulli 21 (2) , ... by S Ankirchner · · Cited by 6 — Stefan Ankirchner. Nabil Kazi-Tani. Maike Klein. Thomas Kruse. "Stopping with expectation constraints: 3 points suffice." Electron. J. Probab. › bernoulli › issue-2 › 14-BEJ598 › issue-none › 19-EJP309
Futures Cross-Hedging with a Stationary Basis
www.cambridge.org
by S Ankirchner · · Cited by 22 — Futures Cross-Hedging with a Stationary Basis. Published online by Cambridge University Press: 26 October Stefan Ankirchner ,. Georgi Dimitroff ,. › core › journals › article › fu...
International Seminar on SDEs and Related Topics
users.jyu.fi
Stefan Ankirchner (FSU Jena, Germany); Christian Bender (Saarland University, Germany); Rainer Buckdahn (Universite de Bretagne Occidentale, France) ... › ~chgeiss
JEL C11 - DefaultRisk.com
www.defaultrisk.com
by Stefan Ankirchner of the Universtät Bonn, Christophette Blanchet-Scalliet of the Université de Lyon, and. Anne Eyraud-Loisel of the Université Lyon 1 › jel_c11
Laboratoire de Mathématiques et Modélisation d'Evry
www.maths.univ-evry.fr
Prior to coming to France, I was a Ph.D. student at the University of Bonn in the team of Prof. Stefan Ankirchner and a member of Bonn International ... › pages_perso › tkruse
Large ranking games with diffusion control - HAL-Inria
hal.inria.fr
by S Ankirchner · · Cited by 2 — Stefan Ankirchner 1 Nabil Kazi-Tani 2 Julian Wendt 1 Chao Zhou 3. Détails. 1 Friedrich-Schiller-Universität = Friedrich Schiller University Jena [Jena, ... › hal
Long term average cost control problems without ergodicity
www.research.ed.ac.uk
Stefan Ankirchner, Stefan Engelhardt. Research output: Contribution to journal › Article › peer-review. Overview · Fingerprint ... › fingerprints
Numerical approximation of irregular SDEs via Skorokhod ...
www.maths.ox.ac.uk
Apr 3, — Stefan Ankirchner. Organisation. Friedrich-Schiller-Universität Jena. We provide a new algorithm for approximating the law of a ... › node
Persons: Urusov, Mikhail Aleksandrovich - MathNet.Ru
www.mathnet.ru
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov, “Numerical approximation of irregular SDEs via Skorokhod embeddings”, J. Math. Anal. Appl., 440:2 (2016), ... › eng › person9084
Stochastic processes - numerical methods and related topics
viasm.edu.vn
Stefan Ankirchner, GS. Nguyễn Hữu Dư, TS. Ngô Hoàng Long. Purpose: The workshop aims at bringing together several research groups from Asia and Europe. › hdkh › sp1016-e
Properties of the EMCEL scheme for Papers With Code
paperswithcode.com
21 Apr · Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr, Mikhail Urusov · Edit social preview. We prove several properties of the EMCEL scheme, ... › paper › properties-of-the-e...
London-Paris Bachelier Workshop on Mathematical Finance - Séminaire...
sites.google.com
Talk 1: Stefan Ankirchner (Iena University), A generalized Donsker theorem and approximating SDEs with irregular coefficients; Talk 2: Dorje Brody (Brunel ...
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