Juniorprofessor für Mathematische Stochastik
Parameter estimation for SPDEs based on discrete observations in time and space
arXiv: 1910.01004 (with Florian Hildebrandt)
Paracontrolled distribution approach to stochastic Volterra equations
arXiv: 1812.05456 (with David J. Prömel)
You may download preprint versions (arXiv), for the final versions please consult the journals.
On central limit theorems for power variations of the solution to the stochastic heat equation
Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics, 294, 69–84, 2019 (with Markus Bibinger)
Volatility estimation for stochastic PDEs using high-frequency observations
Stochastic Processes and their Applications, in press, DOI 10.1016/j.spa.2019.09.002 (with Markus Bibinger)
Profiting from correlations: Adjusted estimators for categorial data
Applied Stochastic Models in Business and Industry, 35 (4), 1090–1102, 2019 (with Tobias Niebuhr)
Sparse covariance matrix estimation in high-dimensional deconvolution
Bernoulli, 25 (3), 1901–1938, 2019 (with Denis Belomestny and Alexandre B. Tsybakov).
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 54 (3), 1583–1621, 2018 (with Denis Belomestny).
Bayesian inverse problems with unknown operators
Inverse problems, 34 (8), 085001, 2018.
Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
ESAIM: Probability and Statistics, 20, 432–462, 2016 (with Jakob Söhl).
Spectral estimation for diffusions with random sampling times
Stochastic Processes and their Applications, 126 (10), 2976–3008, 2016 (with Jakub Chorowski).
Rough differential equations driven by signals in Besov spaces
Journal of Differential Equations, 260 (6), 5202–5249, 2016 (with David J. Prömel).
High-frequency Donsker theorems for Lévy measures
Probability Theory and Related Fields, 164(1), 61-108, 2016 (with Richard Nickl, Jakob Söhl and Markus Reiß).
Adaptive quantile estimation in deconvolution with unknown error distribution
Bernoulli, 22 (1), 143-192, 2016 (with Itai Dattner and Markus Reiß).
Information bounds for inverse problems with application to deconvolution and Lévy models
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 51(4), 1620-1650, 2015.
Quantile estimation for Lévy measures
Stochastic Processes and their Applications, 125(9), 3484–3521, 2015.
Option calibration of exponential Lévy models: Confidence intervals and empirical results
Journal of Computational Finance, 18(2), 91-119, 2014 (with Jakob Söhl).
See also: Documentation of the implementation in R.
On infinitely divisible distributions with polynomially decaying characteristic functions
Statistics & Probability Letters, 94, 56-62, 2014.
Calibration of self-decomposable Lévy models
Bernoulli, 20(1), 109–140, 2014.
A uniform central limit theorem and efficiency for deconvolution estimators
Electronic Journal of Statistics, 6, 2486-2518, 2012 (with Jakob Söhl).