Stefan Ankirchner

Available identifiers

zbMath Open ankirchner.stefanMaRDI QIDQ253107

List of research outcomes

Publication	Date of Publication	Type
Long term average cost control problems without ergodicity	2022-09-23	Paper
A transformation method to study the solvability of fully coupled FBSDEs	2022-07-08	Paper
First passage time density of an Ornstein–Uhlenbeck process with broken drift	2022-04-22	Paper
Properties of the EMCEL scheme for approximating irregular diffusions	2022-01-21	Paper
Gambling for resurrection and the heat equation on a triangle	2021-10-19	Paper
A functional limit theorem for coin tossing Markov chains	2021-06-03	Paper
The Skorokhod embedding problem for inhomogeneous diffusions	2021-02-15	Paper
Wasserstein convergence rates for random bit approximations of continuous Markov processes	2020-10-28	Paper
Bayesian sequential testing with expectation constraints	2020-10-16	Paper
Optimal position targeting via decoupling fields	2020-08-17	Paper
Last minute panic in zero sum games	2020-04-29	Paper
Stopping with expectation constraints: 3 points suffice	2019-08-06	Paper
The De Vylder–Goovaerts conjecture holds within the diffusion limit	2019-07-31	Paper
A verification theorem for optimal stopping problems with expectation constraints	2019-03-27	Paper
Erratum to: ``A verification theorem for optimal stopping problems with expectation constraints	2019-03-27	Paper
Cross-hedging minimum return guarantees: basis and liquidity risks	2018-11-01	Paper
Optimal Control of Diffusion Coefficients via Decoupling Fields	2018-08-16	Paper
Controlling the occupation time of an exponential martingale	2017-11-17	Paper
A functional limit theorem for irregular SDEs	2017-09-15	Paper
WLLN for arrays of nonnegative random variables	2017-01-16	Paper
Numerical approximation of irregular SDEs via Skorokhod embeddings	2016-05-30	Paper
Optimal portfolio liquidation with additional information	2016-03-08	Paper
Finite, integrable and bounded time embeddings for diffusions	2015-06-15	Paper
Optimal position targeting with stochastic linear-quadratic costs	2015-04-08	Paper
ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO	2015-01-21	Paper
BSDEs with Singular Terminal Condition and a Control Problem with Constraints	2014-07-30	Paper
Optimal trade execution under price-sensitive risk preferences	2014-02-20	Paper
Hedging Forward Positions: Basis Risk Versus Liquidity Costs	2014-01-23	Paper
Cross hedging with stochastic correlation	2012-11-15	Paper
Hedging with Residual Risk: A BSDE Approach	2012-08-24	Paper
Multiperiod mean-variance portfolio optimization via market cloning	2011-11-23	Paper
SKOROKHOD EMBEDDINGS IN BOUNDED TIME	2011-10-11	Paper
Initial enlargement of filtrations and entropy of Poisson compensators	2011-03-31	Paper
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP	2011-01-13	Paper
https://portal.mardi4nfdi.de/entity/Q3562499	2010-05-21	Paper
PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS	2010-04-22	Paper
On measure solutions of backward stochastic differential equations	2009-09-17	Paper
On filtration enlargements and purely discontinuous martingales	2008-09-29	Paper
A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT	2008-08-26	Paper
Optimal Cross Hedging of Insurance Derivatives	2008-08-07	Paper
https://portal.mardi4nfdi.de/entity/Q3504634	2008-06-11	Paper
Classical and variational differentiability of BSDEs with quadratic growth	2007-11-23	Paper
Enlargement of Filtrations and Continuous Girsanov-Type Embeddings	2007-10-31	Paper
Monotone utility convergence	2007-08-23	Paper
Metrics on the set of semimartingale filtrations	2006-09-04	Paper
The Shannon information of filtrations and the additional logarithmic utility of insiders	2006-07-26	Paper
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics	2005-08-04	Paper

Research outcomes over time

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