Humboldt University at Berlin
Department of Mathematics
Stochastics and Mathematical Finance
Homepage of DYNSTOCH Berlin

---

EU Network "Statistical Methods for Dynamical Stochastic Systems"

Publications of the Berlin Team

Some recent preprints:

• Gilsing, Hagen; Küchler, Uwe; Platen, Eckhard
  Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis (bzip2 compressed)
• Jaschke, Stephan
  The Cornish-Fisher expansion in the context of delta-gamma normal approximation (bzip2 compressed)
• Jaschke, Stephan
  Quantile-VaR is the Wrong Measure to quantify Market Risks for Regulatory Purposes (bzip2 compressed)
• Küchler, Uwe; Gushchin, Alexander
  Addendum to "Asymptotic Inference for a Linear Stochastic Differential Equations with Time Delay" (bzip2 compressed)
• Küchler, Uwe; Platen, Eckhard
  Weak discrete time approximation of stochastic differential equations with time delay (bzip2 compressed)
• Reiß, Markus
  Minimax rates for non-parametric estimation of the drift functional in affine stochastic delay equations (bzip2 compressed)
• Gushchin, A.; Küchler, U.
  On parametric statistical models for stationary solutions of affine stochastic delay differential equations   (ps.bz2)
• Dietz, H.
  Consistent delay estimation by trajectory fitting (ps)
• Dietz, H.; Kutoyants, Y.A.
  Parameter Estimation for some non-recurrent solutions of SDE (ps)
• Dietz, H.
  Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE (ps)
• Küchler, U.; Vasiliev, V.A.
  On guaranteed parameter estimation of stochastic differential equations with time delay by noisy observations,
  Discussion Paper No. 14, SFB 373 (2001)
• Buckwar, E.; Shardlow, T.
  Weak approximation of stochastic differential delay equations,
  Discussion Paper No. 88, SFB 373 (2001)
• Baker, C.; Buckwar, E.
  Exponential stability in pth-mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations,
  Discussion Paper No. 94, SFB 373 (2001)
• Riedle, M.
  Lyapunov Exponents for linear delay equations in arbitrary phase space,
  Discussion Paper No. 99, SFB 373 (2001)
• Hoffmann, M.; Gobet, E.; Reiß, M.
  Nonparametric Estimation for diffusions from low-frequency data is ill-posed,
  Forthcoming Discussion Paper, SFB 373 (2002)
• Cohen, A.; Hoffmann, M.; Reiß, M.
  Adaptive wavelet Galerkin methods for linear inverse problems,
  Forthcoming Discussion Paper, SFB 373 (2002)
• Gilsing, H.
  On stability of an affine SDDE,
  Forthcoming Discussion Paper, SFB 373 (2002)
• Gilsing, H.
  On the computation of stability regions for affine SDDE,
  Forthcoming Discussion Paper, SFB 373 (2002)
• Mercurio, D.; Spokoiny V.
  Statistical Inference for time-inhomogeneous volatility models,
  Preprint No. 583, WIAS (2000)

Some recent refereed publications:

• Buckwar, Evelyn
  Introduction to the Numerical Analysis of Stochastic Delay Differential Equations
  Journal of Computational and Applied Mathematics 125, pp.297--307, 2000.
  http://www.elsevier.com/locate/cam
• Buckwar, Evelyn; Baker, C.T.H.
  Numerical Analysis of Explicit One-step Methods for Stochastic Delay Differential Equations
  LMS-Journal of Computational Mathematics, Vol 3., pp.~315--335, 2000.
  http://www.lms.ac.uk/ (subscription necessary)
• Buckwar, Evelyn; Baker, C.T.H.
  Continuous $\Theta$-methods for the Stochastic Pantograph Equation
  Electronic Transactions on Numerical Analysis, Vol. 11, pp.~131--151, 2000.
  http://etna.mcs.kent.edu/
• Jaschke, S.; Küchler, U.
  Coherent Risk Measures, Valuation Bounds, and (mu,p)-Portfolio Optimization
  Stochastics and Finance 5(2), pp 155-180, 2001
• Küchler, U.; Platen, E.
  Strong discrete time approximation of stochastic differential equations with time delay
  Mathematics & Computer Simulation 54, pp 189-205, 2000
• Küchler, U.; Vasil’iev, V.A.
  On sequential parameter estimation for some linear stochastic differential equations with time delay
  Sequential Analysis, 20(3), p. 117-146 (2001)
• Putschke, U.
  Stochastische Funktionaldifferentialgleichungen und lokal-asymptotische Eigenschaften ihrer Parameterschätzungen,
  Dissertation, Institut für Mathematik, Humboldt-Universität zu Berlin (2001)
• Reiß, M.
  Nonparametric Estimation for stochastic delay differential equations
  Dissertation, Institut für Mathematik, Humboldt-Universität zu Berlin (2002)
• Shiryaev, V.; Spokoiny, V.
  Statistical Experiments and Decisions, Asymptotic Theory
  World Scientific Publ., London, Singapore (2000)
• Hristache, M.; Juditsky A.; Spokoiny V.
   Direct estimation of the index coefficients in a single index model,
  Ann. Stat., 29, p. 595-623 (2001)
• Hristache, M; Juditsky, A.; Polzehl, J. ; Spokoiny, V.
  Structure adaptive approach for dimension reduction,
  Ann. Stat., 29, No. 6 (2001)
• Polzehl, J.; Spokoiny, V.
   Adaptive weights smoothing with applications to image restoration,
  J. Roy. Stat. Soc. B, No. 62, p. 335-354 (2000)
• Jaschke, S.; Stehle, R.; Wernicke, S.
  Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere,
  ZfbF Jul/Aug, p. 440-468 (2000)
• Jaschke, S.; Yiang, Y.
  Approximating value at risk in conditional Gaussian models,
  In Härdle, W.; Kleinow, T.; Stahl, G: Applied Quantitative Finance, Springer, to appear

---

Last modification: 15.5.2002,  Markus Reiß