Publications

Preprints

No arbitrage and the existence of ACLMMs in general diffusion markets, with Mikhail Urusov, 2024, arXiv.
Stochastic solutions to Hamilton-Jacobi-Bellman Dirichlet problems, 2024, arXiv.
Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs, with Moritz Ritter, 2023, arXiv.
A stochastic representation theorem for sublinear semigroups with non-local generators, with Lars Niemann, 2023, arXiv.
A limit theory for controlled McKean-Vlasov SPDEs, 2023, arXiv.
Criteria for the absence of arbitrage in general diffusion markets, with Mikhail Urusov, 2023, arXiv.
Separating times for one-dimensional diffusions, with Mikhail Urusov, 2022, arXiv.

Accepted for publication

Nonlinear semimartingales and Markov processes with jumps, with Lars Niemann, to appear in Journal of Evolution Equations, arXiv.
Robust market convergence: from discrete to continuous time, to appear in SIAM Journal on Financial Mathematics, arXiv.
On the representation property for 1D general diffusion semimartingales, with Mikhail Urusov, to appear in Theory of Probability and its Applications, arXiv.

A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs, Nonlinear Differential Equations and Applications NoDEA, 31:97, 2024, article.
Markov selections and Feller properties of nonlinear diffusions, with Lars Niemann, Stochastic Processes and their Applications, 173:104354, 2024, article.
Stochastic processes under parameter uncertainty, Journal of Mathematical Analysis and Applications, 538:(2), 128388, 2024, article.
A class of multidimensional nonlinear diffusions with the Feller property, with Lars Niemann, Statistics and Probability Letters, 208:110057, 2024, article.

Nonlinear continuous semimartingales, with Lars Niemann, Electronic Journal of Probability, 28(146), 1-40, 2023, article.
On the relation of one-dimensional diffusions on natural scale and their speed measures, Journal of Theoretical Probability, 36(4), 2339-2358, 2023, article.
Robust utility maximization with nonlinear continuous semimartingales, with Lars Niemann, Mathematics and Financial Economics, 17, 499-536, 2023, article.

Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations, Journal of Statistical Physics, 190:114, 2023, article.
On the Feller-Dynkin and the martingale property of one-dimensional diffusions, Electronic Communications in Probability, 28(20), 1-15, 2023, article.
The martingale problem method revisited, with Peter Pfaffelhuber and Thorsten Schmidt, Electronic Journal of Probability, 28(19), 1-46, 2023, article.

On a theorem by A.S. Cherny for semilinear stochastic partial differential equations, with Moritz Ritter, Journal of Theoretical Probability, 35, 2052-2067, 2022, article.
A parabolic Harnack principle for balanced difference equations in random environment, with Noam Berger, Archive for Rational Mechanics and Analysis, 245(2), 899-947, 2022, article.

A dual Yamada-Watanabe theorem for Levy driven stochastic differential equations, Electronic Communications in Probability, 26(18), 1-10, 2021, article.
On absolute continuity and singularity of multidimensional diffusions, Electronic Journal of Probability, 26(12), 1-26, 2021, article.

Lyapunov criteria for the Feller-Dynkin property of martingale problems, Stochastic Processes and their Applications, 130(5), 2693-2736, 2020, article.
No arbitrage in continuous financial markets, Mathematics and Financial Economics, 14, 461-506, 2020, article.
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks, International Journal of Theoretical and Applied Finance, 23(3), 2050020, 2020, article.
On the existence of semimartingales with continuous characteristics, Stochastics, 92(5), 785-813, 2020, article.
Correction to: Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 1791-1800, 2020, article.
Limit theorem for cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 33, 866-905, 2020, article.

Cylindrical martingale problems associated with Levy generators, Journal of Theoretical Probability, 32, 1306-1359, 2019, article, correction.
Couplings for processes with independent increments, Statistics and Probability Letters, 146, 161-167, 2019, article.

Absolute continuity of semimartinges, mit Kathrin Glau, Electronic Journal of Probability, 23(125), 1-28, 2018, article.
A note on the monotone stochastic order for processes with independent increments, Statistics and Probability Letters, 135, 127-131, 2018, article.
Structure preserving equivalent martingale measures for H-SII models, Journal of Applied Probability, 55(1), 1-14, 2018, article.
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets, International Journal of Theoretical and Applied Finance, 21(1), 1850002, 2018, article.

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models, with Kathrin Glau and Zorana Grbac, Applied Mathematical Finance, 24(1), 23-37, 2017, article.