Here is a list of publications and preprints by IRTG students and their co-authors.

  • E. Emanuel Rapsch. “Decision making in stochastic extensive form I: Stochastic decision forests”. Preprint on arXiv. DOI: 10.48550/arXiv.2404.12332
  • Vladislav Cherepanov, Sebastian Ertel, Zhongmin Qian and Jiang-Lun Wu. “Random vortex dynamics and Monte-Carlo simulations for wall-bounded viscous flows”. Preprint on arXiv. DOI: 10.48550/arXiv.2403.15549
  • Ruhong Jin and Nicolas Perkowski.”Fractional stochastic Landau-Lifshitz Navier-Stokes equations in dimension $d \geq 3$: Existence and (non-)triviality”. Preprint on arXiv. DOI: 10.48550/arXiv.2403.04911
  • Likai Jiao. “Properties of the continuum seed-bank coalescent”. Preprint on arXiv. DOI: 10.48550/arXiv.2402.14149
  • Wei Huang and Weile Weng. “Towards Euclidean Quantum Field Theory”. Oberwolfach Reports, 2351: 5-8 (2023). DOI: 10.4171/OWR/2023/2351
  • Fabio Bugini, Michele Coghi and Torstein Nilssen. “Malliavin Calculus for rough stochastic differential equations”. Preprint on arXiv. DOI: 10.48550/arXiv.2402.12056
  • Robert Denkert and Ulrich Horst. “Extended mean-field games with multi-dimensional singular controls and non-linear jump impact”. Preprint on arXiv. DOI: 10.48550/arXiv.2402.09317
  • Ulrich Horst, Wei Xu and Rouyi Zhang. “Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility”. Preprint on arXiv. DOI: 10.48550/arXiv.2312.08784
  • Hannes Kern and Terry Lyons. “Flow techniques for non-geometric RDEs on manifolds”. Preprint on arXiv. DOI: 10.48550/arXiv.2310.13556
  • Christian Bayer and Simon Breneis. “Efficient option pricing in the rough Heston model using weak simulation schemes”. Preprint on arXiv. DOI: 10.48550/arXiv.2310.04146
  • Alexandra Quitmann. “A note on the monomer-dimer model”. Preprint on arXiv. DOI: 10.48550/arXiv.2309.13632
  • Dirk Becherer, Christoph Reisinger and Jonathan Tam. “Mean-field games of speedy information access with observation costs”. Preprint on arXiv. DOI: 10.48550/arXiv.2309.07877
  • Ruhong Jin and Nicolas Perkowski.”The Compact Support Property of Rough Super Brownian Motion on $\mathbb{R}^2$”. Preprint on arXiv. DOI: 10.48550/arXiv.2309.08122
  • Samuel N. Cohen, Christoph Knochenhauer and Alexander Merkel. “Optimal adaptive control with separable drift uncertainty”. Preprint on arXiv. DOI: 10.48550/arXiv.2309.07091
  • Christian Bayer and Simon Breneis. “Weak Markovian Approximations of Rough Heston”. Preprint on arXiv. DOI: 10.48550/arXiv.2309.07023
  • Wei Huang. “Scaling Limits of Stochastic Transport Equations on Manifolds”. Preprint on arXiv. DOI: 10.48550/arXiv.2308.15350
  • Purba Das, Rafał Łochowski, Toyomu Matsuda and Nicolas Perkowski. “Level crossings of fractional Brownian motion”. Preprint on arXiv. DOI: 10.48550/arXiv.2308.08274
  • Robert Denkert and Ulrich Horst. “Extended mean-field control problems with multi-dimensional singular controls”. Preprint on arXiv. DOI: 10.48550/arXiv.2308.04378
  • Jochen Blath and Dave Jacobi. “On/off super-Brownian motion: Characterization, construction and long-term behaviour”. Preprint on arXiv. DOI: 10.48550/arXiv.2307.10968
  • Florian Bechtold, Fabian A. Harang and Hannes Kern. “A multiparameter Stochastic Sewing lemma and the regularity of local times associated to Gaussian sheets”. Preprint on arXiv. DOI: 10.48550/arXiv.2307.11527
  • Sergio Brenner Miguel and Janine Steck. “Adaptive local density estimation in tomography”. Preprint on arXiv. DOI: 10.48550/arXiv.2306.15640
  • Sebastian Ertel. “Filtering of SPDEs: The Ensemble Kalman Filter and related methods”. Preprint on arXiv. DOI: 10.48550/arXiv.2306.16863
  • Nicolas Forien, Matteo Quattropani, Alexandra Quitmann and Lorenzo Taggi. “Coexistence, enhancements and short loops in random walk loop soups”. Preprint on arXiv. DOI: 10.48550/arXiv.2306.12102.
  • Likai Jiao. “Wright-Fisher diffusion with a continuum of seed-banks”. Preprint on arXiv. DOI: 10.48550/arXiv.2307.07110
  • Sascha Gaudlitz. “Non-parametric estimation of the reaction term in semi-linear SPDEs with spatial ergodicity”. Preprint on arXiv. DOI: 10.48550/arXiv.2307.05457
  • Peter Bank, Álvaro Cartea and Laura Körber. “Optimal execution and speculation with trade signals”. Preprint on arXiv. DOI: 10.48550/arXiv.2306.00621
  • Christian Bayer, Simon Breneis and Terry Lyons. “An Adaptive Algorithm for Rough Differential Equations”. Preprint on arXiv. DOI: 10.48550/arXiv.2307.12590
  • Sascha Gaudlitz and Markus Reiß. “Estimation for the reaction term in semi-linear SPDEs under small diffusivity”. Bernoulli 2023 , Vol. 29, No. 4, 3033-3058. DOI: 10.3150/22-BEJ1573
  • Jean-Dominique Deuschel, Martin Slowik and Weile Weng. “Quenched Functional CLT for Random Walks in Bounded Cyclic and Divergence-Free Random Environments”. Oberwolfach Reports, 10: 22-25 (2023). DOI: 10.14760/OWR-2023-10
  • Ulrich Horst, Dörte Kreher and Konstantins Starovoitovs. “Second-order approximation of limit order books in the single-scale regime”. Preprint on arXiv. DOI: 10.48550/arXiv.2308.00805
  • Alexandra Quitmann and Lorenzo Taggi. “Macroscopic loops in the Bose gas, Spin O(N) and related models.” Communications in Mathematical Physics (2023). DOI: 10.1007/s00220-023-04633-9
  • Christian Bayer and Simon Breneis. “Markovian approximations of stochastic Volterra equations with the fractional kernel.” Quantitative Finance, 23(1), 53-70 (2023). DOI: 10.1080/14697688.2022.2139193
  • Peter Bank and Laura Körber. “Merton’s Optimal Investment Problem with Jump Signals.” SIAM Journal on Financial Mathematics, 13(4), 1302-1325 (2022). DOI: 10.1137/21M1450161
  • Helena Kremp and Nicolas Perkowski. “Multidimensional Stochastic Differential Equations with distributional drift and Lévy noise”. Bernoulli, Volume 28, Issue 3, pages 1757-1783 in 2022. DOI: 10.3150/21-BEJ1394.
  • Nina Holden and Yizheng Yuan. “Regularity of the Schramm-Loewner Evolution: Up-to-constant variation and modulus of continuity.” Preprint on arXiv. DOI: 10.48550/arXiv.2211.15609
  • Toyomu Matsuda. “Integrated density of states of the Anderson Hamiltonian with two-dimensional white noise.” Stochastic Processes and their Applications, 153, 91-127 (2022). DOI: 10.1016/j.spa.2022.07.007
  • Weile Weng and Jean-Dominique Deuschel. “Quenched Invariance Principle.” Oberwolfach Reports, 48, 18-21 (2022). DOI: 10.4171/OWR/2022/48
  • Sebastian Ertel and Wilhelm Stannat. “Analysis of the Ensemble Kalman–Bucy Filter for correlated observation noise.” Annals of Applied Probability, 34(1B), 1072-110. DOI: 10.1214/23-AAP1985
  • Toyomu Matsuda and Willem van Zuijlen. “Anderson Hamiltonians with singular potentials.” Preprint on arXiv. DOI: 10.48550/arXiv.2211.01199
  • Jochen Blath, Matthias Hammer and Florian Nie. “The stochastic Fisher-KPP equation with seed bank and on/off branching Brownian motion”. Stoch PDE: Anal Comp, (2022). DOI: 10.1007/s40072-022-00245-x
  • Toyomu Matsuda and Nicolas Perkowski. “An extension of the stochastic sewing lemma and applications to fractional stochastic calculus.” Preprint on arXiv. DOI: 10.48550/arXiv.2206.01686.
  • Yizheng Yuan. “Topological characterisations of Loewner traces”. Indiana Univ. Math. J., 71(3):1027–1046, 2022. DOI: 10.1512/iumj.2022.71.8966
  • Alexandra Quitmann and Lorenzo Taggi. “Macroscopic loops in the $3d$ double dimer model.” Preprint on arXiv (2022). DOI: 10.48550/arXiv.2206.08284
  • Florian Nie. “The compact interface property for the stochastic heat equation with seed bank.” Electronic Communications in Probability, 27 1-15, 2022. DOI: 10.1214/22-ECP465
  • Philipp Forstner and Martin Saal. “Surface Quasi-Geostrophic Equation driven by Space-Time White Noise.” Preprint on arXiv. DOI: 10.48550/arXiv.2111.04644
  • Oleg Butkovsky, Vlad Margarint, and Yizheng Yuan. “Law of the SLE tip”. Preprint on arXiv. DOI: 10.48550/arXiv.2110.11247.
  • Yizheng Yuan. “Refined regularity of Stochastic Loewner Evolution”. Preprint on arXiv. DOI: 10.48550/arXiv.2109.12992.
  • Peter K. Friz, Huy Tran, and Yizheng Yuan. “Regularity of Stochastic Loewner Evolution in the (t, κ) plane and refined Geometric Rough Paths estimates”. Probability Theory and Related Fields, Volume 180, Issues 1-2, pages 71-112 in 2021. DOI: s00440-021-01058-0
  • Vlad Margarint, Atul Shekhar and Yizheng Yuan. “On Loewner chains driven by semimartingales and complex Bessel-type SDEs”. Preprint on arXiv. DOI: 10.48550/arXiv.2106.15429.
  • Jochen Blath, Dave Jacobi and Florian Nie. “How the interplay of dormancy and selection affects the wave of advance of an advantageous gene.” Preprint on arXiv. DOI: 10.48550/arXiv.2106.08655
  • Hannes Kern. “A stochastic reconstruction theorem.” Preprint on arXiv. DOI: 10.48550/arXiv.2107.03867