17 citations · 37 across the 22 of their papers we have counts for
6 papers · 1 filter
The Martingale Problem Method Revisited
David Criens, Peter Pfaffelhuber, Thorsten Schmidt
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is n…
Ruin Probabilities for a Sparre Andersen Model with Investments
Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested…
Infinite dimensional affine processes
Thorsten Schmidt, Stefan Tappe, Weijun Yu
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of R…
Time-inhomogeneous polynomial processes
María Fernanda del Carmen Agoitia Hurtado, Thorsten Schmidt
Time homogeneous polynomial processes are Markov processes whose moments can be calculated easily through matrix exponentials. In this work, we develop a notion of time inhomogeneo…
Affine processes under parameter uncertainty
Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters f…
Affine processes beyond stochastic continuity
Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predic…