46 citations · 69 across the 11 of their papers we have counts for
8 papers · 1 filter
Properties of the EMCEL scheme for approximating irregular diffusions
Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr +1
We prove several properties of the EMCEL scheme, which is capable of approximating one-dimensional continuous strong Markov processes in distribution on the path space (the scheme…
Wasserstein convergence rates for random bit approximations of continuous Markov processes
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov
We determine the convergence speed of a numerical scheme for approximating one-dimensional continuous strong Markov processes. The scheme is based on the construction of coin tossi…
A functional limit theorem for coin tossing Markov chains
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov
We prove a functional limit theorem for Markov chains that, in each step, move up or down by a possibly state dependent constant with probability , respectively. The theorem e…
The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
A functional limit theorem for irregular SDEs
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov
Let be a sequence of i.i.d. real-valued random variables with mean zero, and consider the scaled random walk of the form $Y^N_{k+1} = Y^N_{k} + a_N(Y^N_k) X_{k+1…
Finite, integrable and bounded time embeddings for diffusions
Stefan Ankirchner, David Hobson, Philipp Strack
We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion : given a distribution , we construct a stopping time such that the stopped proces…
On measure solutions of backward stochastic differential equations
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE wil…
Classical and Variational Differentiability of BSDEs with quadratic growth
Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the t…