193 citations · 630 across the 38 of their papers we have counts for
39 papers
Real-world models for multiple term structures: a unifying HJM semimartingale framework
Claudio Fontana, Eckhard Platen, Stefan Tappe
We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach un…
Linear estimators for Gaussian random variables in Hilbert spaces
Stefan Tappe
We study a statistical model for infinite dimensional Gaussian random variables with unknown parameters. For this model we derive linear estimators for the mean and the variance of…
Invariant cones for jump-diffusions in infinite dimensions
Stefan Tappe
In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and cl…
Distance between closed sets and the solutions to stochastic partial differential equations
Toshiyuki Nakayama, Stefan Tappe
The goal of this paper is to clarify when the solutions to stochastic partial differential equations stay close to a given subset of the state space for starting points which are c…
An addendum to "Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients"
Stefan Tappe
In this addendum we provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations driven by Wiener processes and Poisson ran…
Exploiting arbitrage requires short selling
Eckhard Platen, Stefan Tappe
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theor…