193 citations · 630 across the 38 of their papers we have counts for
17 papers · 2 filters
Bilateral Gamma distributions and processes in financial mathematics
Uwe Küchler, Stefan Tappe
We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma dist…
On the shapes of bilateral Gamma densities
Uwe Küchler, Stefan Tappe
We investigate the four parameter family of bilateral Gamma distributions. The goal of this paper is to provide a thorough treatment of the shapes of their densities, which is of i…
Wong-Zakai approximations with convergence rate for stochastic partial differential equations
Toshiyuki Nakayama, Stefan Tappe
The goal of this paper is to prove a convergence rate for Wong-Zakai approximations of semilinear stochastic partial differential equations driven by a finite dimensional Brownian…
Stochastic mortality models: An infinite dimensional approach
Stefan Tappe, Stefan Weber
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality mode…
Tempered stable distributions and processes
Uwe Küchler, Stefan Tappe
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter esti…
Isomorphisms for spaces of predictable processes and an extension of the Itô integral
Barbara Rüdiger, Stefan Tappe
Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable…