14 citations · 52 across the 19 of their papers we have counts for
5 papers · 1 filter
Laplace Symbols and Invariant Distributions
Anita Behme, Alexander Schnurr
We introduce a new kind of symbol in the framework of Itô processes which are bounded on one side. The connection between this symbol and the infinitesimal generator is analyzed. B…
Time Change Equations for Lévy Type Processes
Paul Krühner, Alexander Schnurr
In this paper we analyse time change equations (TCEs) for Lévy-type processes in detail. To this end we establish a connection between TCEs and classical one-dimensional initial va…
Comparison of time-inhomogeneous Markov processes
Ludger Rueschendorf, Alexander Schnurr, Viktor Wolf
Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two process…
An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
Alexander Schnurr
We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non…
Testing for Structural Breaks via Ordinal Pattern Dependence
Alexander Schnurr, Herold Dehling
We propose new concepts in order to analyze and model the dependence structure between two time series. Our methods rely exclusively on the order structure of the data points. Henc…