Erweiterte Suche

Publications Prof. Steffen Dereich

Preprints

  • The shape of the emerging condensate in effective models of condensation
    joint work with Volker Betz and Peter Mörters
    Preprint
  • Local neighbourhoods for first passage percolation on the configuration model
    joint work with Marcel Ortgiese
    Preprint
  • General multilevel adaptations for stochastic approximation algorithms
    joint work with Thomas Müller-Gronbach
    Preprint
  • Real self-similar processes started from the origin
    joint work with Leif Döring and Andreas E. Kyprianou
    Ann. Probab. 45, No. 3, 1952-2003 (2017)
    Preprint
  • Distances in scale free networks at criticality
    joint work with Christian Mönch and Peter Mörters
    Electron. J. Probab. 22, No. 77, 38 pp. (2017)
    PDF
  • Non-extensive condensation in reinforced branching processes
    joint work with Cécile Mailler and Peter Mörters
    Ann. Appl. Probab. 27, No. 4, 2539-2568 (2017)
    Preprint

Complex networks/Condensation

  • Preferential attachment with fitness: unfolding the condensate
    Electron. J. Probab. 21, No. 3, 1-38 (2016)
    PDF
  • Cycle length distributions in random permutations with diverging cycle weights
    joint work with Peter Mörters
    Random. Struct. Algor. 46, No. 4, 635-650 (2015)
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  • Robust analysis of preferential attachment models with fitness
    joint work with Marcel Ortgiese
    Combin. Probab. Comput. 23, No. 3, 386-411 (2014), DOI 10.1017/S0963548314000157
    Preprint
  • Emergence of condensation in Kingman's model of selection and mutation
    joint work with Peter Mörters
    Acta Appl. Math. 127, No. 1, 17-26 (2013), DOI 10.1007/s10440-012-9790-3
    Preprint
  • Typical distances in ultrasmall random networks
    joint work with Christian Mönch and Peter Mörters
    Adv. in Appl. Probab. 44, No. 2, 583-601 (2012)
    Preprint
  • Random networks with sublinear preferential attachment: the giant component
    joint work with Peter Mörters
    Ann. Probab. 41, No. 1, 329-384 (2013), DOI 10.1214/11-AOP697
    Preprint
  • Random Networks with Concave Preferential Attachment Rule
    joint work with Peter Mörters
    Jahresber Dtsch Math-Ver 113, No. 1, 21-40 (2011), DOI 10.1365/s13291-010-0011-6
  • Random networks with sublinear preferential attachment: Degree evolutions
    joint work with Peter Mörters
    Electron. J. Probab. 14, 1222-1267 (2009)
    PDF

Numerical integration, quadrature of SDEs

  • Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
    joint work with Sangmeng Li
    Ann. Appl. Probab. 26, No. 1, 136-185 (2016)
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  • Quadrature for self-affine distributions on R^d
    joint work with Thomas Müller-Gronbach
    Found. Comput. Math. 15, No. 6, 1465-1500 (2015), DOI 10.1007/s10208-014-9233-9
    Preprint
  • On the complexity of computing quadrature formulas for SDEs
    joint work with Thomas Müller-Gronbach and Klaus Ritter
    in Foundations of Computational Mathematics, Budapest 2011 (eds. F. Cucker, T. Krick, A. Pinkus, A. Szanto), LMS Lecture Notes 403, Cambridge University Press, 2012. DOI 10.1017/CBO9781139095402
    Preprint
  • An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
    joint work with Andreas Neuenkirch and Lukas Szpruch
    Proc. R. Soc. A 468, No. 2140, 1105�1115 (2012), DOI 10.1098/rspa.2011.0505
    Preprint
  • Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
    Ann. Appl. Probab. 21, No. 1, 283-311 (2011)
    Preprint
  • A multilevel Monte Carlo algorithm for Lévy driven stochastic differential equations
    joint work with Felix Heidenreich
    Stochastic Process. Appl. 121, Mo. 7, 1565-1587 (2011)
    Preprint
  • Infinite-dimensional quadrature and approximation of distributions
    joint work with Jakob Creutzig, Thomas Müller-Gronbach and Klaus Ritter
    Found. Comput. Math. 9, No. 4, 391-429 (2009)
    Preprint

Small deviations and approximation theory (quantization)

  • Persistence probabilities for an integrated random walk bridge
    joint work with Frank Aurzada and Mikhail Lifshits
    Probab. Math. Statist. 34, No. 1, 1-22 (2014)
    Preprint
  • Constructive quantization: approximation by empirical measures
    joint work with Michael Scheutzow and Reik Schottstedt
    Ann. Inst. Henri Poincaré (B) 49, No. 4, 1183-1203 (2013)
    Preprint
  • Universality of the asymptotics of the one-sided exit problem for integrated processes
    joint work with Frank Aurzada
    Ann. Inst. Henri Poincaré (B) 49, No. 1, 236-251 (2013), DOI 10.1214/11-AIHP427
    Preprint
  • The high resolution vector quantization problem with Orlicz norm distortion
    joint work with Christian Vormoor
    J. Theor. Probab. 24, No. 2, 517-544 (2011)
    Preprint
  • Small deviations of general Lévy processes
    joint work with Frank Aurzada
    Ann. Probab. 37, No.5, 2066-2092 (2009)
    Preprint
  • High resolution quantization and entropy coding of jump processes
    joint work with Frank Aurzada, Michael Scheutzow and Christian Vormoor
    J. Complexity 25, 163-187 (2009)
    Preprint
  • The coding complexity of Lévy processes
    joint work with Frank Aurzada
    Found. Comput. Math. 9, No. 3, 359-390 (2009)
    Preprint
  • Asymptotic formulae for coding problems and intermediate optimization problems: a review
    in Trends in Stochastic Analysis, edited by Jochen Blath, Peter Morters, and Michael Scheutzow, Cambridge University Press, 187-232, 2009
    Preprint
  • The coding complexity of diffusion processes under supremum norm distortion
    Stochastic Process. Appl. 118, No.6, 917-937 (2008), doi:10.1016/j.spa.2007.07.003
    Preprint
  • The coding complexity of diffusion processes under L^p[0,1]-norm distortion
    Stochastic Process. Appl. 118, No.6, 938-951 (2008), doi:10.1016/j.spa.2007.07.002
    Preprint
  • High-resolution quantization and entropy coding for fractional Brownian motion
    joint work with Michael Scheutzow
    Electron. J. Probab. 11, 700-722 (2006)
    Preprint
  • Probabilities of randomly centered small balls and quantization in Banach spaces
    joint work with Mikhail A. Lifshits
    Ann. Probab. 33, No.4, 1397-1421 (2005)
    PDF
  • Asymptotic behavior of the distortion-rate function for Gaussian processes in Banach spaces
    Bulletin des Sciences Mathématiques 129, No.10, 791-803 (2005)
  • Small ball probabilities around random centers of Gaussian measures and applications to quantization
    J. Theor. Probab. 16, No.2, 427-449 (2003)
  • On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
    joint work with Franz Fehringer, Anis Matoussi and Michael Scheutzow
    J. Theor. Probab. 16, No.1, 249-265 (2003)

Stochastic analysis

  • A support theorem and a large deviation principle for Kunita flows
    joint work with Georgi Dimitroff
    Stochastics and Dynamics 12, No. 3 (2012)
    Preprint
  • Rough paths analysis of general Banach space-valued Wiener processes
    J. Funct. Anal. 258, No. 9, 2910-2936 (2010)
    Preprint
  • Enlargement of filtrations and continuous Girsanov-type embeddings
    joint work with Stefan Ankirchner and Peter Imkeller
    in Séminaire de Probabilités XL (ed. Catherine Donati-Martin, Michel Émery, Alain Rouault, and Christophe Stricker), LNM1899, Springer, 2007
  • The Shannon information of filtrations and the additional logarithmic utility of insiders
    joint work with Stefan Ankirchner and Peter Imkeller
    Ann. Probab. 34, No.2, 743-778 (2006)
    PDF

PhD Thesis

  • High resolution coding of stochastic processes and small ball probabilities
    Ph.D. Dissertation (2003)
    PDF
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