Institute of Mathematical Finance

Bennet Ströh

Research interests

    Asymptotic statistical methods for continuous-time stochastic processes and random fields. In particular
    • Ambit fields and Lévy-driven mixed moving average fields
    • Lévy-driven mixed moving average processes
  • Non-stationary time series models. In particular
    • mathematical foundation and limit theorems for continuous-time locally stationary processes
    • statistical inference of time-varying Lévy-driven state space models
  • Weak dependence

Publications

  • Ströh, B. (2021):
    Statistical inference for continuous-time locally stationary processes using stationary approximations
    submitted for publication, pdf-file
  • Stelzer, R. and Ströh, B. (2021):
    Approximations and Asymptotics of Continuous-time Locally Stationary Processes
    submitted for publication, pdf-file
  • Bitter, A., Stelzer, R. and Ströh, B. (2021):
    Continuous-time locally stationary time serie models
    submitted for publication, pdf-file
  • Curato, I., Stelzer, R. and Ströh, B. (2020):
    Central Limit Theorems for Stationary Random Fields under Weak Dependence with Application to Ambit and Mixed Moving Average Fields
    accepted for publication in Annals of Applied Probability, pdf-file

 

Courses

Summer term 2020

Winter term 2020/2021

Summer term 2020

Winter term 2019/2020

Summer term 2019

Winter term 2018/2019

  • Ökonometrie
  • Angewandte Stochastik   II

Summer term 2018

  • Stochastic Analysis
  • Financial Mathematics II

Thesis

  • Weak dependence properties of mixed moving average fields, Master Thesis, Ulm University 2018, supervisor: Prof. Dr. Robert Stelzer
  • Nonparametric Estimation of the Kernel Function of Alpha Stable Stochastic Integrals in Higher Dimensions, Bachelor Thesis, Ulm University 2016, supervisor: Prof. Dr. Evgeny Spodarev

 

Conference

  • Bernoulli-IMS One World Symposium 2020, August 24-28, online (Talk)
  • Risk and Statistics, 2nd ISM-UUlm Joint Workshop, October 08-10, 2019, Ulm, Germany. (Talk)
  • European Meeting of Statisticians 2019, July 22-26, 2019, Palermo, Italy. (Talk)
  • Conference on non-stationarity, June 04-06, 2018, Cergy-Pontoise, France.