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 Research Report for 2002

Abteilung für Mathematische Stochastik

Prof. Dr. Ludger Rüschendorf

Ernst-Zermelo-Straße 1
79104 Freiburg
Tel: 0761/203-5664 Fax: 0761/203-5661
Email sekretariat@stochastik.uni-freiburg.de

Scientific Employees

Entries in "Who is Who"

Main Research

  • mass transportation problems, optimal couplings and dependence models
  • stochastic analysis of algorithms
  • financial mathematics
  • statistical analysis of diffusion and Lévy processes with application to financial models
  • optimal stopping problems in point processes
  • risk measures in finance and insurance

Scientific and Research Projects

  • Analysis of algorithms and randomized algorithms
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details
  • Modeling and stochastic analysis of time series and stochastic processes
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details
  • Monge-Kantorovich transport problems, optimal couplings, and multivariate risk.
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details

Scientific publications

Journal Articles:
  • Döhler S, Rüschendorf L: Adaptive estimation of hazard functions. Probab. Math. Stat., 2002; 22 (2): 355-379.
  • Neininger R, Rüschendorf L: Rates of convergence for Quicksort. Journal of Algorithms, 2002; 44 (1): 52-62.
  • Neininger R, Rüschendorf L: On the contraction method with degenerate limit equation. Preprint Uni Freiburg, 2002; 19.
  • Rüschendorf L: On upper and lower prices in discrete time models. Proc. Steklov Math. Inst., 2002; 237: 134-139.
  • Rüschendorf L, Uckelmann L: On the n-coupling problem. Journal Multivariate Analysis, 2002; 81 (2): 242-258.
  • Rüschendorf L, Woerner J: Expansion of transition distributions of Levy processes in small time. Bernoulli, 2002; 8 (1): 81-96. (in Druck)
Book Chapters:
  • Goll T, Rüschendorf L: Minimal distance martingale measures and optimal portfolios consistent with observed market prices. In: R. Buckdahn, H.J. Engelbert, M. Yor (Hrsg.): Stochastic Processes and Related Topics. Taylor & Francis, 2002; 141-154 (Stochastics Monographs).
  • Kühne R, Rüschendorf L: On optimal two-stopping problems. In: Berkes I et al. (Hrsg.): Limit Theorems in Probability and Statistics. Fourth Hungarian colloquium on limit theorems in probability and statistics. Balatonlelle, Hungary, June 28 - July 2, 1999. Vol. II. Budapest: Janos Bolyai Mathematical Society, 2002; 261-271.
  • Ramachandran D, Rüschendorf L: Assignment models for constrained marginals and restricted markets. In: Cuadras et al. (Hrsg.): Probability with Given Marginals. (Proceedings of the Barcelona conference) Kluwer, 2002; 195-209.
  • Rüschendorf L, Uckelmann L: Variance minimization and random variables with constant sum. In: Cuadras et al. (Hrsg.): Distributions with Given Marginals. Kluwer, 2002; 211-222.

Special Scientific Activities

  • Prof. Dr. Ludger Rüschendorf: Co-Editor "Statistics and Decisions", Oldenbourg-Verlag, seit 2002.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "REV STAT", seit 2002.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "Applicationes Mathematicae", seit 1995.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "Statistics", seit 1995.

Scientific Dissertations