Prof. Dr. Stefan Ankirchner

Stefan Ankirchner, Univ.-Prof. Dr.
Professur für Stochastische Analysis
Raum 1025
Inselplatz 5
07743 Jena Google Maps – LageplanExterner Link
  • CV

    Ausbildung

    • Juli 2005: Promotion in Mathematik an der Humboldt-Universität zu Berlin
    • April 2002: Diplom in Mathematik an der Ludwig-Maximilians-Universität München
    • Juni 1995: Abitur am Ruperti-Gymnasium Mühldorf am Inn

    Berufstätigkeit

    • seit April 2014: Professor für Stochastische Analysis am Institut für Mathematik der Friedrich-Schiller-Universität
    • November 2009 - März 2014: Professor an der Rheinischen Friedrich-Wilhelms-Universität Bonn
    • November 2008 - September 2009: Risk Controller bei der EnBW Trading GmbH, Karlsruhe
    • Oktober 2006 - November 2008: Wissenschaftlicher Assistent an der Humboldt-Universität zu Berlin
    • Oktober 2005 - September 2006: Chapman Fellow am Imperial College London
    • April 2005 - September 2005: Wissenschaftlicher Assistent an der Humboldt-Universität zu Berlin
    • April 2002 - März 2005: Promotionsstudent am Graduiertenkolleg "Stochastische Prozesse und Probabilistische Analysis"

Research

  • Research interests
    • Stochastic control theory
    • Stochastic Analysis
    • Probability theory and applications in economics
  • Publications and preprints
    • S. Ankirchner, S. Christensen and D. Dänzer 
      A mean field search game 
      Preprint 2025 [HAL]Externer Link
    • S. Ankirchner, S. Christensen, J. Kallsen, P. Le Borne and S. Perko
      Learning to steer with Brownian noise 
      Preprint 2024 [arxiv]Externer Link
    • S. Ankirchner and S. Perko
      A Comparison of Continuous-Time Approximations to Stochastic Gradient Descent
      JMLR 2024 [HAL]Externer Link
    • S. Ankirchner, N. Kazi-Tani and J. Wendt
      The role of correlation in diffusion control ranking games
      SICON 2024. [HAL]Externer Link
    • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
      Mean-field ranking games with diffusion control 
      Math Finan Econ. 2024. 
    • S. Ankirchner, R. Hesse and M. Klein
      On the joint survival probability of two collaborating firms
      Journal of Applied Prob. 2023. HALExterner Link
    • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
      Large ranking games with diffusion control
      MOR 2023. [HAL]Externer Link
    • S. Ankirchner, H. Bernburg and J. Wendt
      A simple random walk game
      2022. [HAL]Externer Link
    • S. Ankirchner and S. Perko
      Towards diffusion approximations for stochastic gradient descent without replacement
      2022 [HAL]Externer Link
    • S. Ankirchner, D. Dorobantu, C. Blanchet-Scalliet and L. Gay
      First passage time density of an Ornstein-Uhlenbeck process with broken drift
      Stochastic Models 2022 [HAL]Externer Link
    • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
      Large ranking games with non-observable diffusion control
      2021 [HAL]Externer Link
    • S. Ankirchner and J. Wendt
      A sharp upper bound for the expected interval occupation time of Brownian martingales
      2021 [HAL]Externer Link
    • S. Ankirchner and S. Engelhardt
      Long term average cost control problems without ergodicity
      AMO 2022 [HAL]Externer Link
    • S. Ankirchner, T. Kruse, W. Löhr and M. Urusov
      Properties of the EMCEL scheme for approximating irregular diffusions
      J. Math. Anal. Appl., 2022 [arXiv]Externer Link
    • S. Ankirchner, A. Fromm and J. Wendt
      A transformation method to study the solvability of fully coupled FBSDEs
      Stochastics 2022 [HAL]Externer Link
    • S. Ankirchner, C. Blanchet-Scalliet, N. Kazi-Tani and C. Zhou
      Gambling for resurrection and the heat equation on a triangle
      AMO, 2021 [HAL]Externer Link
    • S. Ankirchner, T. Kruse and M. Urusov
      Wasserstein convergence rates for coin tossing approximations of continuous Markov processes
      J. Math. Anal. Appl., 2021 [arXiv]Externer Link
    • S. Ankirchner, T. Kruse and M. Urusov
      A functional limit theorem for coin tossing Markov chains
      Annales de l'Institut Henry Poincaré (B) Probabilités et Statistiques, 2020 [HAL]Externer Link
    • S. Ankirchner, A. Fromm
      Solving fully coupled FBSDEs by minimizing a directly calculable error functional
      2019 [HAL]Externer Link
    • S. Ankirchner and M. Klein
      Bayesian sequential testing with expectation constraints
      ESAIM: COCV, 2019 [HAL]Externer Link
    • S. Ankirchner, S. Engelhardt, A. Fromm and G. dos Reis
      The Skorokhod embedding problem for inhomogeneous diffusions
      Annales de l'Institut Henry Poincaré (B) Probabilités et Statistiques, 2019 [arXiv]Externer Link
    • S. Ankirchner, C. Blanchet-Scalliet and N. Kazi-Tani
      The De Vylders-Goovaerts conjecture holds true within the diffusion limit
      J. Appl. Probab., 2019 [HAL]Externer Link
    • S. Ankirchner, N. Kazi-Tani, M. Klein and T. Kruse
      Optimal stopping with expectation constraints: 3 points suffice
      EJP, 2019 [HAL]Externer Link
    • S. Ankirchner, A. Fromm, T. Kruse and A. Popier
      Optimal position targeting via decoupling fields
      AAP, 2019 [HAL]Externer Link
    • S. Ankirchner, C. Blanchet-Scalliet and K. Kümmel
      Last Minute Panic in zero sum games
      ESAIM: COCV, 2019 [HAL]Externer Link
    • S. Ankirchner, A. Fromm
      Optimal control of diffusion coefficients via decoupling fields
      SICON, 2018 [HAL]Externer Link
    • S. Ankirchner, M. Klein, T. Kruse and M. Urusov
      On a certain local martingale in a general diffusion setting
      2018 [HAL]Externer Link
    • S. Ankirchner, M. Klein and T. Kruse
      A verification theorem for optimal stopping problems with expectation constraints
      Applied Mathematics and Optimization, 2017 [HAL]Externer Link (please note the Erratum)Externer Link
    • S. Ankirchner, T. Kruse and M. Urusov
      WLLN for arrays of non-negative random variables
      Statistics & Prob. Letters, 2017 [pdf]
    • S. Ankirchner, C. Blanchet-Scalliet and M. Jeanblanc
      Controlling the occupation time of an exponential martingale
      Applied Mathematics and Optimization, 2016 [HAL]Externer Link
    • S. Ankirchner, T. Kruse and M. Urusov
      Numerical approximation of irregular SDEs via Skorokhod embeddings
      J. Math. Anal. Appl., 440(2):692-715, 2016 [HAL]Externer Link
    • S. Ankirchner, T. Kruse and M. Urusov
      A functional limit theorem for irregular SDEs
      Annales de l'Institut Henry Poincaré (B) Probabilités et Statistiques, 2016 [pdf]
    • S. Ankirchner and T. Kruse
      Optimal position targeting with stochastic linear-quadratic costs
      Banach Center Publications, 2015 [pdf]
    • S. Ankirchner, D. Hobson and P. Strack
      Finite, integrable and bounded time embeddings for diffusions
      Bernoulli, 2015 [arXiv]Externer Link
    • S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel
      Optimal liquidation with additional information
      Mathematics and Financial Economics, Online 2015 [Springer]Externer Link
    • S. Ankirchner, M. Jeanblanc and T. Kruse
      BSDEs with singular terminal condition and control problems with constraints
      SIAM J. Control Optim., 2014 [arXiv]Externer Link
    • S. Ankirchner, J. Schneider and N. Schweizer
      Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk
      JEDC, 2014 [SSRN]Externer Link
    • S. Ankirchner, C. Pigorsch and N. Schweizer
      Estimating Residual Hedging Risk with Least-Squares Monte Carlo
      IJTAF, 2014 [SSRN]Externer Link
    • S. Ankirchner, P. Kratz and T. Kruse
      Hedging Forward Positions: Basis Risk Versus Liquidity Costs
      SIAM J. Financial Math., 2013 [SSRN]Externer Link
    • S. Ankirchner, T. Kruse
      Price-sensitive liquidation in continuous-time
      SSRN paper, 2012 [SSRN]Externer Link
    • S. Ankirchner, T. Kruse
      Optimal Trade Execution Under Price-Sensitive Risk Preferences
      Quantitative Finance, 2012 [SSRN]Externer Link
    • S. Ankirchner, G. Dimitroff, G. Heyne, C. Pigorsch
      Futures Cross-hedging with a stationary spread
      JFQA, 2012 [pdf]
    • S. Ankirchner, P. Strack
      Skorokhod embeddings in bounded time
      Stochastics and Dynamics, 2011 [pdf]
    • S. Ankirchner, A. Dermoune
      Multiperiod mean-variance portfolio optimization via market cloning
      Applied Mathematics and Optimization, 2011 [pdf]
    • S. Ankirchner, J. Zwierz
      Initial enlargement of filtrations and entropy of Poisson compensators
      Journal of Theoretical Probability, 2011 [pdf]
    • S. Ankirchner, G. Heyne
      Cross hedging with stochastic correlation
      Finance and Stochastics, 2010 [Springer]Externer Link
    • S. Ankirchner, P. Imkeller, G. Dos Reis
      Pricing and hedging of derivatives based on non-tradable underlyings
      Mathematical Finance, 2010 [arXiv]Externer Link
    • S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel
      Credit Risk Premia and Quadratic BSDEs with a Single Jump
      IJTAF, 2010 [arXiv]Externer Link
    • S. Ankirchner, P. Imkeller, A. Popier
      On measure solution of Backward Stochastic Differential Equations
      Stoch. Proc. Appl., 2009 [arXiv]Externer Link
    • S. Ankirchner, P. Imkeller
      Quadratic hedging of catastrophe risk by using short term climate predictions
      Preprint, 2008 [pdf]
    • S. Ankirchner, P. Imkeller, A. Popier
      Optimal cross hedging of insurance derivatives
      Stoch. Analysis and Applications, 2008 [arXiv]Externer Link
    • S. Ankirchner, G. Heyne, P. Imkeller
      A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift
      Stochastics and Dynamics, 2008 [pdf]
    • S. Ankirchner
      On filtration enlargements and purely discontinuous martingales
      Stoch. Proc. Appl., 2008 [pdf]png, 2 mb
    • S. Ankirchner, P. Imkeller, G. Dos Reis
      Variational and Classical Differentiability of BSDEs with quadratic growth
      Electronic Journal of Probability, 2007 [arXiv]Externer Link
    • S. Ankirchner, S. Dereich, P. Imkeller
      Enlargement of filtrations and continuous Girsanov-type embeddings
      Seminaire de Probabilites XL, 2007 [pdf]
    • S. Ankirchner, P. Imkeller
      Financial markets with asymmetric information: information drift, additional utility and entropy
      Proc. of the 6th Ritsumeikan Intern. Symposium, 2007 [pdf]
    • S. Ankirchner
      Monotone utility convergence
      Journal of Applied Probability, 2006 [pdf]
    • S. Ankirchner
      Metrics on the set of semimartingale filtrations
      Stochastics, 2006 [pdf]
    • S. Ankirchner, S. Dereich, P. Imkeller
      The Shannon information of filtrations and the additional logarthmic utility of insiders
      Annals of Probability, 2006 [arXiv]Externer Link
    • S. Ankirchner
      Utility duality under additional information, conditional measures versus filtration enlargements
      SFB 649 Discussion paper, 2005 [pdf]pdf, 444 kb
    • S. Ankirchner, P. Imkeller
      Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
      Annales de l'Institut Henry Poincaré (B) Probabilités et Statistiques, 2005
  • Dissertation

    Information and Semimartingales
    Humboldt Universität zu Berlin, March 22, 2005 [pdf]pdf, 858 kb

  • Co-Authors

Slides of the lecture on "Diffusion control ranking games" at AIMS Ghana

Slides Part Ipdf, 1 mb

Slides Part IIpdf, 1 mb

Slides Part IIIpdf, 1 mb

Lessons from coin tosses

In these notespdf, 332 kb we collect some rather surprising facts about consecutive
coin tosses and discuss some implications for the real world. The presentation
strives to use only elementary mathematical methods so that the proofs are
accessible with little knowledge of probability theory.

Stochastische Anmerkungen zum Fußball