Prof. Dr. Stefan Ankirchner

Stefan Ankirchner, Univ.-Prof. Dr.

Professur für Stochastische Analysis

+49 3641 9-46275 +49 3641 9-46252

Raum 3515

Ernst-Abbe-Platz 1-2

07743 Jena

Google Maps – Lageplan

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

Limit theorems for stochastic processes
Backward stochastic differential equations
Stochastic control theory

Publications

S. Ankirchner, N. Kazi-Tani and J. Wendt
The role of correlation in diffusion control ranking games
2023. [HAL]Externer Link
S. Ankirchner, R. Hesse and M. Klein
On the joint survival probability of two collaborating firms
2022. HALExterner 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, N. Kazi-Tani, J. Wendt and C. Zhou
Large ranking games with diffusion control
2021. [HAL]Externer Link
S. Ankirchner and S. Perko
Approximating stochastic gradient descent with diffusions: error expansions and impact of learning rate schedules
2021 [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]
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

Lehre

WS 2022/23

El. Wahrscheinlichkeitsrechnung und Statistik LAG
Seminar Wahrscheinlichkeitstheorie

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.