Prof. Dr. Stefan Ankirchner

Raum 3515
Ernst-Abbe-Platz 1-2
07743 Jena
CV Eintrag erweitern

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 Eintrag erweitern
  • Limit theorems for stochastic processes
  • Backward stochastic differential equations
  • Stochastic control theory
Publications Eintrag erweitern
  • S. Ankirchner, R. Hesse and M. Klein
    On the joint survival probability of two collaborating firms
    2022.
    HAL
  • S. Ankirchner, H. Bernburg and J. Wendt
    A simple random walk game
    2022. [HAL]
  • S. Ankirchner and S. Perko
    Towards diffusion approximations for stochastic gradient descent without replacement
    2022 [HAL]
  • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
    Large ranking games with diffusion control
    2021. [HAL]
  • S. Ankirchner and S. Perko
    Approximating stochastic gradient descent with diffusions: error expansions and impact of learning rate schedules
    2021 [HAL]
  • 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]
  • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
    Large ranking games with non-observable diffusion control
    2021 [HAL]
  • S. Ankirchner and J. Wendt
    A sharp upper bound for the expected interval occupation time of Brownian martingales
    2021 [HAL]
  • S. Ankirchner and S. Engelhardt
    Long term average cost control problems without ergodicity
    AMO 2022 [HAL]
  • S. Ankirchner, T. Kruse, W. Löhr and M. Urusov
    Properties of the EMCEL scheme for approximating irregular diffusions
    J. Math. Anal. Appl., 2022 [arXiv]
  • S. Ankirchner, A. Fromm and J. Wendt
    A transformation method to study the solvability of fully coupled FBSDEs
    Stochastics 2022 [HAL]
  • S. Ankirchner, C. Blanchet-Scalliet, N. Kazi-Tani and C. Zhou
    Gambling for resurrection and the heat equation on a triangle
    AMO, 2021 [HAL]
  • S. Ankirchner, T. Kruse and M. Urusov
    Wasserstein convergence rates for coin tossing approximations of continuous Markov processes
    J. Math. Anal. Appl., 2021 [arXiv]
  • 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]
  • S. Ankirchner, A. Fromm
    Solving fully coupled FBSDEs by minimizing a directly calculable error functional
    2019 [HAL]
  • S. Ankirchner and M. Klein
    Bayesian sequential testing with expectation constraints
    ESAIM: COCV, 2019 [HAL]
  • 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]
  • 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]
  • S. Ankirchner, N. Kazi-Tani, M. Klein and T. Kruse
    Optimal stopping with expectation constraints: 3 points suffice
    EJP, 2019 [HAL]
  • S. Ankirchner, A. Fromm, T. Kruse and A. Popier
    Optimal position targeting via decoupling fields
    AAP, 2019 [HAL]
  • S. Ankirchner, C. Blanchet-Scalliet and K. Kümmel
    Last Minute Panic in zero sum games
    ESAIM: COCV, 2019 [HAL]
  • S. Ankirchner, A. Fromm
    Optimal control of diffusion coefficients via decoupling fields
    SICON, 2018 [HAL]
  • S. Ankirchner, M. Klein, T. Kruse and M. Urusov
    On a certain local martingale in a general diffusion setting
    2018 [HAL]
  • S. Ankirchner, M. Klein and T. Kruse
    A verification theorem for optimal stopping problems with expectation constraints
    Applied Mathematics and Optimization, 2017 [HAL] (please note the Erratum)
  • 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]
  • 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]
  • 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]
  • S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel
    Optimal liquidation with additional information
    Mathematics and Financial Economics, Online 2015 [Springer]
  • S. Ankirchner, M. Jeanblanc and T. Kruse
    BSDEs with singular terminal condition and control problems with constraints
    SIAM J. Control Optim., 2014 [arXiv]
  • S. Ankirchner, J. Schneider and N. Schweizer
    Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk
    JEDC, 2014 [SSRN]
  • S. Ankirchner, C. Pigorsch and N. Schweizer
    Estimating Residual Hedging Risk with Least-Squares Monte Carlo
    IJTAF, 2014 [SSRN]
  • S. Ankirchner, P. Kratz and T. Kruse
    Hedging Forward Positions: Basis Risk Versus Liquidity Costs
    SIAM J. Financial Math., 2013 [SSRN]
  • S. Ankirchner, T. Kruse
    Price-sensitive liquidation in continuous-time
    SSRN paper, 2012 [SSRN]
  • S. Ankirchner, T. Kruse
    Optimal Trade Execution Under Price-Sensitive Risk Preferences
    Quantitative Finance, 2012 [SSRN]
  • 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]
  • S. Ankirchner, P. Imkeller, G. Dos Reis
    Pricing and hedging of derivatives based on non-tradable underlyings
    Mathematical Finance, 2010 [arXiv]
  • S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel
    Credit Risk Premia and Quadratic BSDEs with a Single Jump
    IJTAF, 2010 [arXiv]
  • S. Ankirchner, P. Imkeller, A. Popier
    On measure solution of Backward Stochastic Differential Equations
    Stoch. Proc. Appl., 2009 [arXiv]
  • 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]
  • 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]
  • 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]
  • 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 Eintrag erweitern

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

Co-Authors Eintrag erweitern

Lehre

SS 2022

  • Verfahren der Versicherungs- und Finanzmathematik
  • Stochastic Control and Dynamic Games
  • Seminar Wahrscheinlichkeitstheorie

Lessons from coin tosses

In these notes [pdf, 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.