Boris Buchmann

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Necessity of weak subordination for some strongly subordinated Lévy processes Journal of Applied Probability	2021-12-01	Paper
Calibration for weak variance-alpha-gamma processes Methodology and Computing in Applied Probability	2020-05-04	Paper
Self-decomposability of weak variance generalised gamma convolutions Stochastic Processes and their Applications	2020-01-24	Paper
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions Bernoulli	2019-01-28	Paper
Processes of \(r^{th}\) largest Extremes	2018-12-20	Paper
Functional laws for trimmed Lévy processes Journal of Applied Probability	2018-09-26	Paper
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing Stochastic Processes and their Applications	2017-06-22	Paper
Distributional representations and dominance of a Lévy process over its maximal jump processes Bernoulli	2016-07-14	Paper
Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing	2015-02-13	Paper
Laws of the iterated logarithm for self-normalised Lévy processes at zero Transactions of the American Mathematical Society	2015-02-02	Paper
Unified asymptotic theory for nearly unstable AR(\(p\)) processes Stochastic Processes and their Applications	2013-03-06	Paper
Limit experiments of GARCH Bernoulli	2012-03-29	Paper
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2011-09-27	Paper
Integrated functionals of normal and fractional processes The Annals of Applied Probability	2009-04-02	Paper
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2008-10-16	Paper
A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL International Journal of Theoretical and Applied Finance	2008-05-28	Paper
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence The Annals of Statistics	2008-01-16	Paper
Fractional integral equations and state space transforms Bernoulli	2006-11-06	Paper
Decompounding Poisson random sums: recursively truncated estimates in the discrete case Annals of the Institute of Statistical Mathematics	2006-01-13	Paper
Maxima of stochastic processes driven by fractional Brownian motion Advances in Applied Probability	2005-10-17	Paper
Decompounding: an estimation problem for Poisson random sums. The Annals of Statistics	2004-07-01	Paper

Research outcomes over time

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