Andreas Søjmark

MaRDI QIDQ1999594zbMATH OpenFDO

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
Functional CLTs for subordinated L\'evy models in physics, finance, and econometrics (available as arXiv preprint)	N/A	Paper
Functional weak convergence of stochastic integrals for moving averages and continuous-time random walks (available as arXiv preprint)	N/A	Paper
Weak convergence of stochastic integrals on Skorokhod space in Skorokhod's \(J_1\) and \(M_1\) topologies Probability Theory and Related Fields	2026-09-09	Paper
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today Mathematical Finance	2026-06-12	Paper
Contagious McKean-Vlasov problems with common noise: from smooth to singular feedback through hitting times Electronic Journal of Probability	2025-08-05	Paper
An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line Stochastic Processes and their Applications	2025-01-08	Paper
Functional central limit theorems for rough volatility Finance and Stochastics	2024-07-02	Paper
The supercooled Stefan problem with transport noise: weak solutions and blow-up (available as arXiv preprint)	2024-01-01	Paper
Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies	2023-09-21	Paper
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times	2023-07-20	Paper
Contagious McKean-Vlasov systems with heterogeneous impact and exposure Finance and Stochastics	2023-07-06	Paper
Endogenous Distress Contagion in a Dynamic Interbank Model	2022-11-28	Paper
An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line	2022-10-18	Paper
An interacting particle system for the front of an epidemic advancing through a susceptible population	2022-10-17	Paper
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems SIAM Journal on Financial Mathematics	2021-11-05	Paper
At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem Electronic Journal of Probability	2021-07-21	Paper
Uniqueness for contagious McKean-Vlasov systems in the weak feedback regime Bulletin of the London Mathematical Society	2020-07-27	Paper
A McKean-Vlasov equation with positive feedback and blow-ups The Annals of Applied Probability	2019-10-22	Paper
A McKean-Vlasov equation with positive feedback and blow-ups The Annals of Applied Probability	2019-10-22	Paper
An SPDE model for systemic risk with endogenous contagion Finance and Stochastics	2019-06-27	Paper
Functional central limit theorems for rough volatility	2017-11-08	Paper

Research outcomes over time

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