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- Feller Evolution Systems: Generators and
Approximation
Submitted, PDF - arxiv
- Lévy-Type Processes: Construction,
Approximation and Sample Path Properties
(with R. Schilling and J. Wang). Submitted, 185 pages. PDF (only preface, contents and index)
- Simulation of Brownian Motion
Chapter in the Textbook: Brownian Motion - An Introduction to Stochastic Processes, R. Schilling, L. Partzsch, De Gruyter, 2012.
- Feynman formulas and path integrals for some evolution semigroups related to τ-quantization
(with Y. Butko, R. Schilling, O. Smolyanov). Russian Journal of Mathematical Physics, Vol. 18 (2011) 387-399.
- On the construction of Feller processes with unbounded coefficients
Electronic Communications in Probability, Vol. 16 (2011) 545-555. Online Article
- The Euler scheme for Feller processes
(with A. Schnurr).
Stochastic Analysis and Applications, Vol. 29 (2011) 1045-1056.
- Convergence rate of numerical
solutions to SFDEs with jumps
(with J. Bao, X. Mao, C. Yuan). Journal of Computational and Applied Mathematics. Vol. 236, No. 2 (2011) 119-131. Online Article
- An Overshoot Approach to Recurrence and Transience of Markov Processes
Stochastic Processes and their Applications. Vol. 121, No. 9 (2011) 1962–1981. Online Article
- Constructions of Coupling Processes for Lévy Processes
(with R. Schilling, J. Wang). Stochastic Processes and their Applications
Vol. 121, No. 6 (2011) 1201-1216. Online Article Extras
- Feller processes: The Next Generation in Modeling. Brownian Motion, Lévy processes and Beyond
PLoS ONE 5(12): e15102 (2010). Online Article - PDF incl. source code
- Approximation of Feller processes by Markov chains
with Lévy increments
(with R. Schilling). Stochastics and Dynamics, Vol. 9, No. 1 (2009) 71–80. PDF
- Construction of time inhomogeneous Markov processes via evolution equations using pseudo-differential operators
Journal of the London Mathematical Society (2) 78 (2008) 605–621. PDF
- The moderator effect that wasn’t there: Statistical problems in ambivalence research
(with J. Ullrich, K. Schermelleh-Engel). Journal of Personality and Social Psychology 2008, Vol. 95, No. 4, 774–794.
- A parametrix construction for the fundamental solution of the evolution equation associated with a pseudo-differential operator generating a Markov process
Mathematische Nachrichten (278) 2005, 1235-1241.
- Remarks on Meixner-type Processes
(with N. Jacob). In: Probabilistic Methods in Fluids (eds. I.M. Davies et al.) World Scientific Press (2003), 35-47.
- Some investigations on Feller processes generated by pseudo-differential operators
PhD Thesis, University of Wales Swansea, 2004.
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