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David Criens, M.Sc.

Technical University of Munich

Chair of Probability Theory (Prof. Gantert)

Place of employment

Chair of Probability Theory (Prof. Gantert)

Work:
Parkring 11-13(8101)/II
85748 Garching b. München

 

Teaching

  • Exercise classes: Probability Theory (ST 2020)
  • Exercise classes: Stochastic Analysis (WT 2019/20)
  • Exercise classes: Probability Theory (ST 2019)
  • Exercise classes: Einführung in die Wahrscheinlichkeitstheorie (Introduction to Probability Theory) (WT 2018/19)
  • Exercise classes: Markov Processes (ST 2018)
  • Exercise classes: Stochastic Analysis (WT 2017/18)
  • Tutor: Mathematische Behandlung der Natur- und Wirtschaftswissenschaften 2 - (ST 2017) 
  • Exercise classes: Stochastic Analysis (WT 2016/17)
  • Advanced student seminar: Dynamical stability for almost sure events (ST 2016)
  • Theoretical-Exercise classes: Partial Differential Equations in Finance (ST 2016)
  • Tutor: Integral- und Differentialrechnung (MSE) (ST 2016)
  • Exercise classes: Stochastic Analysis (WT 2015/16)
  • Exercise classes: Portfolio Analysis (ST 2015)
  • Exercise classes: Partial Differential Equations in Finance (ST 2015)

Research Interests

  • Harnack Inequalities for Balanced Random Walk in Random Environment
  • Properties of Martingale Problems
  • Semimartingales and their Applications to Mathematical Finance

Publications

2020

  • Lyapunov Criteria for the Feller-Dynkin Property of Martingale Problems, Stochastic Processes and their Applications, 130(5), 2693-2736, [Article|
  • Limit Theorems for Cylindrical Martingale Problems associated with Levy Generators, Journal of Theoretical Probability, 33, 866-905, [Article]
  • No Abitrage in Continuous Financial Markets, Mathematics and Financial Economics, 14461-506, [Article]
  • A Note on Real-World and Risk-Neutral Dynamics for Heath-Jarrow-Morton Frameworks, International Journal of Theoretical and Applied Finance (IJTAF), 23(3), 2050020, [Article]
  • Correction to: Cylindrical Martingale Problems Associated with Lévy Generators, Journal of Theoretical Probability, 33, 1791-1800, [Article]
  • On the Existence of Semimartingales with Continuous Characteristics, Stochastics, 92(5), 785-813, [Article]

2019

  • Cylindrical Martingale Problems Associated with Levy Generators, Journal of Theoretical Probability, 32, 1306–1359, [Article], [Correction]
  • Couplings for Processes with Independent Increments, 2019, Statistics and Probability Letters, 146, 161-167, [Article]

2018

  • Absolute Continuity of Semimartingales - with Kathrin Glau, 2018, Electronic Journal of Probability, 23(125), 1-28, [Article]
  • A Note on the Monotone Stochastic Order for Processes with Independent Increments, 2018, Statistics and Probability Letters, 135, 127-131, [Article]
  • Structure Preserving Equivalent Martingale Measures for H-SII Models, 2018, Journal of Applied Probability, 55(1), 1-14, [Article]
  • Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets, 2018, International Journal of Theoretical and Applied Finance (IJTAF), 21(1),1850002, [Article]

2017

  • Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models - with Kathrin Glau and Zorana Grbac, 2017, Applied Mathematical Finance, 24(1), 23-37, [Article]

Preprints

  • On Absolute Continuity and Singularity of Multidimensional Diffusions, 2020, [arXiv]

In Preparation

  • A Parabolic Harnack Inequality for Random Walks in Balanced Environments - with Noam Berger.