Publications of Ralf Wunderlich - Sorted by Topic

Mathematical Finance
Differential Equations with Random Parameters
Random Vibrations
Weakly Correlated Random Functions
Mathematical Statistics and Data Analysis

Mathematical Finance

  1. Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.
    Journal of Applied Probability, 58 (1), 197 - 216, (2021)
    with J. Sass, D. Westphal

  2. Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift.
    Stochastic Models. 36:4, 519-547, 2020
    with A. Gabih, H. Kondakji

  3. Credit risk with asymmetric information and a switching default threshold.
    arXiv:1910.14413 [q-fin.PR] (2019)
    with I. Redeker

  4. Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift.
    arXiv:1807.00568 [q-fin.PM], (2019)
    with J. Sass, D. Westphal

  5. Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading.
    Statistics & Risk Modeling, 2017
    with with I. Redeker

  6. Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift.
    International Journal of Theoretical and Applied Finance, 20, 1750022, 2017
    with J. Sass, D. Westphal

  7. Partially Observable Stochastic Optimal Control Problems for an Energy Storage.
    Stochastics, 89 (1), 280-310, 2017
    with A. Shardin

  8. Fast explicit diffiusion for long-time integration of parabolic problems.
    AIP Conference Proceedings 1863, 410002, 2017
    with M. Bähr, M. Breuß

  9. Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach.
    Communications on Stochastic Analysis , Vol. 8, No. 1, 49-79, 2014,
    with R. Frey, A. Gabih

  10. Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift.
    Communications on Stochastic Analysis , Vol. 8, No. 1, 27-47, 2014,
    with A. Gabih, H. Kondakji, J. Sass

  11. Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions.
    arXiv:1303.2513v1 (2013)
    with R. Frey

  12. Portfolio optimization under partial information with expert opinions.
    International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 2012
    with R. Frey, A. Gabih

  13. Optimal portfolio policies under bounded expected loss and partial information.
    Mathematical Methods of Operations Research, 72, 25-61, 2010
    with J. Sass

  14. Dynamic shortfall constraints for optimal portfolios.
    Surveys in Mathematics and its Applications, 5, 135–149, 2010
    with D. Akume, B. Luderer

  15. Utility Maximization Under Bounded Expected Loss.
    Stochastic Models, 3(25): 375 - 407, 2009
    with A. Gabih, J. Sass

  16. Optimal portfolios under dynamic shortfall constraints.
    Journal Afrika Statistika, 4 , 156-167, 2009
    with D. Akume, B. Luderer

  17. Optimal portfolio strategies under a shortfall constraint.
    ORiON: The Journal of ORSSA., 1(25): 2009
    with D. Akume, B. Luderer

  18. Entropic risk constraints for utility maximization.
    In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 149-180, 2008.
    with J. Sass, B. Rudloff.

  19. Optimal Portfolio Policies Under Bounded Expected Loss and Partial Information.
    RICAM-Report No. 2008-1, Johann Radon Institute for Computational and Applied Mathematics (RICAM), Linz, 2008.
    with J. Sass.

  20. Computing Optimal Portfolio Policies with Unobservable Markov Modulated Drift Process and Bounded Expected Loss.
    In: C. Fernandes, H. Schmidli, N.Kolev (eds.): Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, March 25- 30, 2007, Institute of Mathematics and Statistics, University of Sao Paulo, 242-247, 2007.
    with J. Sass.

  21. Optimal portfolios under bounded shortfall risk and partial information.
    In: Waldmann, K.-H., Stocker, U. (eds.): Operations Research Proceedings 2006, 581-586, Springer 2007.
    with A. Gabih, J. Sass.

  22. Optimal portfolio strategies benchmarking the stock market.
    Mathematical Methods of Operations Research, 2(64): 211-225, 2006
    with A. Gabih, W. Grecksch, M. Richter

  23. Dynamic portfolio optimization with bounded shortfall risks.
    Stochastic Analysis and Applications, 3(23): 579-594, 2005
    with A. Gabih, W. Grecksch

  24. Utility maximization with bounded shortfall risk in an HMM for the stock returns.
    In: N.Kolev, P. Morettin (eds.): Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, August 28 - September 3, 2005, Institute of Mathematics and Statistics, University of Sao Paulo, 116-121, 2005.
    with A. Gabih, J. Sass.

  25. Dynamic optimal portfolios benchmarking the stock market.
    Tagungsband zum Workshop ''Stochastische Analysis'', 27.-29.09.2004, ISSN 1612-5665, pp. 45-83, 2005.
    with A. Gabih, M. Richter.

  26. Dynamic utility maximization with bounded shortfall risks.
    Proceedings in Applied Mathematics and Mechanics (PAMM), 1(5):721-722, 2005
    with A. Gabih.

  27. Der Cost Average Effekt in der Anlageberatung - Einsatzmöglichkeiten und Grenzen sowie deren mathematische Hintergründe.
    Festschrift für Karl Lohmann zum 65. Geburtstag, Betriebswirtschaftliche Schriften, Heft 162, Duncker & Humboldt, pp. 123-153, Berlin 2004.
    with B. Hofmann, M. Richter, F. Thießen
    Extended Preprint [PDF 380 KB)]

  28. Optimal portfolios with bounded shortfall risks.
    Tagungsband zum Workshop ''Stochastische Analysis'', 29.09.-01.10.2003, ISSN 1612-5665, pp. 21-42, 2004.
    with A. Gabih.

  29. Konvergenzbeschleunigung für Binomialmethoden zur Bewertung von Barriereoptionen.
    Tagungsband zum Workshop ''Stochastische Analysis'', 29.09.-01.10.2003, ISSN 1612-5665, pp. 67-100, 2004.
    with K. Ilzig, H.-J. Starkloff.

  30. Price Models with weakly correlated processes.
    Tagungsband zum Workshop ''Stochastische Analysis'', 29.09.-01.10.2003, ISSN 1612-5665, pp. 183-196, 2004.
    with M. Richter, H.-J. Starkloff.

  31. Optimal portfolios with bounded expected loss.
    Reports of the Institute of Optimization and Stochastics, Martin-Luther-Universität Halle-Wittenberg,, No. 19, pp. 1-9, 2004.
    with A. Gabih
    [PDF]

  32. Vermögensaufteilung für die Altersvorsorge: Wie fundiert sind langfristige Allokationsregeln ?
    Zeitschrift für Bankrecht und Bankwirtschaft, 4: 261-276, 2003
    with B. Hofmann, F. Thießen, V. Weber

  33. ''Aktien schlagen Renten 100-prozentig'' - Asset Allocation in der Altersvorsorge: Wie fundiert sind langfristige Allokationsregeln ?
    WWDP 47/2002, TU Chemnitz, Faculty of Economics and Business Administration, 2002
    with B. Hofmann, F. Thießen, V. Weber
    [Postscript 250 KB)]

  34. Die Overnight Order im Devisenmanagement - eine überschätzte Geschäftsart.
    Finanzbetrieb, 1(3):58-62, 2001.
    with H.-J. Starkloff, F. Thießen

  35. Stochastic price processes with epsilon-correlated returns.
    Preprint 2001-17, TU Chemnitz, Faculty of Mathematics, 2001.
    with T. Kremer, M. Richter, H.-J. Starkloff
    [Postscript (230 KB)]
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Differential Equations with Random Parameters

  1. Stationary solutions of linear ODEs with a randomly perturbed system matrix.
    Tagungsband zum Workshop ''Stochastische Analysis'', 27.-29.09.2004, ISSN 1612-5665, pp. 45-83, 2005.
    with H.-J. Starkloff.

  2. Low-dimensional approximations for large-scale systems of random ODEs.
    Dynamic Systems and Applications, 2(11):143-165, 2002
    with J. vom Scheidt, H.-J. Starkloff
    Preprint     [Postscript (2.5 MB)] | [Postscript (gzipped 530 KB)]

  3. Stationary solutions of random differential equations with polynomial nonlinearities.
    Stochastic Analysis and Applications, 6(19):1059-1075, 2001.
    with J. vom Scheidt, H.-J. Starkloff
    Preprint     [Postscript (220 KB)]

  4. Random boundary value problems with weakly correlated functions.
    Dynamic Systems and Applications, (9):109-130, 2000.
    with M. Richter, J. vom Scheidt
    Preprint     [Postscript (290 KB)]

  5. Low-dimensional approximations and error estimates for systems of linear random ODEs.
    Preprint 2000-15, TU Chemnitz, Faculty of Mathematics, 2000.
    with J. vom Scheidt, H.-J. Starkloff.
    [Postscript (110 KB)]

  6. Systems of random differential equations and model reduction.
    Habilitationsschrift, TU Chemnitz, 1999.
    [Postscript (3.1 MB)] | [Postscript (gzipped 720 KB)]

  7. Random eigenvalue problems for bending vibrations of beams.
    Z. Angew. Math. Mech., 10(79):693-702, 1999.
    with S. Mehlhose, J. vom Scheidt
    Preprint     [Postscript (720 KB)] | [Postscript (gzipped 160 KB)]

  8. Optimal low-dimensional approximations of random vector functions.
    Preprint 98-31, TU Chemnitz, Faculty of Mathematics, 1998.
    with J. vom Scheidt, H.-J. Starkloff
    [Postscript (260 KB)]
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Random Vibrations

  1. Random transverse vibrations of a one-sided fixed beam and model reduction.
    Z. Angew. Math. Mech., 11-12(82):831-845, 2002
    with J. vom Scheidt, H.-J. Starkloff

  2. Remarks on randomly excited oscillators.
    Z. Angew. Math. Mech., 11-12(82):847-859, 2002
    with J. vom Scheidt, H.-J. Starkloff

  3. Random eigenvalue problems for bending vibrations of beams.
    Z. Angew. Math. Mech., 10(79):693-702, 1999.
    with S. Mehlhose, J. vom Scheidt
    Preprint     [Postscript (720 KB)] | [Postscript (gzipped 160 KB)]

  4. Low-dimensional approximations of random vibration systems.
    Z. Angew. Math. Mech., (81) S3:651-652, 2001.
    with J. vom Scheidt, H.-J. Starkloff

  5. Random vibration systems with epsilon-correlated excitations.
    Z. Angew. Math. Mech., (81) S3:649-650, 2001.
    with J. vom Scheidt, H.-J. Starkloff

  6. Transverse vibrations of a beam with random epsilon-correlated excitaion and model reduction.
    Preprint 2001-3, TU Chemnitz, Faculty of Mathematics, 2001.
    with J. vom Scheidt, H.-J. Starkloff.
    [Postscript (3.75 MB)]| [Postscript gzipped (700 KB)]

  7. Systems of random differential equations and model reduction.
    Habilitationsschrift, TU Chemnitz, 1999.
    [Postscript (3.1 MB)] | [Postscript (gzipped 720 KB)]

  8. Random road surfaces and vehicle vibration.
    In L. Arkeryd et al., editors, Progress in Industrial Mathematics at ECMI 98, 352-359, Teubner Stuttgart, 1999.
    with B. Fellenberg, J. vom Scheidt
    Extended Abstract     [Postscript (gzipped)]

  9. Results of statistical data analysis of random road profiles.
    Preprint 98-32, TU Chemnitz, Faculty of Mathematics, 1998.
    with J. vom Scheidt, H.-J. Starkloff
    [Postscript gzipped (875 KB)]

  10. On the analytic representation of the correlation function of linear random vibration systems.
    Preprint 97-18, TU Chemnitz, Faculty of Mathematics, 1997.
    with J. Gruner, J. vom Scheidt
    [Postscript (160 KB)]

  11. Model reduction of random vibration systems.
    In M. Brøns et al., editors, Progress in Industrial Mathematics at ECMI 96, 382 - 389, Teubner Stuttgart, 1997.
    with J. Gruner, J. vom Scheidt

  12. Nonlinear random vibrations of vehicles.
    Z. Angew. Math. Mech., (76) S5:447-448, 1996.
    with J. vom Scheidt

  13. Nonlinear stochastic vibrations of vehicles.
    In H. Neunzert, editor, Progress in Industrial Mathematics at ECMI 1994, 521 - 528, New York, Stuttgart, 1996. Wiley, Teubner.
    with J. vom Scheidt

  14. Numerical treatment of nonlinear random vibrations of vehicles.
    In Proceedings of 5th Mini Conf. on Vehicle System Dynamics, Identification and Anomalies, Budapest, Nov. 11-13, 515-523,1996.
    with J. Gruner, J. vom Scheidt
    [Postscript (200 KB)]
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Weakly Correlated Random Functions

  1. Price Models with weakly correlated processes.
    Tagungsband zum Workshop ''Stochastische Analysis'', 29.09.-01.10.2003, ISSN 1612-5665, pp. 183-196, 2004.
    with M. Richter, H.-J. Starkloff.

  2. Moving-average approximations of random e-correlated processes.
    Tagungsband zum Workshop ''Stochastische Analysis'', 29.09.-01.10.2003, ISSN 1612-5665, pp. 119-160, 2004.
    with A. Kandler, M. Richter, H.-J. Starkloff.

  3. Stochastic price processes with epsilon-correlated returns.
    Preprint 2001-17, TU Chemnitz, Faculty of Mathematics, 2001.
    with T. Kremer, M. Richter, H.-J. Starkloff
    [Postscript (230 KB)]

  4. Asymptotic expansions of integral functionals of weakly correlated random processes.
    Journal for Analysis and its Applications, 1(19):255-268, 2000.
    with J. vom Scheidt, H.-J. Starkloff

  5. Random boundary value problems with weakly correlated functions.
    Dynamic Systems and Applications, (9):109-130, 2000.
    with M. Richter, J. vom Scheidt
    Preprint     [Postscript (290 KB)]

  6. Systems of random differential equations and model reduction.
    Habilitationsschrift, TU Chemnitz, 1999.
    [Postscript (3.1 MB)] | [Postscript (gzipped 720 KB)]

  7. Random eigenvalue problems for bending vibrations of beams.
    Z. Angew. Math. Mech., 10(79):693-702, 1999.
    with S. Mehlhose, J. vom Scheidt
    Preprint     [Postscript (720 KB)] | [Postscript (gzipped 160 KB)]

  8. Integral functionals of epsilon-correlated random fields.
    Preprint 99-4, TU Chemnitz, Faculty of Mathematics, 1999.
    with J. vom Scheidt, H.-J. Starkloff.
    [Postscript (230 KB)]

  9. Asymptotic expansions of integral functionals of vector valued epsilon-correlated processes.
    Preprint 99-3, TU Chemnitz, Faculty of Mathematics, 1999.
    with J. vom Scheidt, H.-J. Starkloff.
    [Postscript (180 KB)]

  10. Approximation of stationary random functions with fractional rational spectral density.
    Preprint 99-1, TU Chemnitz, Faculty of Mathematics.
    with B. Fellenberg, H.-J. Starkloff
    [Postscript (290 KB)]

  11. Distribution approximations for nonlinear functionals of weakly correlated random processes.
    Journal for Analysis and its Applications, 1(16):201-216, 1997.
    with S. Mehlhose, J. vom Scheidt

  12. Asymptotic expansions for second-order moments of integral functionals of weakly correlated random functions.
    Preprint 97-17, TU Chemnitz, Faculty of Mathematics, 1997.
    with J. vom Scheidt, H.-J. Starkloff
    [Postscript (140 KB)]
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Mathematical Statistics and Data Analysis

  1. Results of statistical data analysis of random road profiles.
    Preprint 98-32, TU Chemnitz, Faculty of Mathematics, 1998.
    with J. vom Scheidt, H.-J. Starkloff
    [Postscript gzipped (875 KB)]

  2. Der Likelihoodquotiententest bei gruppierten Beobachtungen.
    Dissertation, TU Chemnitz, 1992.

  3. Tests für gruppierte Beobachtungen.
    Preprint 135, TU Karl-Marx-Stadt, Sektion Mathematik, 1990.
    with K.-H. Eger

  4. Likelihood-ratio-tests for grouped observations.
    Wiss. Schriftenreihe d. TU Karl-Marx-Stadt, (10):22-62, 1989.
    with K.-H. Eger

  5. Sequentielle Tests bei klassifizierten Beobachtungen.
    Wiss. Zeitschrift d. TU Karl-Marx-Stadt, (1):65-68, 1988.
    with K.-H. Eger

  6. Gruppierte sequentielle Tests.
    Diplomarbeit, TU Karl-Marx-Stadt, 1987.

  7. Computer-Assisted-Cartography - Die kartografische Ausgabe statistischer Daten.
    Schriftenreihe Gesundheit und Umwelt 2 4, 48-70, Forschungsinstitut für Hygiene und Mikrobiologie Bad Elster, 1986.
    with D. Feiler, M. Nagel
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