Institut für Angewandte Mathematik
Universität Heidelberg
Im Neuenheimer Feld 294
69120 Heidelberg

Publications
(you may download preprint versions, for the final versions consult the journals)

• Asymptotic equivalence for nonparametric regression with multivariate and random design, Annals of Statistics, to appear.
• Nonlinear estimation for linear inverse problems with error in the operator, Annals of Statistics 36(1), 310-336, 2008. (with M. Hoffmann)
• On Emery's inequality and a variation-of-constants formula, Stochastic Analysis and Applications 25(2), 353-379, 2007. (with M. Riedle, O. van Gaans)
• Discretisation of stochastic control problems for continuous time dynamics with delay, Journal of Computational and Applied Mathematics 205(2), Special Issue on Evolutionary Problems, 969-981, 2007. (with M. Fischer)
Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case, Probability Theory and Related Fields 137(1-2), 25-47, 2007. (with A. Dalalyan) Spectral calibration for exponential Levy models, Finance and Stochastics 10 (4), 449-474, 2006. (with D. Belomestny) Implementation
• Delay differential equations driven by Levy processes: stationarity and Feller properties, Stochastic Processes and their Applications 116 (10), 1409-1432, 2006. (with M. Riedle, O. van Gaans)
• Nonparametric volatility estimation on the real line from low-frequency data in The Art of Semiparametrics (S. Sperlich, W. Härdle, G. Aydinli Ed.), Physica, Heidelberg, 32-48, 2006.
• An optimal stopping problem in a diffusion-type model with delay, Statistics & Probability Letters 76(6), 601-608, 2006. (with P. Gapeev)
• Asymptotic statistical equivalence for scalar ergodic diffusions, Probability Theory and Related Fields 134(2), 248-282, 2006. (with A. Dalalyan)
• Adaptive estimation for affine stochastic delay differential equations, Bernoulli 11(1), 67-102, 2005.
• Estimating the time delay in affine stochastic delay differential equations, International Journal of Wavelets, Multiresolution and Information Processing 2(4), Special Issue Wavelets & Statistics, 525-544, 2004.
• Adaptive wavelet Galerkin methods for linear inverse problems, SIAM Journal of Numerical Analysis 42(4), 1479-1501, 2004. (with A. Cohen, M. Hoffmann)
• Nonparametric estimation of scalar diffusions based on low-frequency data, Annals of Statistics 32(5), 2223-53, 2004. (with M. Hoffmann, E. Gobet)
• Minimax rates for nonparametric drift estimation in affine stochastic delay equations, Statistical Inference for Stochastic Processes 5, 131-152, 2002.

• On rate optimality for ill-posed inverse problems in econometrics, Cowles Foundation Discussion Paper No. 1626, arXiv:0709.2003v1, submitted. (with X. Chen)
• Nonparametric estimation for Levy processes from low-frequency observations, arXiv:0709.2007v1, submitted. (with M. H. Neumann)
• Regularisation independent of the noise level: an analysis of quasi-optimality, arXiv:0710.1045v1, submitted. (with F. Bauer)
• A simple method to study the transitional dynamics in endogenous growth models, WIAS Preprint 917, 2004. (with D. Bethmann)