Robert Stelzer

Publication Activity (10 Years)

Years Active: 2012-2023
Publications (10 Years): 2

Top Topics

Stochastic Dynamic Programming

Gamma Distributions

Dimensionality Reduction

Top Venues

J. Appl. Probab.

SIAM J. Financial Math.

J. Multivar. Anal.

Publications

Dirk-Philip Brandes, Imma Valentina Curato, Robert Stelzer
Inheritance of strong mixing and weak dependence under renewal sampling. J. Appl. Probab. 60 (2) (2023)
Christoph Belak, An Chen, Carla Mereu, Robert Stelzer
Optimal Investment with Time-Varying Stochastic Endowments. SIAM J. Financial Math. 13 (3) (2022)
Víctor Pérez-Abreu, Robert Stelzer
Infinitely divisible multivariate and matrix Gamma distributions. J. Multivar. Anal. 130 (2014)
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
Option Pricing in Multivariate Stochastic Volatility Models of OU Type. SIAM J. Financial Math. 3 (1) (2012)