Dennis Schroers

Doctoral Research Fellow - Risk and Stochastics
Image of Dennis Schroers
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Room 1019
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Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postal address Postboks 1053 Blindern 0316 Oslo
Other affiliations Faculty of Mathematics and Natural Sciences (Student)

Academic interests

I do research in the field of statistics for stochastic processes from an infinite-dimensional point of view (functional data analysis). A major goal is to provide a better understanding of the dependence structure underlying the evolution of forward curves, like they appear in energy or fixed income markets. To achieve that, a central topic is to derive methods for estimating the volatility process in infinite-dimensional stochastic processes (mild solutions of SPDE). Further, we try to access the dependence structure of functional data via alternative concepts such as copulas.

 

Publications

  • with Fred Espen Benth & Giulia Di Nunno (2022). A topological proof of Sklar's theorem in arbitrary dimensions. Accepted in Dependence Modelling. (arXiv)

  • with Fred Espen Benth & Almut E.D. Veraart. (2020). A weak law of large numbers for realised covariation in a Hilbert space setting. Stochastic Processes and their Applications 145. (arXiv)

  • with Fred Espen Benth & Giulia Di Nunno (2020). Copula measures and Sklar's theorem in arbitrary dimensions. Accepted in Scandinavian Journal of Statistics. (arXiv)

  •  with Bálint Farkas, Martin Friesen and Barbara Rüdiger (2020). On a class of stochastic partial differential equations with multiple invariant measures. Nonlinear Differential Equations and Applications 28. (arXiv)

Tags: Mathematics, Stochastic Analysis, Functional Data Analysis

Publications

  • Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022). A weak law of large numbers for realised covariation in a Hilbert space setting. Stochastic Processes and their Applications. ISSN 0304-4149. 145, p. 241–268. doi: 10.1016/j.spa.2021.12.011. Full text in Research Archive
  • Benth, Fred Espen; Di Nunno, Giulia & Schroers, Dennis (2021). Copula measures and Sklar's theorem in arbitrary dimensions. Scandinavian Journal of Statistics. ISSN 0303-6898. doi: 10.1111/sjos.12559.
  • Farkas, Bálint; Friesen, Martin; Rüdiger, Barbara & Schroers, Dennis (2021). On a class of stochastic partial differential equations with multiple invariant measures. NoDEA. Nonlinear differential equations and applications (Printed ed.). ISSN 1021-9722. 28(3). doi: 10.1007/s00030-021-00691-x. Full text in Research Archive

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Published Nov. 13, 2019 11:39 AM - Last modified Apr. 13, 2022 11:43 AM