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Recent Publications

Articles (a selection)

  • Boundary Crossing Distributions of Random Walks related to the Law of the Iterated Logarithm, with U. Kerkhoff, Statistica Sinica 23, 1697-1715 (2013).

  • A harmonic function approach to Nash-equilibria of Kifer-type stopping games, with D. Stich, Statistics & Risk Modeling 30, 169-180 (2013).

  • Structure of discounted optimal stopping problems for one-dimensional diffusions, with P. Gapeev, Stochastics 83, 537-554 (2011).

  • Blackwell Prediction for Categorical Data, Game Theory 15, 139-152 (2011) (Nova Publishers). (pdf)

  • On Minimax Duality in Optimal Stopping, with M. Urusov, Sequential Analysis 29, 328-342 (2010).

  • Sequential Detection of Drift Change for Brownian Motion with Unknown Sign, with I. Maahs, Georgian Mathematical Journal 15, 713-730 (2008).

  • Optimal stopping via measure transformation: the Beibel-Lerche approach, with M. Urusov, Stochastics 79, 275-291 (2007).

  • Sequential Bayes Detection of Trend Changes, with M. Beibel, Foundations of Statistical Inference, Proceedings of the Shoresh Conference 2000, Eds.: Y. Haitovsky, H.R. Lerche, Y. Ritov, Physika Verlag, 117-130 (2003).

  • Maximally Selected Rank Statistics for Dose-Response Problems, with B. Lausen und M. Schumacher, Biometrical Journal 44, 1-17 (2002). lausen2.pdf (pdf)

  • Optimal stopping of regular diffusions under random discounting, with M. Beibel, Theory of Probability and Its Applications 45, 657-669 (2000). (pdf)

  • A New Look at Optimal Stopping Problems related to Mathematical Finance, with M. Beibel, Statistica Sinica 7, 93-108 (1997). (pdf)

  • An empirical study concerning the detection of trend changes in some financial time series, with O. Kohler, FDM Preprint No. 36, Universtität Freiburg (1997). (pdf)

  • A nonlinear parking problem, with M. Woodroofe und R. Keener, Sequential Analysis 14, 247-272 (1995).

  • The Blackwell prediction algorithm for infinite 0-1 sequences, and a generalization, with J. Sarkar, Statistical Decision Theory and Related Topics V, Eds.: S.S. Gupta, J.O. Berger, Springer Verlag, 503-511 (1994). blackwell.pdf (pdf)

  • A generalized parking problem, with R. Keener und M. Woodroofe, Statistical Decision Theory and Related Topics V, Eds.: S.S. Gupta, J.O. Berger, Springer Verlag, 523-532 (1994). WoodroofeLercheKeener4.pdf (pdf)

  • A refined large deviation principle for Brownian motion and its application to boundary crossing, with M. Beibel, Stochastic Processes and Their Applications, 51, 269-276 (1994).

  • Approximate Exit Probabilities for a Brownian Bridge on a Short Time Interval and Applications, with D. Siegmund, Adv. Appl. Probab., 21, 1-19 (1989). (pdf)

  • An optimal property of the repeated significance test, Proc. Nat. Acad. Sci. U.S.A. 83, 1546-1548 (1986). signif_test.pdf (pdf)

  • The shape of Bayes tests of power one, Annals of Statistics 14, 1030-1048 (1986). (pdf)

  • Asymptotic densities of stopping times associated with tests of power one, with C. Jennen, Z. Wahrscheinlichkeitstheorie verw. Geb. 61, 501-511 (1982).

  • Fluctuations of posterior distributions of quadratically differentiable experiments, Z. Wahrscheinlichkeitstheorie verw. Geb. 59, 223-238 (1982).

  • First exit densities of Brownian motion through one-sided moving boundaries, with C. Jennen, Z. Wahrscheinlichkeitstheorie verw. Geb. 55, 133-148 (1981).

  • The law of the iterated logarithm for posterior distributions, Proceedings of the Conference on Probability Theory, Brasov, Romania 1979, 347-355 (1981).

 

Monographs

  • Foundations of Statistical Inference, Proceedings of the Shoresh Conference 2000,jointly with Y. Haitovsky and Y. Ritov, Physika Verlag (2003), ISBN 3-7908-0047-3. (Cover)

  • Boundary Crossing of Brownian Motion, Lecture Notes in Statistics, Vol. 40, Springer-Verlag, Heidelberg-New York (1986), ISBN 3-540-96433-9, ISBN 0-387-96433-9. LNS40-Boundary-Crossing.pdf (pdf)

 

Testimonials

  • Stellungnahme zu den Untersuchungen über Kindersterblichkeit in Bayern nach dem Reaktorunfall von Tschernobyl, Gutachten für den Umweltausschuß des Bayerischen Landtags (1998), with M. Beibel.

 
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