Dr. Stefan Tappe
Academic Staff
This position is funded by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation), Module "Temporary Positions for Principal Investigators".
Address:
Department of Mathematical Stochastics
Albert Ludwig University of Freiburg
Ernst-Zermelo-Straße 1
Room 225
79104 Freiburg (Germany)
Phone: +49-761-203-5676
Fax: +49-761-203-5661
E-Mail: stefan.tappe@math.uni-freiburg.de
Research Interests
- Stochastic Analysis
- Stochastic Partial Differential Equations
- Financial Mathematics
Publications
Textbooks
- Tappe, S. (2013): Einführung in die Wahrscheinlichkeitstheorie. (Introduction to Probability Theory.) Springer-Verlag Berlin Heidelberg, 303 pages
Current Preprints
- Tappe, S. (2022):Invariant cones for jump-diffusions in infinite dimensions. 46 pages (arXiv)
- Nakayama, T., Tappe, S. (2022): Distance between closed sets and the solutions to stochastic partial differential equations. 34 pages (arXiv)
- Bhaskaran, R., Tappe, S. (2022): Invariant manifolds for stochastic partial differential equations in continuously embedded Hilbert spaces. 74 pages (arXiv)
- Platen, E., Tappe, S. (2020): Existence of equivalent local martingale deflators in semimartingale market models. 41 pages (arXiv)
Publications in International Journals
- Platen, E., Tappe, S. (2022): No arbitrage and multiplicative special semimartingales. Accepted for publication, to appear in Advances in Applied Probability 55(3) (arXiv)
- Platen, E., Tappe, S. (2022): Exploiting arbitrage requires short selling. Accepted for publication, to appear in Frontiers of Mathematical Finance (arXiv)
- Tappe, S. (2022): An addendum to "Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients". Theory of Probability and Mathematical Statistics 107, 173-184 (arXiv)
- Tappe, S. (2021): The dual Yamada-Watanabe theorem for mild solutions to stochastic partial differential equations. Theory of Probability and Mathematical Statistics 105, 51-68 (arXiv)
- Tappe, S. (2021): Permutation invariant strong law of large numbers for exchangeable sequences. Journal of Probability and Statistics, vol. 2021, Article ID 3637837, 5 pages (arXiv)
- Platen, E., Tappe, S. (2021): No-arbitrage concepts in topological vector lattices. Positivity 25(5), 1853-1898 (arXiv)
- Tappe, S. (2021): Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients. Theory of Probability and Mathematical Statistics 104, 113-122 (arXiv)
- Tappe, S. (2021): A note on the von Weizsäcker theorem. Statistics and Probability Letters 168, Article 108926, 6 pages (arXiv)
- Schmidt, T., Tappe, S., Yu, W. (2020): Infinite dimensional affine processes. Stochastic Processes and Their Applications 130(12), 7131-7169 (arXiv)
- Nakayama, T., Tappe, S. (2018): Wong-Zakai approximations with convergence rate for stochastic partial differential equations. Stochastic Analysis and Applications 36(5), 832-857 (arXiv)
- Tappe, S. (2017): Invariance of closed convex cones for stochastic partial differential equations. Journal of Mathematical Analysis and Applications 451(2), 1077-1122 (arXiv)
- Tappe, S. (2016): Affine realizations with affine state processes for stochastic partial differential equations. Stochastic Processes and Their Applications 126(7), 2062-2091 (arXiv)
- Tappe, S. (2015): Flatness of invariant manifolds for stochastic partial differential equations driven by Lévy processes. Electronic Communications in Probability 20(40), 1-11 (arXiv)
- Tappe, S. (2015): Existence of affine realizations for stochastic partial differential equations driven by Lévy processes. Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 471(2178) (arXiv)
- Platen, E., Tappe, S. (2015): Real-world forward rate dynamics with affine realizations. Stochastic Analysis and Applications 33(4), 573-608 (arXiv)
- Filipović, D., Tappe, S., Teichmann, J. (2014): Invariant manifolds with boundary for jump-diffusions. Electronic Journal of Probability 19(51), 1-28 (arXiv)
- Küchler, U., Tappe, S. (2014): Exponential stock models driven by tempered stable processes. Journal of Econometrics 181(1), 53-63 (arXiv)
- Tappe, S., Weber, S. (2014): Stochastic mortality models: An infinite dimensional approach. Finance and Stochastics 18(1), 209-248 (arXiv)
- Tappe, S. (2013): Compact embeddings for spaces of forward rate curves. Abstract and Applied Analysis, vol. 2013, Article ID 709505, 6 pages (arXiv)
- Küchler, U., Tappe, S. (2013): Tempered stable distributions and processes. Stochastic Processes and Their Applications 123(12), 4256-4293 (arXiv)
- Tappe, S. (2013): The Yamada-Watanabe Theorem for mild solutions to stochastic partial differential equations. Electronic Communications in Probability 18(24), 1-13 (arXiv)
- Tappe, S. (2013): The Itô integral with respect to an infinite dimensional Lévy process: A series approach. International Journal of Stochastic Analysis, vol. 2013, Article ID 703769, 14 pages (arXiv)
- Tappe, S. (2012): Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures. International Journal of Stochastic Analysis, vol. 2012, Article ID 236327, 24 pages (arXiv)
- Tappe, S. (2012): Existence of affine realizations for Lévy term structure models. Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 468(2147), 3685-3704 (arXiv)
- Rüdiger, B., Tappe, S. (2012): Isomorphisms for spaces of predictable processes and an extension of the Itô integral. Stochastic Analysis and Applications 30(3), 529-537 (arXiv)
- Filipović, D., Tappe, S., Teichmann, J. (2010): Jump-diffusions in Hilbert spaces: Existence, stability and numerics. Stochastics 82(5), 475-520 (arXiv)
- Filipović, D., Tappe, S., Teichmann, J. (2010): Term structure models driven by Wiener processes and Poisson measures: Existence and positivity. SIAM Journal on Financial Mathematics 1(1), 523-554 (arXiv)
- Tappe, S. (2010): An alternative approach on the existence of affine realizations for HJM term structure models. Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 466(2122), 3033-3060 (arXiv)
- Tappe, S. (2010): A note on stochastic integrals as L^2-curves. Statistics and Probability Letters 80(13-14), 1141-1145 (arXiv)
- Küchler, U., Tappe, S. (2009): Option pricing in bilateral Gamma stock models. Statistics and Decisions 27(4), 281-307 (arXiv)
- Küchler, U., Tappe, S. (2008): On the shapes of bilateral Gamma densities. Statistics and Probability Letters 78(15), 2478-2484 (arXiv)
- Filipović, D., Tappe, S. (2008): Existence of Lévy term structure models. Finance and Stochastics 12(1), 83-115 (arXiv)
- Küchler, U., Tappe, S. (2008): Bilateral Gamma distributions and processes in financial mathematics. Stochastic Processes and Their Applications 118(2), 261-283 (arXiv)
Publications in Refereed Conference Proceedings
- Schmidt, T., Tappe, S. (2015): Dynamic term structure modelling with default and mortality risk: New results on existence and monotonicity. Banach Center Publications 105(2015), 211-238 (arXiv)
- Mandrekar, V., Rüdiger, B., Tappe, S. (2013): Itô's formula for Banach space valued jump processes driven by Poisson random measures. Seminar on Stochastic Analysis, Random Fields and Applications VII, Progress in Probability 67, Birkhäuser Verlag, 171-186
Review Articles
- Tappe, S. (2013): Foundations of the theory of semilinear stochastic partial differential equations. International Journal of Stochastic Analysis, vol. 2013, Article ID 798549, 25 pages (arXiv)
Articles of general interest
- Tappe, S. (2020): A simple mathematical model for the evolution of the corona virus. 6 pages (arXiv)
Further Articles
- Filipović, D., Tappe, S., Teichmann, J. (2014): Stochastic partial differential equations and submanifolds in Hilbert spaces. Electronic appendix of the article "Invariant manifolds with boundary for jump-diffusions" (arXiv)
Theses
- Tappe, S. (2005): Finite dimensional realizations for term structure models driven by semimartingales. PhD Thesis, Humboldt University of Berlin, 153 pages (edoc-Server)
- Tappe, S. (2002): Cellular resolutions of monomial ideals. Diploma Thesis, University of Paderborn, 171 pages
Organized Conferences
- International Online Workshop Stochastic Analysis and Hermite Sobolev Spaces, organized together with Rajeev Bhaskaran (Indian Statistical Institute, Bangalore Centre, India) and Suprio Bhar (Indian Institute of Technology Kanpur, India), 21-26 June 2021
Teaching
Winter 2022/23 (University of Rostock)
- Stochastics for Bachelors (Lecture, 4 hours per week)
- Introduction to Actuarial and Financial Mathematics (Lecture, 4 hours per week)
Winter 2020/21 (Karlsruhe Institute of Technology)
- Stochastic Differential Equations (Lecture and Exercise Class, 4+2 hours per week)
- Statistical and Machine Learning (Seminar, jointly with Prof. Dr. Daniel Hug, 2+1 hours per week)
Summer 2020 (Karlsruhe Institute of Technology)
- Actuarial Mathematics (Lecture and Exercise Class, 4+2 hours per week)
- Topology (Seminar, 2+1 hours per week)
Winter 2019/20 (Ludwig Maximilian University of Munich)
- Financial Mathematics in discrete time (Lecture, 4 hours per week)
- Nonlinear Expectations (Seminar, 2 hours per week)
Summer 2019 (Albert Ludwig University of Freiburg)
- Risk Theory (Lecture and Exercise Class, 2+1 hours per week)
Winter 2018/19 (Albert Ludwig University of Freiburg)
- Mathematical Statistics (Lecture and Exercise Class, 4+2 hours per week)
- Actuarial Mathematics (Lecture and Exercise Class, 2+2 hours per week)
Summer 2018 (Albert Ludwig University of Freiburg)
- Markov Chains (Lecture and Exercise Class, 2+2 hours per week)
- Stochastic Integration and Financial Mathematics (Exercise Class, 2 hours per week)
Winter 2017/18 (Albert Ludwig University of Freiburg)
- Stochastic Processes (Lecture and Exercise Class, 4+2 hours per week)
- Stochastic Analysis with Rough Paths (Lecture and Exercise Class, 2+2 hours per week)
Winter 2016/17 (University of Hannover)
- Financial Mathematics in continuous time (Lecture, 4 hours per week)
Summer 2016 (University of Hannover)
- Stochastic Analysis (Lecture, 4 hours per week)
Winter 2015/16 (University of Hannover)
- Affine Processes (Lecture, 4 hours per week)
Summer 2015 (University of Hannover)
- Stochastic Analysis (Lecture, 4 hours per week)
Winter 2014/15 (University of Hannover)
- Stochastics A (Service-Lecture, 2 hours per week)
- Stochastic Analysis (Seminar, 2 hours per week)
Summer 2014 (University of Hannover)
- Stochastic Analysis (Lecture, 4 hours per week)
Winter 2013/14 (University of Hannover)
- Stochastics II (Lecture, 4 hours per week)
Summer 2013 (University of Hannover)
- Stochastics I (Lecture, 4 hours per week)
Winter 2012/13 (University of Hannover)
- Stochastics II (Lecture, 4 hours per week)
Summer 2012 (University of Hannover)
- Stochastics I (Lecture, 4 hours per week)
Winter 2011/12 (University of Hannover)
- Recent Developments in Financial Mathematics (Lecture, 4 hours per week)
Summer 2011 (University of Hannover)
- Stochastic Analysis (Lecture, 4 hours per week)
Winter 2010/11 (ETH Zurich)
- Interest Rate Theory (Exercise Class, 2 hours per week and coordination of duties)
Summer 2009 (Vienna University of Technology)
- Stochastic Analysis (Lecture and Exercise Class, 3+1 hours per week)
Winter 2008/09 (Vienna University of Technology)
- Stochastic Analysis in Finance and Insurance (Exercise Class, 1 hour per week)
Summer 2007 (Ludwig Maximilian University of Munich)
- Analysis II (Exercise Class, 4 hours per week and coordination of duties)
Winter 2006/07 (Ludwig Maximilian University of Munich)
- Analysis I (Exercise Class, 4 hours per week and coordination of duties)
Summer 2006 (Ludwig Maximilian University of Munich)
- Analysis III (Exercise Class, 4 hours per week and coordination of duties)
Winter 2005/06 (Ludwig Maximilian University of Munich)
- Analysis II (Exercise Class, 4 hours per week and coordination of duties)
Advised Theses
Karlsruhe Institute of Technology
- Johannes Schuler (Master Thesis): Mathematical Modeling of Pandemics with Differential Equations. August 2021 to March 2022 (External supervisor)
- Sebastian Gottheil (Bachelor Thesis): Credibility Theory. October 2020 to February 2021
- Christian Saulich (Bachelor Thesis): Reservation for delayed claims. September 2020 to March 2021
Ludwig Maximilian University of Munich
- Pavel Kartsovnik (Bachelor Thesis): Nonlinear expectations and risk measures. December 2019 to January 2020
- Doriane Audrey Nkeng Mbetntang (Master Thesis): Premium principles and experience rating. October 2019 to April 2020
Albert Ludwig University of Freiburg
- Lena Burkhardt (Bachelor Thesis): The Pólya urn model and its passage times. May 2019 to July 2019
- Roman Haak (Masterarbeit): Algebraic structures of stochastic integrals and their applications. October 2018 to March 2019
- Lorenz Denk (Bachelor Thesis): Parameter estimation and pricing in discrete-time financial models. May 2018 to August 2018
- Anna Maddux (Bachelor Thesis): Symmetric random walks and a generalization of the Borel-Cantelli lemma. April 2018 to July 2018
- Hang Zhou (Masterarbeit): Vector-valued stochastic integration and applications to financial mathematics. January 2018 to July 2018
University of Hannover
- Tahirivonizaka Rahantamialisoa (PhD Thesis): A unified approach to SPDEs driven by semimartingale fields. April 2012 to February 2017; the defence took place at March 15th, 2017
- Apostolos Sideris (Master Thesis): Affine processes on symmetric cones. July 2016 to January 2017
- Pascal Schoppe (Master Thesis): Pathwise uniqueness of the solutions to stochastic partial differential equations. April 2016 to October 2016
- Kwok-Yin Choi (Master Thesis): No-Arbitrage concepts in financial market models. February 2016 to August 2016
- Waldemar Schäfer (Bachelor Thesis): Characterizations and extensions of Panjer's class. July 2015 to October 2015
- Gabriele Carulli (Master Thesis): Functionals of affine processes with applications to finance. May 2015 to November 2015
- Sarah Martens (Master Thesis): The Skorokhod embedding problem. January 2015 to July 2015
- Michael Fiedler (Master Thesis): Markov semigroups and stochastic processes in infinite dimension. October 2014 to April 2015
- Johanna Schmidt (Master Thesis): A trajectorial interpretation of Doob's martingale inequalities. September 2014 to March 2015
- Harald Klingebiel (Bachelor Thesis): Convergence rates for the Berry-Esseen inequality. August 2014 to October 2014
- Pascal Schoppe (Bachelor Thesis): Deterministic and stochastic evolution equations. May 2014 to August 2014
- André Löper (Bachelor Thesis): Panjer distributions. May 2014 to July 2014
- Sören Schwark (Bachelor Thesis): Regression analysis of the linear dependence of financial data. April 2014 to June 2014
- Tim Massel (Bachelor Thesis): Coupling and uniform ergodicity of discrete Markov chains. April 2014 to July 2014
- Martin Sanojca (Bachelor Thesis): Bonferroni inequalities. February 2014 to May 2014
- Apostolos Sideris (Bachelor Thesis): Characteristic functions and infinitely divisible distributions. November 2013 to February 2014
- Henry Wegener (Master Thesis): Almost everywhere convergence of sequences of operators and its connection to modern and classical ergodic theory. November 2013 to May 2014
- Maria Óskarsdóttir (Master Thesis): On the uniqueness of solutions to stochastic differential equations. October 2013 to April 2014
- Gabriele Carulli (Bachelor Thesis): Option pricing in exponential L\'evy models. October 2013 to November 2013
- Sarah Klünder (Bachelor Thesis): Bivariate exponential distributions. October 2013 to December 2013
- Johanna Schirmer (Bachelor Thesis): Markov chains with finite state space. October 2013 to December 2013
- Nikolas Nüsken (Master Thesis): The stochastic wave equation. August 2013 to February 2014
- Tina Kolodinski (Bachelor Thesis): Geometric characterizations of arbitrage free financial models. July 2013 to September 2013
- Patrick Kiedrowski (Bachelor Thesis): Laws of large numbers. May 2013 to July 2013
- Florian Modler (Master Thesis): Invariant manifolds and foliations for stochastic partial differential equations and random dynamical systems. June 2012 to September 2012
- Dirk Skowasch (Diploma Thesis): Lévy processes in financial mathematics. May 2012 to November 2012
Vienna University of Technology
- Piet Porkert (Diploma Thesis): On weak solutions to SDEs in Hilbert spaces. August 2010 to February 2011
Ludwig Maximilian University of Munich
- Yong Shang (Diploma Student of Damir Filipović): Heath-Jarrow-Morton model with square root volatility. August 2007 to February 2008
Seven of my Master Students obtained offers for PhD positions; namely:
- Apostolos Sideris (Dresden University of Technology, Germany)
- Pascal Schoppe (University of Augsburg and Dresden University of Technology, Germany)
- Michael Fiedler (University of Duisburg-Essen, University of Hildesheim and University of Paderborn, Germany)
- Henry Wegener (Albert Einstein Institute Hannover and Martin Luther University of Halle-Wittenberg, Germany)
- Maria Óskarsdóttir (University of Leuven, Belgium)
- Nikolas Nüsken (Imperial College London, United Kingdom)
- Piet Porkert (Vienna University of Technology, Austria)
Curriculum Vitae
Education
- Achievements being equivalent to Habilitation, Successful Mid-Term Evaluation of my Junior Professorship, University of Hannover, March 2014
- PhD in Mathematics, Humboldt University of Berlin, November 2005
- Diploma in Mathematics, University of Paderborn, August 2002
Awards and Fellowships
- Award for Excellent Achievements in Mathematics ("Preis der Fakultät 2002"), University of Paderborn, February 2003
- DFG Research Fellowship (DFG-Graduiertenkolleg 251 "Stochastische Prozesse und probabilistische Analysis"), Oktober 2002 bis September 2005
Employment and Academic Positions
- Deputy Professor (W3-Professorship), University of Rostock, since October 2022
- Research Position funded by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation), Department of Mathematical Stochastics, Albert Ludwig University of Freiburg, since April 2021 (currently interrupted due to a Deputy Professorship)
- Deputy Professor (W3-Professorship), Institute of Stochastics, Karlsruhe Institute of Technology, April 2020 to March 2021
- Deputy Professor (W3-Professorship), Department of Mathematics, Ludwig Maximilian University of Munich, October 2019 to March 2020
- Academic Staff (Deputy of a Junior Professorship), Department of Mathematical Stochastics, Albert Ludwig University of Freiburg, April 2019 to July 2019
- Deputy Professor (W3-Professorship), Department of Mathematical Stochastics, Albert Ludwig University of Freiburg, October 2018 to March 2019
- Academic Staff, Department of Mathematical Stochastics, Albert Ludwig University of Freiburg, April 2018 to September 2018
- Deputy Professor (W3-Professorship), Department of Mathematical Stochastics, Albert Ludwig University of Freiburg, October 2017 to March 2018
- Academic Guest, Bernoulli Center, EPF Lausanne, Switzerland, April 2017 to June 2017
- Junior Professor, Institute of Probability and Statistics, University of Hannover, April 2011 to March 2017; this position has been extended in April 2014 after a successful mid-term evaluation for further three years
- Senior Postdoc in the group of Josef Teichmann, Department of Mathematics, ETH Zurich, Switzerland, October 2009 to March 2011
- Senior Scientist in the group of Damir Filipović, Vienna Institute of Finance, University of Vienna and Vienna University of Economics and Business, Austria, October 2007 to September 2009
- Research and Teaching Assistant in the group of Damir Filipović, Department of Mathematics, Ludwig Maximilian University of Munich, October 2005 to September 2007
- Research Fellow in the group of Uwe Küchler, Department of Mathematics, Humboldt University of Berlin, October 2002 to September 2005
- Student Assistant, Department of Mathematics and Computer Sciences, University of Paderborn, April 1999 to July 2002