Credit: Anna Logue
Credit: Nikoletta Babynets
Lehre aktuell
- Funktionalanalysis (HWS 2023)
- Numerik und Stochastik von Klimamodellen (HWS 2023)
- Expositiones mathematicae (HWS 2023)
Organisation und Betreuung der Uni-Mathe-AG und weiterer Projekte für Schulen
Vergangene Veranstaltungen:
Research Interests
- Stochastic analysis
- Malliavin calculus (Wick calculus)
- (Numerical schemes for) stochastic differential equations
- Fractional Brownian motion
- Climate mathematics
Publications
- Bender, C. and Parczewski, P. (2018). Discretizing Malliavin calculus. Stochastic Processes and Their Applications, 128, 2489 – 2537.
- Neuenkirch, A. and Parczewski, P. (2018). Optimal approximation of skorohod integrals. Journal of Theoretical Probability, 31, 206–231.
- Parczewski, P. (2017). Donsker-type theorems for correlated geometric fractional Brownian motions and related processes. Electronic Communications in Probability : ECP, 22, 1–13.
- Parczewski, P. (2017). Extensions of the Hitsuda–Skorokhod integral. Communications on Stochastic Analysis, 11, 479–490.
- Parczewski, P. (2017). Optimal approximation of Skorohod integrals – examples with substandard rates. Communications on Stochastic Analysis, 11, 43–61.
- Parczewski, P. (2017). The self-normalized Donsker theorem revisited. Modern Stochastics: Theory and Applications, 4, 189–198.
- Parczewski, P. (2014). A Wick functional limit theorem. Probability and Mathematical Statistics, 34, 127–145.
- Parczewski, P. (2014). A fractional Donsker theorem. Stochastic Analysis and Applications, 32, 328–347.
- Bender, C. and Parczewski, P. (2010). Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus. Bernoulli : Official Journal of the Bernoulli Society for Mathematical Statistics and Probability, 16, 389–417.
- Bender, C. and Parczewski, P. (2012). On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model. In Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott (S. 3–40). Hackensack, NJ [u.a.]: World Scientific.
- Parczewski, P. (2013). A Wick functional limit theorem and applications to fractional Brownian motion. Dissertation. Saarbrücken.