DFG Emmy Noether Independent Junior Research Group
"Exit time problems for stochastic processes"

Overview
The group investigates some classical problems concerning first exit times of stochastic processes and their various connections to other questions in probability, such as the approximation of stochastic processes, path regularity, pursuit problems, random polymers, and questions arising in theoretical physics.

Members

• Frank Aurzada (Head of the group)
  
• Christoph Baumgarten (PhD student)
  
• Tanja Kramm (PhD student)
  

Publications

• Frank Aurzada, Steffen Dereich (Münster), and Mikhail Lifshits (St. Petersburg):
  Persistence probabilities for an integrated random walk bridge
  submitted
  
  
• Frank Aurzada and Thomas Simon (Lille):
  Persistence probabilities & exponents
  submitted
  
  
• Frank Aurzada and Tanja Kramm:
  First exit of Brownian motion from a one-sided moving boundary
  submitted
  
  
• Frank Aurzada, Tanja Kramm, and Mladen Savov (Oxford):
  First passage times of Lévy processes over a one-sided moving boundary
  submitted
  
  
• Christoph Baumgarten:
  The one-sided exit problem for some iterated processes
  submitted
  
  
• Frank Aurzada and Christoph Baumgarten:
  Survival probabilities for weighted random walks
  ALEA. Latin American Journal of Probability and Mathematical Statistics 8 (2011), 235-258.
  
  
• Frank Aurzada:
  On the one-sided exit problem for fractional Brownian motion
  Electronic Communications in Probability 16 (2011), 392-404.
  
  
• Frank Aurzada and Steffen Dereich (Marburg):
  Universality of the asymptotics of the one-sided exit problem for integrated processes
  Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, to appear, 2012+
  
  
• Frank Aurzada, Leif Döring (Paris VI), and Mladen Savov (Oxford):
  Small time Chung type LIL for Lévy processes
  Bernoulli, to appear, 2012+
  
  
• Frank Aurzada, Fuchang Gao (Idaho), Thomas Kühn (Leipzig), Wenbo V. Li (Delaware), and Qi-Man Shao (Hong Kong):
  Small deviations for a family of smooth Gaussian processes
  Journal of Theoretical Probability, to appear, 2012+
  
  

Contact:
Technische Universität Berlin
Institut für Mathematik, Sekr. MA 7-4
Straße des 17. Juni 136
10623 Berlin
Germany
E-mail: aurzada --at-- math.tu-berlin --dot-- de