W. Grecksch's HomePage

Prof. Dr. Wilfried Grecksch
Martin-Luther-University Halle-Wittenberg
Faculty of Natural Sciences III
Institute of Mathematics
06099 Halle (Saale)

E-Mail: wilfried.grecksch@mathematik.uni-halle.33 (Spam-defence! Replace "33" by "de"!)

Phone: +49 (345) 55-24670

Anmeldung 7. GAMM-Workshop 16.-19.03.2009

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Bilanz als Rektor (2000-2006)

Zielvereinbarung vom 16. Dezember 2005 (Seite 4 "Bilanz als Rektor") Lebenslauf

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Field of research interests:

• Stochastic differential equations and stochastic control theory
  

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Some recent publications:

• A quasilinear stochastic partial differential equation driven by fractional white noise
  with Christian Roth
  Monte Carlo Methods and Applications, 13: 353-368, (2008).
• An e-optimal portfolio with stochastic volatility.
  (with A. Gabih)
  Monte Carlo Methods and Applicatons, 11: 1-14, (2005).
• Dynamic portfolio optimization with bounded shortfall risks.
  (with A. Gabih and R.Wunderlich)
  Stochastic Analysis and Applications, 23(3): 579-594, (2005).
• A fractional stochastic evolution equation driven by fractional Brownian motion.
  (with V. V. Anh)
  Monte Carlo Methods and Applications, Vol. 9, No. 3, 2003, pp. 189-293.
• A characterization of approximate solutions of multiobjective stochastic optimal control problems
  (with F. Heyde, G. Isac an Chr. Tammer)
  Optimization (2003), Vol. 52, pp. 153-170.
  Reports of the Institute of Optimization and Stochastics, Report No. 18, 2002. 68 kb dvi file
• An e-Minimum Principle for Multiobjective Stochastic Optimal Control Problems.
  (with F. Heyde and Chr. Tammer)
  Investigation Operactional, Vol. 23, No. 1, 2002, pp. 27-36.
• An Algorithm for Infinite Dimensional Stochastic Control Problems
  ZAMM 82 (2002), 767-780.

• Exploitation of necessary and sufficient conditions for suboptimal solutions
  of multiobjective stochastic control problems
  (with F. Heyde and Chr. Tammer)
  Mathematical Methods of Operations Research, Vol. 54, Issue 3 (2001), 425-438.

• Parameterschätzung im Vasicek-Modell
  (mit Marian Brandau und Frank Ebert)
  DGVM, Konrad-Triltsch-Verlag (2001), Band XXV, Heft 2, 203-209.

• Exploitation of necessary and sufficient conditions for suboptimal solutions
  of multiobjective stochastic control problems.
  (with F. Heyde and Chr. Tammer)
  Reports of the Institute of Optimization and Stochastics, Report No. 7, 2001. 50kb dvi file
• A parallel Version of Quasigradient Method in Stochastic Control Theory
  (with Thomas Pohl and Holger Blaar)
  Optimization (2001), Vol. 49, 95-114.

• Zur Modellierung des Zufalls
  Wissenschaftsjournal der Martin-Luther-Universität Halle-Wittenberg, scientia halensis 4 (2000), 3-4.

• Proximal Point Algorithm for an Approximated
  Stochastic Optimal Control Problem
  (with F. Heyde and Chr. Tammer)
  Monte Carlo Methods and Appl. Vol. 6, No. 3, pp.175-189 (2000)
  Reports of the Institute of Optimization and Stochastics, Report No. 20, 2000. 55kb dvi file
• Fractional diffusion and fractional heat equation
  (with J.M. Angulo, V.V. Anh, and M.D. Ruiz-Medina)
  Advances in Applied Probability, 32(4), 2000.
• Parabolic Regularization of a First Order Stochastic Partial Differential Equation (with C. Tudor)
  Stochastic Analysis and Applications , Vol. 18, Number 3, 2000, pp. 397-416
• Approximation of stochastic evolution equations and application to equations with fractional power of infinitesimal operators
  (with V.V. Anh)
  Random Oper. and Stoch. Equ., Vol. 8, No. 1, pp. 27-38(2000)
• The Wiener-Hopf Integral Equation for Fractional Riesz-Bessel Motion
  (with V.V. Anh, J.M. Angulo and M.D. Ruiz-Medina)
  J. Austral. Math. Soc. Ser. B 42(2000), 1-14
• Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input
  (with V.V. Anh)
  Monte Carlo Methods and Applications, Vol. 5, No. 4(1999), pp. 311-323
• A stochastic Goursat Problem
  (with V.V. Anh and A. Wadewitz)
  Stochastic Analysis and Applications 17(1999) 315-327
• A Parallel Modified Lagrangian Method for an Optimal Control Problem of a Linear Distributed Stochastic System. (with Th. Pohl and H. Blaar)
  Reports of the Institute of Optimization and Stochastics, Report No. 9 (1999), 88 kb, dvi.file
• A parabolic stochastic differential equation with fractional Brownian motion input (with V.V. Anh)
  Statistics & Prohability Letters 41 (1999) 337-346
• A parallel modifed Lagrangian Method for an optimal control problem of a linear distributed stochastic system (with Th. Pohl and H. Blaar)
  Monte Carlo Methods Appl. 4 (1998), no. 4, 319-340
• Approximation of Stochastik Differential Equations with Modified Fractional Brownian Motion
  (with V.V. Anh)
  ZAA 17 (1998) 3, 715-727
• An Identification Problem for Partially Observed Infinite Dimensional Linear Stochastic Systems
  (with C. Tudor)
  Optimization 43 (1998), 199-217, preprint (55kb dvi file)
• Parabolic Regularization of a First Order Stochastic Partial DifferentialEquation
  (with C. Tudor)
  Reports of the Institute of Optimization and Stochastics, Report No. 17(1998).
• A Parallel Application of a Quasigradient Method in Stochastic Control Theory
  (with Th. Pohl, H. Blaar)
  Reports of the Institute of Optimization and Stochastics, Report No. 11(1998).
• Lösung einer parabolischen stochastischen Differentialgleichung mit parallelen Algorithmen
  (mit Th. Pohl und H. Blaar)
  4. Leipziger Informatik Tage 1996, Konferenzband, 33-36
• Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods
  (with A. Wadewitz)
  ZAA 15(1996)4, 901-916
• Time-discretised Galerkin approximations of parabolic stochastic PDEs
  (with P. E. Kloeden)
  Bull. Austr. Math. Soc., Vol. 54(1996), 79-85
• A splitting up method for nonlinear parabolic Ito equations
  Reports of the Institute of Optimization and Stochastics, Report No. 26 (1996). (28kb dvi file)
• A stochastic variational inequality
  ZAMM 75 (1995), 559-560
• Stochastic evolution equations - a Hilbert space approach
  (with C. Tudor)
  Mathematical Research, vol. 85, Akademie Verlag, Berlin 1995 (178 pages)
• A stochastic nonlinear evolution equation
  ZAA 11(1992) 4, 539-552

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DFG-Project
Optimization and Stochastic
Institute of Mathematics

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© 13. April 2007