Mark Podolskij
Mark Podolskij is Full professor of financial mathematics at Department of Mathematics, Université du Luxembourg. He has a PhD from Bochum (2006, Germany) and was a postdoctoral researcher at CREATES (2007-2008) and at ETH Zurich (2008-2010) before he became full professor at University Heidelberg (2010-2014).
He acts as associated editor of ALEA, Bernoulli, Statistica Sinica, and Statistics and Risk Modeling. He is a member of the advisory board of "Lecture Notes in Mathematics", Springer.
His main research interests are: inference for semimartingales, tests for diffusion processes, central limit theorems for high-frequency data and Malliavin calculus.
Christensen, K., Nielsen, M. S. & Podolskij, M. (2023). High-dimensional estimation of quadratic variation based on penalized realized variance. Statistical Inference for Stochastic Processes, 26(2), 331-359. https://doi.org/10.1007/s11203-022-09282-8
Ljungdahl, M. M. & Podolskij, M. (2022). Multidimensional parameter estimation of heavy-tailed moving averages. Scandinavian Journal of Statistics, 49(2), 593-624. https://doi.org/10.1111/sjos.12527
Ivanovs, J. & Podolskij, M. (2022). Optimal estimation of the supremum and occupation times of a self-similar Lévy process. Electronic Journal of Statistics, 16(1), 892-934. https://doi.org/10.1214/21-EJS1928
Basse-O'Connor, A., Grønbæk, T. Ø. B. & Podolskij, M. (2021). Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions. ESAIM: Probability & Statistics, 25, 286-297. https://doi.org/10.1051/ps/2021011
Basse-O'Connor, A., Podolskij, M. & Thäle, C. (2020). A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages. Electronic Journal of Probability, 25, 1-31. artikel 31. https://doi.org/10.1214/20-EJP435
Ljungdahl, M. M. & Podolskij, M. (2020). A minimal contrast estimator for the linear fractional stable motion. Statistical Inference for Stochastic Processes, 23(2), 381-413. https://doi.org/10.1007/s11203-020-09216-2
Podolskij, M., Veliyev, B. & Yoshida, N. (2020). Edgeworth expansion for Euler approximation of continuous diffusion processes. Annals of Applied Probability, 30(4), 1971-2003. https://doi.org/10.1214/19-AAP1549
Mazur, S., Otryakhin, D. & Podolskij, M. (2020). Estimation of the linear fractional stable motion. Bernoulli, 26(1), 226-252. https://doi.org/10.3150/19-BEJ1124
Ljungdahl, M. M. & Podolskij, M. (2019). A Note on Parametric Estimation of Lévy Moving Average Processes. I A. Steland, E. Rafajłowicz & O. Okhrin (red.), Stochastic Models, Statistics and Their Applications, 2019: Dresden, Germany, March 2019 (s. 41-56). Springer. https://doi.org/10.1007/978-3-030-28665-1_3
Basse-O'Connor, A., Heinrich, C. & Podolskij, M. (2019). On limit theory for functionals of stationary increments Lévy driven moving averages. Electronic Journal of Probability, 24, artikel 79. https://doi.org/10.1214/19-EJP336
