Selected Publications / Preprints

H.H.A. Cotta, V.A. Reisen, P. Bondon, W. Stummer: Robust estimation of covariance and correlation functions of a stationary multivariate process. Preprint, 2017.
W. Stummer, A.-L. Kißlinger: Some new flexibilizations of Bregman divergences and their asymptotics. To appear, 2017.
B. Roensch, W. Stummer: 3D insights to some divergences for robust statistics
and machine learning. To appear, 2017.
V.A. Reisen, C. Levy-Leduc, H.H.A. Cotta, T.T.A. Albuquerque, W. Stummer:
Long-memory models under outliers: an application to air pollution level.
In: B.R. Gurjar, P. Kumar, J.N. Govil (eds.), Environmental Science and Engineering, Vol. 3 - Air and Noise Pollution, Studium Press LLC, 2017, pp. 135-166
A.-L. Kißlinger and W. Stummer: Robust statistical engineering by means of scaled Bregman distances. In: C. Agostinelli, A. Basu, P. Filzmoser, D. Mukherjee (eds.), Recent Advances in Robust Statistics: Theory and Applications, Springer, 2016, pp. 81-113
A.-L. Kißlinger and W. Stummer: New model search for nonlinear recursive models, regressions and autoregressions. In: F. Nielsen and F. Barbaresco (eds.), Geometric Science of Information, Lecture Notes in Computer Science 9389, Springer, 2015, p. 693-701
A.-L. Kißlinger and W. Stummer: A New Information-Geometric Method of Change Detection. Preprint, 2015
A.-L. Kißlinger and W. Stummer: Some decision procedures based on scaled Bregman distance surfaces. In: F. Nielsen and F. Barbaresco (eds.), Geometric Science of Information, Lecture Notes in Computer Science 8085, Springer, 2013, p. 479-486
W. Stummer and I. Vajda : On Bregman Distances and Divergences of Probability Measures.
IEEE Transactions on Information Theory 58, No.3, 2012, p. 1277-1288
[arXiv:0911.2784]

W. Stummer and W. Lao: Limits of Bayesian decision related quantities of binomial asset price models.
Kybernetika 48, No.4, 2012, p. 750-767
[PDF] [ABSTRACT]

R. Feicht and W. Stummer: An explicit non-stationary stochastic growth model.
Chapter 7 of the book: O. de la Grandville (ed.), Economic Growth and Development, Frontiers of Economics and Globalization Vol. 11, 2011, p. 141-202. Emerald Group Publishing Limited, Bingley UK.
[ DOI-Access to the Paper ]

N.B. Kammerer and W. Stummer : Some distance bounds of branching processes and their diffusion limits.
Preprint (45 pages) (2010)
[PDF] [arXiv:1005.3758]
W. Stummer and I. Vajda: On divergences of finite measures and their applicability in statistics and information theory.
Statistics 44, 169-187 (2010)
[PDF]
R. Feicht and W. Stummer : Complete closed-form solution to a stochastic growth model and corresponding speed of economic recovery.
IWQW Discussion Paper No. 5/2010 (29 pages) (2010)
[PDF]
W. Stummer and I. Vajda : Optimal statistical decisions about some alternative financial models.
Journal of Econometrics 137, 441-471 (2007)
[ DOI-Access to the Paper ]
I. Schäl and W. Stummer : Basel-II compliant mapping of operational risks.
Journal of Operational Risk 2(1), 93 - 114 (2007)
W. Stummer : Some Bregman distances between financial diffusion processes.
Proc. Appl. Math. Mech. 7, 1050503 - 1050504 (2007)
I. Schäl and W. Stummer : Kategorisierung operationeller Risiken im Umfeld von Basel II.
FINANZ BETRIEB 7(12), 786-798 (2005)
W. Stummer : Exponentials, Diffusions, Finance, Entropy and Information.
Monograph (230 pages, ISBN 3-8322-3186-2). Shaker Verlag (2004)
N. Henze and W. Stummer : Means and middle values in Stochastics.
(in German; original title: Mittelwerte und Mitten in der Stochastik).
MU 50(5), 18-29 (2004)
W. Stummer : Modern Mathematical Finance for Schools.
(in German; original title: Moderne Finanzmathematik für die Schule).
In: R. Biehler, J. Engel and J. Meyer, eds., Neue Medien und innermathematische Vernetzungen in
der Stochastik, pp. 61 -- 75, Verlag Franzbecker Hildesheim/Berlin (2004)
W. Stummer : Nuances of the Non-Arbitrariness of Stock Price Modelling.
(in German; original title: Nuancen der Nichtbeliebigkeit von Aktienkurs-Modellierungen).
Stochastik in der Schule 23(2), 7-13 (2003)

Typo-Corrigenda: In Definition 4.1(ii) there should be >= (greater-than-or-equal-to-symbol) instead of > (greater-than-symbol).
W. Stummer : Some potential means for venture valuation.
The Journal of Entrepreneurial Finance (and Business Ventures) 7(3), 39-52 (2002)
W. Stummer : Decision risk reductions for stock indices.
Advances and Applications in Statistics 2(1), 79-99 (2002)
W. Stummer : Some divergence properties of asset price models.
Entropy 3, 300-324 (2001)
W. Stummer : A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation.
In: M. Kohlmann and S. Tang, eds., Mathematical Finance, pp. 345-354, Birkhäuser Verlag Basel (2001)
W. Stummer : On a statistical information measure in a generalized Samuelson-Black-Scholes world.
Statistics & Decisions 19, 289-314 (2001)
L.C.G. Rogers and W. Stummer : Consistent fitting of one-factor models to interest rate data.
Insurance: Mathematics & Economics 27, 45-63 (2000)
W. Stummer : On option pricing for non-lognormal perturbations of geometric Brownian motion.
ZAMM Z. Angew. Math. Mech. (Applied Mathematics and Mechanics) 80 (S3), S857-S858 (2000)
W. Stummer : On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift.
Statistics & Probab. Letters 46, 43-51 (2000)
W. Stummer and K.-Th. Sturm : On exponentials of additive functionals of Markov processes.
Stochastic Processes Appl. 85, 45-60 (2000)
W. Stummer : On a statistical information measure of diffusion processes.
Statistics & Decisions 17, 359-376 (1999)
W. Stummer : On arbitrage in the Black-Scholes world - a new sufficient condition.
ZAMM Z. Angew. Math. Mech. (Applied Mathematics and Mechanics) 79 (S3), S925-S926 (1999)
W. Stummer : On bounded entropy of solutions of multidimensional stochastic differential equations.
Statistics & Probab. Letters 36, 327-336 (1998)
W. Stummer : On exponential moments of Brownian functionals.
Statistics & Probab. Letters 31, 233-237 (1997)
W. Stummer : The Novikov and entropy conditions of multidimensional diffusion processes with singular drift.
Probab. Theory Relat. Fields 97, 515-542 (1993).
A. Wakolbinger and W. Stummer :  On Schrödinger processes and stochastic Newton equations. Institutsbericht Nr. 367, Preprint Series of the Department of Mathematics at the Johannes Kepler University Linz, 1988.