Dr. Sebastian Mentemeier

Sebastian
              Mentemeier Dr. Sebastian Mentemeier
Room: 625
Phone: +49 231 755 3099
Hours: Mittwochs (Wednesday), 14:00-15:00

Teaching

WS 2017/18
Seminar: Random Graphs and Complex Networks
Exercise classes: Stochastic Analysis and Finance
SS 2017
Seminar: Markov Chains for Teachers
Exercise classes: Long-range dependent stochastic processes
WS 2016/17
-- on parental leave --
SS 2016
Financial Mathematics with MatLab
Exercise classes: Stochastic Analysis and Finance
WS 2015/16
Seminar: Stochastic for Teachers
Exercise classes: Stochastic Analysis
SS 2015
Seminar: Risk theory
Exercise classes: Markov processes
WS 2014/15 Non-life insurance mathematics
Seminar: Markov Chains
WS 2011/12 Exercise classes: Stochastics
SS 2011 Exercise classes: Random Recursive Equations
WS 2010/11 Statistical Programming with R
Exercise classes: Stochastics
SS 2010 Time Series Analysis with R
WS 2009/10 Statistical Programming with R
Time Series Analysis with R

Conferences

Conferences I am (co-)organizing:

July 13-14, 2017
Young Researchers Workshop: Phase transitions on random trees
December 4-5, 2017
Workshop: Recursive(ly defined) Stochastic Processes


Research

Research interests

Publications (peer-reviewed)

  1. Large excursions and conditioned laws for recursive sequences generated by random matrices
    joint work with Jeffrey Collamore
    to appear in Annals of Probab. 60 pages arxiv
  2. Precise Tail Asymptotics for Attracting Fixed Points of Multivariate Smoothing Transformations
    joint work with Dariusz Buraczewski
    Markov Processes Relat. Fields 23, 147-170 (2017) arxiv
  3. Solutions to Complex Smoothing Equations
    joint work with Matthias Meiners
    Probab. Theory Relat. Fields, 168(1-2), 199-268 (2017)springerlink arxiv
  4. Fixed Points of the Multivariate Smoothing Transform: The Critical Case
    joint work with Konrad Kolesko
    Electronic Journal of Probability 20(52), 1-24 (2015) arxiv ejpecp
  5. Precise Large Deviation Results for Products of Random Matrices
    joint work with Dariusz Buraczewski
    Annales de l'Institut Henri Poincare Probab. Statist. 52(3), 1474-1513 (2016). arxiv projecteuclid
  6. Fixed Points of the Multivariate Smoothing Transform
    Probab. Theory Rel. Fields 164(1), 401-458 (2016) arxiv springerlink
  7. On Multidimensional Mandelbrot Cascades
    joint work with Dariusz Buraczewski, Ewa Damek and Yves Guivarc'h
    J. Diff. Equation Appl. 20(11), 1523-1567 (2014) arxiv tandfonline
  8. On Kesten's Multivariate Choquet-Deny Lemma
    Electronic Communications in Probability 18(65), 1-7 (2013) arxiv ejpecp
  9. Heavy tailed solutions of multivariate smoothing transforms
    joint work with Dariusz Buraczewski, Ewa Damek and Mariusz Mirek
    Stochastic Processes and their Applications 123(6), 1947-1986 (2013) arxiv sciencedirect
  10. Precise tail index of fixed points of the two-sided smoothing transform
    joint work with Gerold Alsmeyer and Ewa Damek
    Random Matrices and Iterated Random Functions. Springer Proceedings in Mathematics & Statistics, Vol. 53 arxiv springerlink
  11. Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
    joint work with Ewa Damek, Mariusz Mirek and Jacek Zienkiewicz
    Potential Analysis 38(3), 683-697 (2013) arxiv springerlink
  12. Tail behavior of stationary solutions of random difference equations: the case of regular matrices
    joint work with Gerold Alsmeyer
    J. Diff. Equation Appl. 18(8), 1305-1332 (2012) arxiv tandfonline

Theses

Professional Service

Reviewer / Referee for: Colloquium Mathematicum, Extremes, J. Theor. Prob., J. Diff. Equation Appl., Markov Proc. Rel. Fields, MathSciNet, Springer Books, Stoch. Proc. Appl., Zentralblatt Math

Very short CV

since 10/2014 Post-Doc at TU Dortmund, Germany
10/2013 - 09/2014 Post-Doc at University of Wroclaw, Poland
02/2013 - 09/2013 Post-Doc at University of Muenster, Germany
10/2009 - 01/2013 PhD studies at University of Muenster, Germany (supervisor: Gerold Alsmeyer)