portrait photo

Klaus Pötzelberger

ao.Univ.Prof. Dipl.-Ing.Dr.techn. Klaus Pötzelberger
Telephone:
+43 1 31336 5052
Email:
Contact information and photo taken from and editable at WU Directory.

CV

1996
Habilitation
1988
University Basel
1985
Ph.D.

Researcher Identifier

    No researcher identifier found.

Awards and Honors

No awards found.

Classifications

  • 1104 Applied mathematics (Details)
  • 1113 Mathematical statistics (Details)
  • 1118 Probability theory (Details)

Expertise

  • classification
  • optimal partitions
  • analysis of high-dimensional data

Activities

Reviewer for scientific organization
  2013 NSA-AMS - Referee for grant proposal
Member of the editorial board
  since 2007 Statistical Papers
Reviewer for a scientific journal
  2013 Austrian Journal of Statistics - Gutachter
  2012 Discrete and Continuous Dynamical Systems - Referee
  2007 Statistical Papers - Gutachter
  since 2007 Statistical papers
  2007 Methodology and Computing in Applied Probability - Gutachter
  2007 Journal of Statistical Software - Gutachter
  2007 Journal of Mathematical Analysis and Applications - Gutachter
  2007 Journal of Econometrics - Gutachter
  2007 Journal of Applied Probability - Gutachter
  2007 Acta Mathematica Sinica - Gutachter

Publications

Journal article

2012 Pötzelberger, Klaus. 2012. Improving the Monte Carlo estimation of boundary crossing probabilities by control variables. Monte Carlo Methods and Applications 18 353-377. (Details)
2007 Wang, Liqun, Pötzelberger, Klaus. 2007. Crossing probabilities for diffusions with piecewise continuous boundaries. Methodology and Computing in Applied Probability 9 (1): 21-40. (Details)
2004 Pötzelberger, K.. 2004. The quantization error of self-dimilar distributions. Mathematical Proceedings of the Cambridge Phil. Soc. 137: 725-740 (Details)
2003 Pötzelberger, K.. 2003. Asymptotic quantization of probability distributions. Analysis in Theory and Applications 19: 355-364 (Details)
  Pötzelberger, K., Hanke, M.. 2003. Dilution, anti-dilution and corporate positions in options on the company's own stocks. Journal of Quantitative Finance 3: 405-415 (Details)
  Pötzelberger, K.. 2003. Estimating the dimension of factors of diffusion processes. Statistics and Decisions 21: 171-184 (Details)
  Pötzelberger, K., Sögner, L.. 2003. Sample autocorrelation learning in a capital market model. Journal of Economic Behavior and Organization 53: 215-236 (Details)
  Pötzelberger, K., Sögner, L.. 2003. Stochastic equilibrium: learning by expontential smoothing. Journal of Economic Dynamics and Control 27: 1743-1770 (Details)
2002 Pötzelberger, K.. 2002. Admissible unbiased quantizations: distributions without linear components. Mathematical Methods of Statistics 11: 236-255 (Details)
  Hanke, M., Pötzelberger, K.. 2002. Consistent Pricing of Warrants and Traded Options. Review of Financial Economics 11 (1): 65-79 (Details)
  Pötzelberger, K.. 2002. MSP-partitions and unbiased quantizations: a review of results. Austrian Journal of Statistics 31 (1-2): 201-210 (Details)
2001 Pötzelberger, K., Wang, L.. 2001. Boundary crossing probability for Brownian motion. Journal of Applied Probability 38: 152-164 (Details)
  Pötzelberger, K., Strasser, H.. 2001. Clustering and quantization by MSP-Partitions. Statistics and Decisions 19: 331-352 (Details)
  Pötzelberger, K.. 2001. The quantization dimension of distributions. Mathematical Proceedings of the Cambridge Philosophical Society 131: 507-519 (Details)
2000 Hanke, M, Pötzelberger, K.. 2000. Auswirkungen der Emission von Warrants auf die Optionsbewertung im Black/Scholes-Modell. Finanzmarkt und Portfolio Management 14: 283-295 (Details)
  Hanke, M., Pötzelberger, K.. 2000. Auswirkungen virtueller Optionsprogramme auf den Aktienkurs. Journal für Betriebswirtschaft 6: 252-258 (Details)
  Pötzelberger, K., Schachermayer, W., Strasser, H.. 2000. On the convolution theorem for infinite-dimensional parameter spaces. Mathematical Methods of Statistics 9: 223-236 (Details)
  Hanke, M., Pötzelberger, K.. 2000. Optionspreiseffekte von Warrant-Emissionen im Black/Scholes-Modell. Finanzmarkt und Portfolio Management 3: 283-295 (Details)
  Pötzelberger, K.. 2000. The consistency of the empirical quantization error. Mathematical Methods of Statistics 9: 199-207 (Details)
  Pötzelberger, K.. 2000. The general quantization problem for distributions with regular support. Mathematical Methods of Statistics 9: 176-198 (Details)
1998 Felsenstein, K., Pötzelberger, K.. 1998. The asymptotic loss of information for grouped data. Journal of Multivariate Analysis 67 (1): 99-­127 (Details)

Chapter in edited volume

2002 Pötzelberger, K.. 2002. Quantization models: Local approach and asymptotically optimal quantizations. In: Classification and data Analysis: Recent Advances and Applications, Hrsg. Jajuga, K., Sokolowski, A., Bock, H.-H., 97-105, Berlin: Springer-Verlag (Details)

Contribution to conference proceedings

2017 Pötzelberger, Klaus. 2017. Estimating the Quatization Dimension: Diffusion Processes. In AIP Conference Proceedings 1728/1, Hrsg. American Institute of Physics, 1-1. College Park, USA: None. (Details)
2016 Pötzelberger, Klaus. 2016. Estimating the dimension of probability distributions. In Proceedings of WSC 2015, Hrsg. ISI, S. 1-10. Amsterdam: ISI/IASC. (Details)
2012 Pötzelberger, Klaus. 2012. Consistency of the empirical quantization error. In AIP Conference Proceedings 1479, Hrsg. American Institute of Physics, 435-437. Melville NY: (Details)
2011 Pötzelberger, Klaus. 2011. Estimating boundary crossing probabilities by adaptive control variables. In Proceedings of the ISI 2011, Hrsg. ISI, S. 1-10. Amsterdam: None. (Details)
2003 Pötzelberger, K.. 2003. Equilibrium and learning in a non-stationary environment. In: Proceedings of the 2001 IFAC Symposium on Modeling and Control of Economic Systems, Hrsg. Neck, R., 191-196, Berlin: Springer-Verlag (Details)

Paper presented at an academic conference or symposium

Forthcoming Gür, Sercan, Pötzelberger, Klaus. Forthcoming. First Exit Time- Monte Carlo Simulation and Applications. APMOD 2016 Optimization & Business Analytics , Brno, Czech Republic, 08.06-10.06. (Details)
Forthcoming Gür, Sercan, Pötzelberger, Klaus. Forthcoming. Pricing Parisian Option with Adaptive Monte Carlo Method. CFE 2016 10th International Conference on Computational and Financial Econometrics, Sevilla, Spain, 09.12.-11.12. (Details)
2016 Pötzelberger, Klaus. 2016. Estimating the Quantization Dimension: Diffusion Processes. World Congress: 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, Ra Rochelle, Frankreich, 05.07.-08.07. (Details)
  Pötzelberger, Klaus. 2016. Properties of Estimators of the Quantization Dimension of Distributions. CFE-CMStatistics, Sevilla, Spanien, 09.12.-12.12. (Details)
2015 Pötzelberger, Klaus. 2015. Consistency of estimators of dimension. 9th CEF 2015, London, Großbritannien, 11. - 14. 12. 2015. (Details)
  Pötzelberger, Klaus. 2015. Estimating the dimension of probability distributions. WSC 2015, Rio de Janeiro, Brasilien, 26. - 31. 07. 2015. (Details)
2014 Pötzelberger, Klaus. 2014. Adaptive control variables for eestimating functionals of diffusion processes. CFE-ERCIM 2014, Pisa, Italien, 06.12.-0.8.12.. Invited Talk (Details)
2013 Pötzelberger, Klaus. 2013. Estimating BCP by Control Variables. Workshop on Hitting Times and Exit Problems, Dijon, Frankreich, 15.11.-29.11.. Invited Talk (Details)
  Pötzelberger, Klaus. 2013. MC Simulation: Variance Reduction for Infinite Dimensional Problems. WSMC7, Tomar, Portugal, 28.5.-29.5.. Invited Talk (Details)
  Pötzelberger, Klaus. 2013. Variance Reduction for Infinite Dimensional Problems. CFE 2013, London, Großbritannien, 14.12.-16.12.. Invited Talk (Details)
2012 Pötzelberger, Klaus. 2012. Consistency of empirical quantisation error. ICNAAM 2012, Kos, Griechenland, 21. 9. - 26. 9. 2012. Invited Talk (Details)
2011 Pötzelberger, Klaus. 2011. Estimating boundary crosssing probabilites by adaptive control variables. ISI 2011 Dublin, Dublin, Irland, 21. 8. - 26. 8. 2011. (Details)
2007 Pötzelberger, Klaus. 2007. Estimating Boundary Crossing Probabilities for Diffusion Processes. ISBIS 2007, Ponta Delgada, Portugal, 18.08.-20.08.. (Details)
2001 Pötzelberger, K.. 2001. Admissibility of tests based on partitioned sample spaces. CLAPEM, Havanna (Details)
  Pötzelberger, K.. 2001. Decision-theoretic properties of partitioned sample spaces. ISI, Seoul (Details)
  Sögner, L., Pötzelberger, K.. 2001. Equilibrium and Learning in a non-stationary Environment. IFAC Symposium on Modelling and Control of Economic Systems, Klagenfurt, Österreich, 06.09-08.09.2001 (Details)
  Pötzelberger, K.. 2001. Stochastic equilibrium. Learning by exponential smoothing. CENDEF, Amsterdam (Details)
  Sögner, L., Pötzelberger, K.. 2001. Stochastic Equilibrium: Learning by Exponential Smoothing. Workshop on Economic Dynamics, Amsterdam (Details)
2000 Pötzelberger, K.. 2000. Admissible quantizations. Vortrag beim Workshop on Statistics, Winnipeg (Details)
  Pötzelberger, K.. 2000. Admissible unbiased quantizations. Bernoulli World Congress, Guanajuato, Mexiko, 15.05-21.05.2000 (Details)
  Pötzelberger, K.. 2000. Admissible unbiased quantizations. IDA 2000, Innsbruck, Österreich, 18.09-22.09.2000 (Details)
  Pötzelberger, K.. 2000. Asymptotically optimal quantizations. Vortrag beim Workshop on Statistics, Winnipeg (Details)
  Pötzelberger, K., Sögner, L.. 2000. Sample Autocorrelation Learning in a Capital Market Model. Workshop on Dynamic Economics, Amsterdam 2000 (Details)
  Pötzelberger, K.. 2000. Sample autocorrelation learning in a capital market model. Vortrag beim Workshop on Economic Dynamics, Amsterdam (Details)
  Sögner, L., Pötzelberger, K.. 2000. Stochastic Equilibrium: Learning by Exponential Smoothing. 7th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Vienna (Details)

Working/discussion paper, preprint

2005 Karawatzki, Roman, Leydold, Josef, Pötzelberger, Klaus. 2005. Automatic Markov Chain Monte Carlo Procedures for Sampling from Multivariate Distributions. Department of Statistics and Mathematics, Research Report Series, Report 27. (Details)
2001 Pötzelberger, K.. 2001. Admissible unbiased quantizations: distributions without linear components. Department of statistics and Mathematics (Details)
  Pötzelberger, K., Sögner L.. 2001. Equilibrium and Learning in a non-stationary Environment. SFB-Report Series, no.59, Vienna University of Economics and Business Administration, Vienna (Details)
  Pötzelberger, K., Hanke, M.. 2001. Option pricing in the presence of warrants. Department of Statistics and Mathematics (Details)
  Pötzelberger, K.. 2001. Quantization of Models: Local Approach and Asymptotically Optimal Partitions. Department of Statistics and Mathematics (Details)
2000 Pötzelberger, K.. 2000. Admissible unbiased quanitzations: distributions without linear components. Research Report 74, Institut für Statistik, WU (Details)
  Pötzelberger, K.. 2000. Admissible unbiased quantizations: distributions with linear components. Research Report Series 75, Department of Statistics and Mathematics (Details)
  Pötzelberger, K., Wang, L.. 2000. Boundary Crossing Probability for Brownian Motion. Technical Report, University of Manitoba, Canada (Details)
  Pötzelberger, K., Sögner, L.. 2000. Stochastic Equilibrium: Learning by Exponential Smoothing. Working Paper No. 67 Vienna University of Economics and Business Administration, Vienna (Details)
1999 Pötzelberger, K.. 1999. Consistency of the Empirical Quantization Error. Forschungsbericht No. 70 des Institutes für Statistik, WU Wien (Details)
  Höger, A., Pötzelberger, K.. 1999. Die Bewertung von Neuemissionen am Markt für Corporate Bonds: Eine Anwendung des Ansatzes von Merton (1974). Working Paper, Wirtschaftsuniversität Wien (Details)
  Pötzelberger, K., Sögner, L.. 1999. Sample Autocorrelation Learning in a Capital Market Model. SFB-Working Paper no. 57, Vienna University of Economics and Business Administration, Vienna (Details)
  Pötzelberger, K.. 1999. The General Quantization Problem for Distributions with Regular Support. Forschungsbericht No. 69 des Institutes für Statistik, WU Wien (Details)
  Pötzelberger, K.. 1999. The Quantization Dimension of Dimension of Distributions. Forschungsbericht No. 68 des Institutes für Statistik, WU Wien (Details)

Book or article review

1998 Pötzelberger, K., Vaart, A. W. van der, Wellner, J. A.. 1998. Weak Convergence and Empirical Processes. Springer 1996. Österreichische Zeitschrift für Statistik 27: 192 (Details)

Projects

2005
Pricing and Hedging (Details)
2000
Boundary Crossing Probability (2000-2010) (Details)
1997
Adaptive information systems and modelling in economics and management science (1997-2002) (Details)
1990
Quantization (1990-2010) (Details)
1984
Data compression and information reduction in statistical experiments (Details)