Henrik Hult

Available identifiers

zbMath Open hult.henrikWikidataQ102255659 ScholiaQ102255659MaRDI QIDQ483711

List of research outcomes

Publication	Date of Publication	Type
Importance sampling for a simple Markovian intensity model using subsolutions	2024-11-14	Paper
A generative model of a limit order book using recurrent neural networks	2023-08-02	Paper
Asymptotic behaviour of sampling and transition probabilities in coalescent models under selection and parent dependent mutations	2022-07-08	Paper
Exact simulation of coupled Wright–Fisher diffusions	2021-11-29	Paper
Almost sure convergence of the accelerated weight histogram algorithm	2021-09-09	Paper
A dual process for the coupled Wright-Fisher diffusion	2021-01-28	Paper
Weak convergence of the scaled jump chain and number of mutations of the Kingman coalescent	2020-11-13	Paper
Infinite Swapping Algorithm for Training Restricted Boltzmann Machines	2020-08-26	Paper
On importance sampling with mixtures for random walks with heavy tails	2018-04-16	Paper
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations	2016-10-24	Paper
Importance sampling for a simple Markovian intensity model using subsolutions	2016-10-20	Paper
Exact and efficient simulation of tail probabilities of heavy-tailed infinite series	2016-09-06	Paper
Large deviations for weighted empirical measures arising in importance sampling	2015-12-08	Paper
Ruin probabilities under general investments and heavy-tailed claims	2014-12-17	Paper
Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk	2014-07-11	Paper
Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation	2014-06-13	Paper
A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS	2014-04-25	Paper
Risk and Portfolio Analysis	2012-04-27	Paper
Large Deviations for Point Processes Based on Stationary Sequences with Heavy Tails	2010-04-08	Paper
Efficient calculation of risk measures by importance sampling -- the heavy tailed case	2009-09-17	Paper
Tail probabilities for infinite series of regularly varying random vectors	2009-03-02	Paper
Regular variation for measures on metric spaces	2008-07-02	Paper
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes	2007-05-08	Paper
On Kesten's counterexample to the Cramér-Wold device for regular variation	2006-11-06	Paper
Functional large deviations for multivariate regularly varying random walks	2006-07-10	Paper
On regular variation for infinitely divisible random vectors and additive processes	2006-06-19	Paper
A note on Wick products and the fractional Black-Scholes model	2006-05-24	Paper
Approximating some Volterra type stochastic integrals with applications to parameter estimation.	2005-11-29	Paper
Extremal behavior of regularly varying stochastic processes	2005-08-05	Paper
Multivariate extremes, aggregation and dependence in elliptical distributions	2003-09-24	Paper

Research outcomes over time

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