Denis Belomestny

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List of research outcomes

PublicationDate of PublicationType
Theoretical guarantees for neural control variates in MCMC2024-04-17Paper
Sparse constrained projection approximation subspace tracking2024-03-22Paper
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization2024-02-27Paper
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces2024-02-20Paper
From optimal martingales to randomized dual optimal stopping2023-09-25Paper
Weak solutions to gamma-driven stochastic differential equations2023-05-26Paper
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors2023-05-12Paper
Sharp Deviations Bounds for Dirichlet Weighted Sums with Application to analysis of Bayesian algorithms2023-04-06Paper
Semiparametric estimation of McKean-Vlasov SDEs2023-02-28Paper
Reinforced optimal control2022-12-13Paper
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations2022-09-28Paper
Solving optimal stopping problems under model uncertainty via empirical dual optimisation2022-07-05Paper
Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activations2022-06-19Paper
Empirical variance minimization with applications in variance reduction and optimal control2022-05-16Paper
Variance reduction for additive functionals of Markov chains via martingale representations2022-03-14Paper
Randomized Optimal Stopping Algorithms and Their Convergence Analysis2021-11-05Paper
Density deconvolution under general assumptions on the distribution of measurement errors2021-07-05Paper
Semiparametric estimation of McKean-Vlasov SDEs2021-07-01Paper
Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMC2021-06-23Paper
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm2021-03-23Paper
Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity2021-03-06Paper
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations2020-11-16Paper
Variance reduction for Markov chains with application to MCMC2020-08-27Paper
Solving linear parabolic rough partial differential equations2020-06-17Paper
Nonparametric density estimation from observations with multiplicative measurement errors2020-05-12Paper
Optimal stopping via reinforced regression2020-04-07Paper
Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems2020-02-26Paper
Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections2019-09-25Paper
Nonparametric Bayesian inference for Gamma-type Lévy subordinators2019-09-10Paper
Fourier transform MCMC, heavy tailed distributions and geometric ergodicity2019-09-02Paper
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm2019-06-22Paper
Optimal stopping via pathwise dual empirical maximisation2019-06-19Paper
Sparse covariance matrix estimation in high-dimensional deconvolution2019-06-14Paper
Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)2019-03-21Paper
Minimax theorems for American options without time-consistency2019-01-18Paper
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes2018-11-09Paper
Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations2018-11-07Paper
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods2018-08-10Paper
Advanced Simulation-Based Methods for Optimal Stopping and Control2018-06-11Paper
Regression-based variance reduction approach for strong approximation schemes2018-03-08Paper
Truncated control variates for weak approximation schemes2018-03-07Paper
Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control2017-12-13Paper
Correction to: ``Nonparametric Laguerre estimation in the multiplicative censoring model2017-12-08Paper
Variance reduction for discretised diffusions via regression2017-11-02Paper
SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION2017-10-13Paper
Optimal Stopping Under Probability Distortions2017-09-22Paper
Minimax theorems for American options in incomplete markets without time-consistency2017-08-29Paper
Addendum to: ``Optimal stopping under model uncertainty: randomized stopping times approach.2017-08-08Paper
Generalized Post-Widder inversion formula with application to statistics2017-08-03Paper
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs2017-04-05Paper
Unbiased Simulation of Distributions with Explicitly Known Integral Transforms2017-01-20Paper
Nonparametric Laguerre estimation in the multiplicative censoring model2017-01-11Paper
Optimal stopping under model uncertainty: randomized stopping times approach2016-06-09Paper
Statistical inference for time-changed Lévy processes via Mellin transform approach2016-04-20Paper
Estimation and Calibration of Lévy Models via Fourier Methods2016-02-24Paper
Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity2015-09-09Paper
Statistical Skorohod embedding problem: optimality and asymptotic normality2015-08-19Paper
Addendum to: ``Multilevel dual approach for pricing American style derivatives2015-08-04Paper
Pricing Bermudan Options via Multilevel Approximation Methods2015-06-26Paper
Solving Stochastic Dynamic Programs by Convex Optimization and Simulation2015-06-18Paper
Optimal stopping under probability distortions and law invariant coherent risk measures2015-06-14Paper
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates2014-12-18Paper
Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$2014-12-12Paper
Lévy matters IV. Estimation for discretely observed Lévy processes2014-12-02Paper
Concentration Inequalities for Smooth Random Fields2014-08-27Paper
Statistical inference for exponential functionals of L\'evy processes2013-12-17Paper
Multilevel dual approach for pricing American style derivatives2013-11-06Paper
Solving optimal stopping problems via empirical dual optimization2013-10-25Paper
Central Limit Theorems for Law-Invariant Coherent Risk Measures2012-04-20Paper
Statistical inference for time-changed Lévy processes via composite characteristic function estimation2011-12-08Paper
Spectral estimation of the Lévy density in partially observed affine models2011-06-15Paper
A jump-diffusion Libor model and its robust calibration2011-06-09Paper
An iterative procedure for solving integral equations related to optimal stopping problems2011-03-11Paper
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems2011-02-21Paper
Sensitivities for Bermudan options by regression methods2010-11-12Paper
Regression Methods for Stochastic Control Problems and Their Convergence Analysis2010-10-20Paper
PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL2010-05-19Paper
Spectral estimation of the fractional order of a Lévy process2010-02-19Paper
Multiple stochastic volatility extension of the Libor market model and its implementation2010-02-10Paper
Regression methods in pricing American and Bermudan options using consumption processes2009-09-13Paper
Holomorphic transforms with application to affine processes2009-07-24Paper
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO2009-03-06Paper
Simulation Based Option Pricing2008-12-01Paper
Spatial aggregation of local likelihood estimates with applications to classification2008-01-16Paper
Spectral calibration of exponential Lévy models2007-05-29Paper
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES2006-08-14Paper
Constraints on distributions imposed by properties of linear forms2003-06-23Paper
Rates of convergence for constrained deconvolution problem2003-06-16Paper

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