| Publication | Date of Publication | Type |
|---|
Polynomial approximation of discounted moments
Finance and Stochastics | 2025-01-09 | Paper |
Neural network empowered liquidity pricing in a two-price economy under conic finance settings
Quantitative Finance | 2025-01-06 | Paper |
Synchronous deautoconvolution algorithm for discrete-time positive signals via \(\mathcal{I}\)-divergence approximation
Journal of Computational and Applied Mathematics | 2024-08-01 | Paper |
Limit theorems for reflected Ornstein-Uhlenbeck processes
Statistica Neerlandica | 2024-06-10 | Paper |
Proxying credit curves via Wasserstein distances
Annals of Operations Research | 2024-06-04 | Paper |
The Inverse Problem of Positive Autoconvolution
IEEE Transactions on Information Theory | 2024-03-21 | Paper |
A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
Statistica Neerlandica | 2023-12-13 | Paper |
Nonparametric Bayesian volatility learning under microstructure noise
Japanese Journal of Statistics and Data Science | 2023-07-25 | Paper |
Weak solutions to gamma-driven stochastic differential equations
Indagationes Mathematicae. New Series | 2023-05-26 | Paper |
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
| 2023-05-12 | Paper |
Bayesian wavelet de-noising with the caravan prior
ESAIM: Probability and Statistics | 2023-03-09 | Paper |
Synchronous Deautoconvolution of Positive Signals
| 2023-02-24 | Paper |
ACCOUNTING NOISE AND THE PRICING OF CoCos
International Journal of Theoretical and Applied Finance | 2023-02-22 | Paper |
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
Bernoulli | 2022-09-28 | Paper |
Dynamic Erdős-Rényi graphs
| 2022-02-16 | Paper |
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
A Kalman particle filter for online parameter estimation with applications to affine models
Statistical Inference for Stochastic Processes | 2021-08-17 | Paper |
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
| 2020-11-16 | Paper |
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Brazilian Journal of Probability and Statistics | 2020-08-12 | Paper |
DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
Probability in the Engineering and Informational Sciences | 2020-05-27 | Paper |
Regime switching affine processes with applications to finance
Finance and Stochastics | 2020-03-25 | Paper |
Approximation of nonnegative systems by moving averages of fixed order
Automatica | 2019-12-19 | Paper |
Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Communications in Mathematical Sciences | 2019-09-10 | Paper |
A non-parametric Bayesian approach to decompounding from high frequency data
Statistical Inference for Stochastic Processes | 2018-04-16 | Paper |
Explicit computations for some Markov modulated counting processes
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Approximation of Nonnegative Systems by Finite Impulse Response Convolutions
IEEE Transactions on Information Theory | 2017-04-28 | Paper |
Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
Nonparametric Bayesian inference for multidimensional compound Poisson processes
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Factor analysis models via I-divergence optimization
Psychometrika | 2016-09-27 | Paper |
Large deviations for Markov-modulated diffusion processes with rapid switching
Stochastic Processes and their Applications | 2016-04-20 | Paper |
Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
Lithuanian Mathematical Journal | 2015-02-25 | Paper |
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
A block Hankel generalized confluent Vandermonde matrix
Linear Algebra and its Applications | 2014-06-18 | Paper |
Weak convergence of Markov-modulated diffusion processes with rapid switching
Statistics & Probability Letters | 2014-06-05 | Paper |
Parametric inference for stochastic differential equations: a smooth and match approach
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2013-12-04 | Paper |
A note on non-parametric Bayesian estimation for Poisson point processes
| 2013-04-27 | Paper |
Limit theorems for reflected Ornstein-Uhlenbeck processes
| 2013-04-01 | Paper |
A representation result for finite Markov chains
Statistics & Probability Letters | 2012-09-02 | Paper |
Affine diffusions with non-canonical state space
Stochastic Analysis and Applications | 2012-08-27 | Paper |
Transformed statistical distance measures and the Fisher information matrix
Linear Algebra and its Applications | 2012-06-11 | Paper |
An affine two-factor heteroskedastic macro-finance term structure model
Applied Mathematical Finance | 2012-06-08 | Paper |
The Itô formula without stochastic integration
Nieuw Archief voor Wiskunde. Vijfde Serie | 2012-06-07 | Paper |
Calculating mortgages
Nieuw Archief voor Wiskunde. Vijfde Serie | 2012-06-07 | Paper |
Approximation of stationary processes by hidden Markov models
MCSS. Mathematics of Control, Signals, and Systems | 2012-02-06 | Paper |
Deconvolution for an atomic distribution: rates of convergence
Journal of Nonparametric Statistics | 2011-12-21 | Paper |
EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
Probability in the Engineering and Informational Sciences | 2011-11-22 | Paper |
Nonparametric methods for volatility density estimation
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Estimation of a multivariate stochastic volatility density by kernel deconvolution
Journal of Multivariate Analysis | 2011-03-14 | Paper |
Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models
| 2010-07-20 | Paper |
Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
Linear Algebra and its Applications | 2010-03-04 | Paper |
Evolution in games with a continuous action space
Economic Theory | 2009-04-27 | Paper |
Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices
Linear Algebra and its Applications | 2008-12-12 | Paper |
Approximate factor analysis model building via alternating I-divergence minimization
| 2008-12-09 | Paper |
Recursive Solution of Certain Structured Linear Systems
SIAM Journal on Matrix Analysis and Applications | 2008-11-06 | Paper |
Negative volatility for a 2-dimensional square root SDE
| 2008-07-08 | Paper |
Deconvolution for an atomic distribution
Electronic Journal of Statistics | 2008-05-14 | Paper |
Multivariate Feller conditions in term structure models: Why do(n't) we care?
| 2008-04-07 | Paper |
A kernel type nonparametric density estimator for decompounding
Bernoulli | 2008-02-06 | Paper |
Factor Analysis and Alternating Minimization
| 2008-01-17 | Paper |
The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
Linear Algebra and its Applications | 2006-08-04 | Paper |
An explicit expression for the Fisher information matrix of a multiple time series process
Linear Algebra and its Applications | 2006-08-04 | Paper |
Nonnegative matrix factorization and I-divergence alternating minimization
Linear Algebra and its Applications | 2006-07-20 | Paper |
On the resultant property of the Fisher information matrix of a vector ARMA process
Linear Algebra and its Applications | 2005-08-01 | Paper |
On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
Linear Algebra and its Applications | 2005-02-22 | Paper |
Nonparametric volatility density estimation for discrete time models
Journal of Nonparametric Statistics | 2005-02-21 | Paper |
Tail behaviour of credit loss distributions for general latent factor models
Applied Mathematical Finance | 2004-09-06 | Paper |
Nonparametric volatility density estimation
Bernoulli | 2004-06-18 | Paper |
On hidden Markov chains and finite stochastic systems.
Statistics & Probability Letters | 2004-02-14 | Paper |
Approximate Nonnegative Matrix Factorization via Alternating Minimization
| 2004-02-13 | Paper |
Some Results on Vandermonde Matrices with an Application to Time Series Analysis
SIAM Journal on Matrix Analysis and Applications | 2004-01-18 | Paper |
Information processes for semimartingale experiments
The Annals of Probability | 2003-05-06 | Paper |
On the Markov property of a finite hidden Markov chain
Statistics & Probability Letters | 2002-06-10 | Paper |
On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process
Linear Algebra and its Applications | 2001-06-26 | Paper |
scientific article; zbMATH DE number 1304726 (Why is no real title available?)
| 2000-10-03 | Paper |
scientific article; zbMATH DE number 1234547 (Why is no real title available?)
| 1999-01-03 | Paper |
On optimality of regular projective estimators for semimartingale models III:one step improvements
Stochastics and Stochastic Reports | 1997-12-14 | Paper |
scientific article; zbMATH DE number 1066380 (Why is no real title available?)
| 1997-09-25 | Paper |
On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
Linear Algebra and its Applications | 1996-08-21 | Paper |
On optimality of regular projective estimators for semimartingale models, part ii: asymptotically linear estimators
Stochastics and Stochastic Reports | 1995-11-14 | Paper |
Spectral characterization of the optimal quadratic variation process
Stochastic Processes and their Applications | 1995-06-18 | Paper |
The strong law of large numbers for martingales with deterministic quadratic variation
Stochastics and Stochastic Reports | 1995-04-04 | Paper |
On optimality of regular projective estimators in semimartingale models
Stochastics and Stochastic Reports | 1994-08-15 | Paper |
On correlation calculus for multivariate martingales
Stochastic Processes and their Applications | 1993-09-19 | Paper |
Recursive approximate maximum likelihood estimation for a class of counting process models
Journal of Multivariate Analysis | 1992-06-28 | Paper |
Self-exciting counting process systems with finite state space
Stochastic Processes and their Applications | 1990-01-01 | Paper |
Minimality and reductibility of conditionally poisson systems with finite state space
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
Recursive parameter estimation for counting processes with linear intensity
Stochastics | 1986-01-01 | Paper |
An on-line parameter estimation algorithm for counting process observations (Corresp.)
IEEE Transactions on Information Theory | 1986-01-01 | Paper |
Parameter Estimation for a Specific Software Reliability Model
IEEE Transactions on Reliability | 1985-01-01 | Paper |
The affine transform formula for affine jump-diffusions with a general closed convex state space
| N/A | Paper |
