scientific article; zbMATH DE number 1546853

From MaRDI portal
Publication:4522393

zbMath1008.62072MaRDI QIDQ4522393

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 20 December 2000


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown CompetitionRobust reinsurance contract with learning and ambiguity aversionON SEQUENTIAL ESTIMATION OF A PERIODIC SIGNAL ON THE BACKGROUND OF AN AUTOREGRESSIVE NOISECALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODELTHE HEDGING STRATEGY FOR ASIAN OPTIONA Bayesian-martingale approach to the general disorder problemDiffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck processNonparametric Bayesian methods for one-dimensional diffusion modelsBrittle power: On Roman Emperors and exponential lengths of ruleUnnamed ItemPoisson approximation for some point processes in reliabilityOptimal consumption and investment strategies with partial and private information in a multi-asset settingEstimation for discretely observed diffusions using transform functionsOptimal Decision Rules for Product RecallsUnnamed ItemSmooth ambiguity preferences and asset prices with a jump-diffusion processLinear Filtering with Fractional Noises: Large Time and Small Noise AsymptoticsBayesian estimation of incompletely observed diffusionsDiscounted optimal stopping problems in continuous hidden Markov modelsOn the sequential testing and quickest change-point detection problems for Gaussian processesOptimal Selling of an Asset with Jumps Under Incomplete InformationLearning about latent dynamic trading demandDiffusion approximations for periodically arriving expert opinions in a financial market with Gaussian driftDoubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equationsThe Gaussian structure of the singular stochastic Burgers equationMarginal dynamics of interacting diffusions on unimodular Galton-Watson treesDelegation of information acquisition, information asymmetry, and outside optionWith or without replacement? Sampling uncertainty in Shepp’s urn schemeStatistical causality, optional and predictable projectionsInference for a discretized stochastic logistic differential equation and its application to biological growthClosed-loop convergence for mean field games with common noiseLimit stationary measures of the stochastic magnetohydrodynamic system in a 3D thin domainOptimal Redeeming Strategy of Stock Loans Under Drift UncertaintyA renewal theory approach to two-state switching problems with infinite valuesWell-posedness and stability for a class of stochastic delay differential equations with singular driftSchumpeterian competition in a Lucas economyPortfolio Optimization in Fractional and Rough Heston ModelsAn optimal portfolio and consumption problem with a benchmark and partial informationFiltering of Gaussian processes in Hilbert spacesTrading against disorderly liquidation of a large position under asymmetric information and market impactComparative analysis of particle filters for stochastic systems with continuous and discrete timeParametric inference for discretely observed multidimensional diffusions with small diffusion coefficientDETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETSBounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov TestsKyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEsOptimal consumption-investment under partial information in conditionally log-Gaussian modelsOptimal entry decision of unemployment insurance under partial informationBayesian sequential testing with expectation constraintsStatistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck ProcessLarge deviations for optimal filtering with fractional Brownian motionUnnamed ItemNon parametric estimation for fractional diffusion processes with random effectsDEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATIONSecond-order continuous-time non-stationary Gaussian autoregressionModel robustness of finite state nonlinear filtering over the infinite time horizonSimple nonlinear models with rigorous extreme events and heavy tailsMaximum Likelihood Estimation of Regularization Parameters in High-Dimensional Inverse Problems: An Empirical Bayesian Approach. Part II: Theoretical AnalysisThe impacts of uncertainties in a real options model under incomplete informationNonparametric estimation for linear SPDEs from local measurementsThe value of knowing the market price of riskMaximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motionMoment estimation for ergodic diffusion processesOptimal Portfolios for Financial Markets with Wishart VolatilityOn Threshold Choice in Hypothesis Testing for Dynamical Systems with Small NoiseOn boundary crossing probabilities for diffusion processesAbout the linear-quadratic regulator problem under a fractional Brownian perturbationPortfolio selection under incomplete informationAsymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processesThe Bickel--Rosenblatt test for diffusion processesLinear filtering of systems with memory and application to financeThe sound of silence: equilibrium filtering and optimal censoring in financial marketsUnitary transformations, empirical processes and distribution free testingApproximation of epidemic models by diffusion processes and their statistical inferenceLinearized filtering of affine processes using stochastic Riccati equationsSequential maximum likelihood estimation for the hyperbolic diffusion processNonparametric estimation for small fractional diffusion processes with random effectsAn optimal consumption and investment problem with partial informationOptimal investment-consumption-insurance with partial informationKernel-based collocation methods for Zakai equationsDistance between the fractional Brownian motion and the space of adapted Gaussian martingalesDouble-stepped adaptive control for hybrid systems with unknown Markov jumps and stochastic noisesTransformations of Wiener measure and orthogonal expansionsParameter Uncertainty in the Kalman--Bucy FilterSequential tracking of an unobservable two-state Markov process under Brownian noiseAsymptotic filter behavior for high-frequency expert opinions in a market with Gaussian driftA variation of Merton's corporate bond valuation model for firms with illiquid but observable assetsFréchet differentiable drift dependence of Perron–Frobenius and Koopman operators for non-deterministic dynamicsHigher order Langevin Monte Carlo algorithmCONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHINGReconstructing the drift of a diffusion from partially observed transition probabilitiesA Bayesian sequential test for the drift of a fractional Brownian motionHedging recessionsGlobal stability and stabilization of more general stochastic nonlinear systemsLagrangian stochastic models with specular boundary conditionLarge deviations for Markovian nonlinear Hawkes processesParameter Estimation in an SPDE Model for Cell RepolarizationImpulse control of a diffusion with a change pointDiscounted optimal stopping problems in first-passage time models with random thresholdsDiscounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching PayoffsContinuous-time limit of dynamic games with incomplete information and a more informed playerRegularization in \(L_1\) for the Ornstein-Uhlenbeck semigroupEquilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)Large deviations for Markov-modulated diffusion processes with rapid switchingOptimal ownership of entrepreneurial firms with rational inattentionNearly unstable family of stochastic processes given by stochastic differential equations with time delayAsymptotic accuracy in estimation of a fractional signal in a small white noiseConstruction of confidence absorbing set for analysis of static stochastic systemsStationary statistical experiments and the optimal estimator for a predictable componentNonlinear filtering of partially observed systems arising in singular stochastic optimal controlA reputation game on cyber-security and cyber-risk calibrationStability of utility maximization in nonequivalent marketsStability of the zero solution of nonlinear differential equations under the influence of white noiseA note on inference for the mixed fractional Ornstein-Uhlenbeck process with driftDividend maximization in a hidden Markov switching modelBidimensional random effect estimation in mixed stochastic differential modelObservability and nonlinear filteringOn measure solutions of backward stochastic differential equationsConsistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spacesLinear Bayesian equilibrium in insider trading with a random time under partial observationsWonham filtering by observations with multiplicative noisesThe equality cases of the Ehrhard-Borell inequalityGeneralized couplings and convergence of transition probabilitiesDelay differential equations driven by Lévy processes: stationarity and Feller propertiesValuation of commodity derivatives with an unobservable convenience yieldAdaptive Poisson disorder problemEstimation of cusp location of stochastic processes: a surveyContinuous-time smooth ambiguity preferencesDynamic bankruptcy procedure with asymmetric information between insiders and outsiders`Nobody is perfect': asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errorsCross-sectional asset pricing with heterogeneous preferences and beliefsAsymptotic statistical equivalence for ergodic diffusions: the multidimensional caseEmission allowance as a derivative on commodity-spreadSufficiency and efficiency in statistical predictionAsymptotic error distributions of the Euler method for continuous-time nonlinear filteringA mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systemsDimensional reduction in nonlinear filtering: a homogenization approachOn the strong Feller property for stochastic delay differential equations with singular driftOptimal investment with inside information and parameter uncertaintyThe behavior of individual and aggregate stock pricesKalman type filter under stationary noisesOn the drawdowns and drawups in diffusion-type models with running maxima and minimaCommon value experimentationOptimal strategies for the control of autonomous vehicles in data assimilationFinancial equilibrium with asymmetric information and random horizonNon-Gaussian test models for prediction and state estimation with model errorsMarket selection with learning and catching up with the JonesesKarhunen-Loève expansions of \(\alpha\)-Wiener bridgesFiltering of stationary Gaussian statistical experimentsGoodness of fit test for small diffusions by discrete time observationsParametric estimation for discretely observed stochastic processes with jumpsOn the problems of sequential statistical inference for Wiener processes with delayed observationsError covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurementsOptimal reduction of public debt under partial observation of the economic growthA Hörmander condition for delayed stochastic differential equationsOptimal surrender strategies for equity-indexed annuity investors with partial informationA diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential timeOn absolutely continuous compensators and nonlinear filtering equations in default risk modelsStatistical causality and separable processesStopping time convergence for processes associated with Dirichlet formsContinuous equilibrium in affine and information-based capital asset pricing modelsOptimal learning before choiceOn the martingale property of certain local martingalesDrift parameter estimation in stochastic differential equation with multiplicative stochastic volatilityOptimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equationsInference in a multivariate generalized mean-reverting process with a change-pointEstimation and testing in generalized mean-reverting processes with change-pointDirected chain stochastic differential equationsFull adaptation to smoothness using randomly truncated series priors with Gaussian coefficients and inverse gamma scalingOn penalized estimation for dynamical systems with small noiseTime regularity of the densities for the Navier-Stokes equations with noiseStochastic invariance of closed sets with non-Lipschitz coefficientsOn Chernoff's test for a fractional Brownian motionExplicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusionsOn the verification theorem of dynamic portfolio-consumption problems with stochastic market price of riskShort-time Gibbsianness for infinite-dimensional diffusions with space-time interactionNonparametric estimation of scalar diffusions based on low frequency dataDynamic Markov bridges motivated by models of insider tradingFractional stochastic differential equations with applications to financePoisson source localization on the plane: cusp caseSticky-reflected stochastic heat equation driven by colored noiseOptimal control for a linear quadratic problem with a stochastic time scaleSequential estimation for prescribed statistical accuracy in stochastic simulation of biological systemsSimulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motionOn multi-step estimation of delay for SDEPolynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systemsEM algorithm for stochastic hybrid systemsOn localization of source by hidden Gaussian processes with small noiseOn the anticipative nonlinear filtering problem and its stabilityBounds for the transition density of time-homogeneous diffusion processesExistence and asymptotic behavior for hereditary stochastic evolution equationsSequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck processIsing model on trees and factors of IIDAsymptotic properties of MLE for partially observed fractional diffusion system with dependent noisesOn classical and Bayesian asymptotics in state space stochastic differential equationsAsset pricing under smooth ambiguity in continuous timeA trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalitiesMixtures of stochastic differential equations with random effects: application to data clusteringAsymptotic statistical equivalence for scalar ergodic diffusionsOptimal investment and consumption under partial informationOnline parameter estimation for the McKean-Vlasov stochastic differential equationInteracting stochastic processes on sparse random graphsDrift estimation for a multi-dimensional diffusion process using deep neural networksEstimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-pointsParameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial driftReversible coalescing-fragmentating Wasserstein dynamics on the real lineRobust portfolio choice with limited attentionAn estimator for the recombination rate from a continuously observed diffusion of haplotype frequenciesRisk-Sensitive LQG Discounted Control Problems and Their Asymptotic BehaviorFunctional convergence to the local time of a sticky diffusionParameter estimation for ergodic linear SDEs from partial and discrete observationsOn a class of McKean-Vlasov stochastic functional differential equations with applicationsImplicit incentives for fund managers with partial informationReinsurance contract design with heterogeneous beliefs and learningHybrid stochastic epidemic SIR models with hidden statesOn the equilibrium of insider trading under information acquisition with long memoryPropagation of chaos for weakly interacting mild solutions to stochastic partial differential equationsOptimal investment and consumption for financial markets with jumps under transaction costsInference in generalized exponential O-U processesAsymptotic efficiency in autoregressive processes driven by stationary Gaussian noiseOptimal investment, consumption and life insurance purchase with learning about return predictabilityUnnamed Item