Zobrazeno 1 - 10
of 150
pro vyhledávání: '"Belomestny, D."'
In this paper we study the problem of constructing bootstrap confidence intervals for the L\'evy density of the driving L\'evy process based on high-frequency observations of a L\'evy-driven moving average processes. Using a spectral estimator of the
Externí odkaz:
http://arxiv.org/abs/2211.06592
Policy evaluation is an important instrument for the comparison of different algorithms in Reinforcement Learning (RL). Yet even a precise knowledge of the value function $V^{\pi}$ corresponding to a policy $\pi$ does not provide reliable information
Externí odkaz:
http://arxiv.org/abs/2105.02135
In this paper we propose a novel and practical variance reduction approach for additive functionals of dependent sequences. Our approach combines the use of control variates with the minimisation of an empirical variance estimate. We analyse finite s
Externí odkaz:
http://arxiv.org/abs/2008.06858
In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates. A distinctive feat
Externí odkaz:
http://arxiv.org/abs/1910.03643
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to semi-tractability of the corre
Externí odkaz:
http://arxiv.org/abs/1906.09431
In this paper we propose an efficient variance reduction approach for additive functionals of Markov chains relying on a novel discrete time martingale representation. Our approach is fully non-asymptotic and does not require the knowledge of the sta
Externí odkaz:
http://arxiv.org/abs/1903.07373
We study the problem of empirical minimization for variance-type functionals over functional classes. Sharp non-asymptotic bounds for the excess variance are derived under mild conditions. In particular, it is shown that under some restrictions impos
Externí odkaz:
http://arxiv.org/abs/1712.04667
In a rather general setting of It\^o-L\'evy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are r
Externí odkaz:
http://arxiv.org/abs/0807.1289
Publikováno v:
In Mathematics and Computers in Simulation January 2018 143:125-137
Akademický článek
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