Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Halconruy, Helene"'
Autor:
Kostic, Vladimir R., Lounici, Karim, Halconruy, Hélène, Devergne, Timothée, Novelli, Pietro, Pontil, Massimiliano
Markov processes serve as a universal model for many real-world random processes. This paper presents a data-driven approach for learning these models through the spectral decomposition of the infinitesimal generator (IG) of the Markov semigroup. The
Externí odkaz:
http://arxiv.org/abs/2410.14477
Autor:
Kostic, Vladimir R., Lounici, Karim, Halconruy, Helene, Devergne, Timothee, Pontil, Massimiliano
We address data-driven learning of the infinitesimal generator of stochastic diffusion processes, essential for understanding numerical simulations of natural and physical systems. The unbounded nature of the generator poses significant challenges, r
Externí odkaz:
http://arxiv.org/abs/2405.12940
The problem of estimating a parameter in the drift coefficient is addressed for $N$ discretely observed independent and identically distributed stochastic differential equations (SDEs). This is done considering additional constraints, wherein only pu
Externí odkaz:
http://arxiv.org/abs/2401.17829
Autor:
Halconruy, Hélène, Marie, Nicolas
Publikováno v:
Annals of the Institute of Statistical Mathematics 76, 209-234, 2024
This paper deals with a projection least squares estimator of the drift function of a jump diffusion process $X$ computed from multiple independent copies of $X$ observed on $[0,T]$. Risk bounds are established on this estimator and on an associated
Externí odkaz:
http://arxiv.org/abs/2210.13164
Autor:
Halconruy, Hélène
Publikováno v:
Decisions in Economics and Finance, 46, 379-413, 2023
In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who possesses from the beginning a surplus of information encoded through a rand
Externí odkaz:
http://arxiv.org/abs/2106.15208
Autor:
Halconruy, Hélène
Publikováno v:
Electronic Journal of Probability, 27, 1-39, 2022
In this paper we develop a stochastic analysis for marked binomial processes, that can be viewed as the discrete analogues of marked Poisson processes. The starting point is the statement of a chaotic expansion for square-integrable (marked binomial)
Externí odkaz:
http://arxiv.org/abs/2104.00914
Autor:
Halconruy, Hélène, Marie, Nicolas
Publikováno v:
Mathematical Methods of Statistics 29, 1, 31-55, 2020
In the regression model $Y = b(X) +\sigma(X)\varepsilon$, where $X$ has a density $f$, this paper deals with an oracle inequality for an estimator of $bf$, involving a kernel in the sense of Lerasle et al. (2016), selected via the PCO method. In addi
Externí odkaz:
http://arxiv.org/abs/2006.07673
Publikováno v:
Stochastic Processes and their Applications, Elsevier, In press
On any denumerable product of probability spaces, we construct a Malliavin gradient and then a divergence and a number operator. This yields a Dirichlet structure which can be shown to approach the usual structures for Poisson and Brownian processes.
Externí odkaz:
http://arxiv.org/abs/1707.07915
Publikováno v:
In Stochastic Processes and their Applications August 2019 129(8):2611-2653
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