Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Hilmar Mai"'
Publikováno v:
SIAM Journal on Control and Optimization. 58:2312-2331
An ergodic Bellman's (Hamilton--Jacobi--Bellman) equation is proved for a uniformly ergodic one-dimensional controlled diffusion with variable diffusion and drift coefficients both depending on control; convergence of the values provided by Howard's
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62ca4e580c1cbca0a20ca5cffbac38de
https://doi.org/10.1137/19m1271944
https://doi.org/10.1137/19m1271944
Publikováno v:
Advances in Applied Probability. 50:621-644
We develop a forward-reverse expectation-maximization (FREM) algorithm for estimating parameters of a discrete-time Markov chain evolving through a certain measurable state-space. For the construction of the FREM method, we develop forward-reverse re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ccabd6729ba4cdc45704f33e26cf979
https://doi.org/10.1017/apr.2018.27
https://doi.org/10.1017/apr.2018.27
Publikováno v:
Ann. Statist. 46, no. 4 (2018), 1445-1480
The problem of drift estimation for the solution $X$ of a stochastic differential equation with L\'evy-type jumps is considered under discrete high-frequency observations with a growing observation window. An efficient and asymptotically normal estim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d6a1af716fb9554d2fa2bf60f2367272
https://doi.org/10.1214/17-aos1591
https://doi.org/10.1214/17-aos1591
In this work we derive an inversion formula for the Laplace transform of a density observed on a curve in the complex domain, which generalizes the well known Post-Widder formula. We establish convergence of our inversion method and derive the corres
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https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6399e4baca431687b6fa767f7dd5bf22
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85020095126
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85020095126
Autor:
Hilmar Mai
Publikováno v:
Bernoulli 20, no. 2 (2014), 919-957
We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a L\'{e}vy process when high-frequency observations are given. The estimator is constructed from the time-continuous likelihood fun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::60c0bc6727a91209f1384aa2ab328adc
http://projecteuclid.org/euclid.bj/1393594010
http://projecteuclid.org/euclid.bj/1393594010
Autor:
Wilhelm Stannat, Joscha Diehl, Hilmar Mai, Sebastian Riedel, Harald Oberhauser, Peter K. Friz
Publikováno v:
Extraction of Quantifiable Information from Complex Systems ISBN: 9783319081588
We consider complex stochastic systems in continuous time and space where the objects of interest are modelled via stochastic differential equations, in general high dimensional and with nonlinear coefficients. The extraction of quantifiable informat
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https://explore.openaire.eu/search/publication?articleId=doi_________::244af1913cef8eba0be0b74287d852a8
https://doi.org/10.1007/978-3-319-08159-5_8
https://doi.org/10.1007/978-3-319-08159-5_8
Publikováno v:
Ann. Appl. Probab. 26, no. 4 (2016), 2169-2192
We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons), we analyze the Maximum Likelihood Estimator (MLE) with regard to its p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69f639508e4605c712704742a70b106b