Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Mai, Hilmar"'
Publikováno v:
On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions, SIAM Journal on Control and Optimization. 2020. Vol. 58. No. 4. P. 2312-2331
The paper is a full version of the short presentation in \cite{amv17}. Ergodic control for one-dimensional controlled diffusion is tackled; both drift and diffusion coefficients may depend on a strategy which is assumed markovian. Ergodic HJB equatio
Externí odkaz:
http://arxiv.org/abs/1812.10665
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:
http://arxiv.org/abs/1603.05290
Autor:
Mai, Hilmar
Das Ziel dieser Arbeit ist die Entwicklung eines effizienten parametrischen Schätzverfahrens für den Drift einer durch einen Lévy-Prozess getriebenen Sprungdiffusion. Zunächst werden zeit-stetige Beobachtungen angenommen und auf dieser Basis eine
Externí odkaz:
http://edoc.hu-berlin.de/18452/17242
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
Externí odkaz:
http://arxiv.org/abs/1511.09298
We develop a forward-reverse EM (FREM) algorithm for estimating parameters that determine the dynamics of a discrete time Markov chain evolving through a certain measurable state space. As a key tool for the construction of the FREM method we develop
Externí odkaz:
http://arxiv.org/abs/1501.07091
Autor:
Mai, Hilmar
Publikováno v:
Bernoulli 2014, Vol. 20, No. 2, 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:
http://arxiv.org/abs/1403.2954
Publikováno v:
Annals of Applied Probability 2016, Vol. 26, No. 4, 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:
http://arxiv.org/abs/1311.1061
Publikováno v:
The Annals of Statistics, 2018 Aug 01. 46(4), 1445-1480.
Externí odkaz:
https://www.jstor.org/stable/26542833
Publikováno v:
Advances in Applied Probability, 2018 Jan 01. 50(2), 621-644.
Externí odkaz:
https://www.jstor.org/stable/45277916
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 November 2017 455(1):89-104