Statistical inference for time-changed Lévy processes via Mellin transform approach
Belomestny, Denis, Schoenmakers, John
Published in Stochastic processes and their applications (01.07.2016)
Published in Stochastic processes and their applications (01.07.2016)
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Journal Article
Variance reduction for discretised diffusions via regression
Belomestny, Denis, Häfner, Stefan, Nagapetyan, Tigran, Urusov, Mikhail
Published in Journal of mathematical analysis and applications (01.02.2018)
Published in Journal of mathematical analysis and applications (01.02.2018)
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Journal Article
Truncated control variates for weak approximation schemes
Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail
Published in ESAIM. Proceedings and surveys (2017)
Published in ESAIM. Proceedings and surveys (2017)
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Journal Article
Estimation and Calibration of Lévy Models via Fourier Methods
Masuda, Hiroki, Reiß, Markus, Belomestny, Denis, Genon-Catalot, Valentine, Comte, Fabienne
Published in Lévy Matters IV (01.01.2015)
Published in Lévy Matters IV (01.01.2015)
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Book Chapter
Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
Belomestny, Denis, Iosipoi, Leonid
Published in Mathematics and computers in simulation (01.03.2021)
Published in Mathematics and computers in simulation (01.03.2021)
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Journal Article
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
Belomestny, Denis, Trabs, Mathias
Published in Annales de l'I.H.P. Probabilités et statistiques (01.08.2018)
Published in Annales de l'I.H.P. Probabilités et statistiques (01.08.2018)
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Journal Article
Nonparametric statistical inference for compound models
Belomestny, Denis, Morozova, Ekaterina, Panov, Vladimir
Published in Statistics (Berlin, DDR) (03.07.2024)
Published in Statistics (Berlin, DDR) (03.07.2024)
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Journal Article
Statistical inference for scale mixture models via Mellin transform approach
Belomestny, Denis, Morozova, Ekaterina, Panov, Vladimir
Published in Statistics (Berlin, DDR) (02.01.2024)
Published in Statistics (Berlin, DDR) (02.01.2024)
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Journal Article
Theoretical guarantees for neural control variates in MCMC
Belomestny, Denis, Goldman, Artur, Naumov, Alexey, Samsonov, Sergey
Published in Mathematics and computers in simulation (01.06.2024)
Published in Mathematics and computers in simulation (01.06.2024)
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Journal Article
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
Belomestny, Denis, Kaledin, Maxim, Schoenmakers, John
Published in Mathematical finance (01.10.2020)
Published in Mathematical finance (01.10.2020)
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Journal Article
Solving linear parabolic rough partial differential equations
Bayer, Christian, Belomestny, Denis, Redmann, Martin, Riedel, Sebastian, Schoenmakers, John
Published in Journal of mathematical analysis and applications (01.10.2020)
Published in Journal of mathematical analysis and applications (01.10.2020)
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Journal Article