← All authors Denis Belomestny University of Duisburg-Essen (from arXiv:2008.00718, 2020) · ORCID · OpenAlex
74 papers in scope · 73 published · 1 on the econ.EM arXiv · 914 citations · h-index 16 (over the papers listed here)
Papers (1 of 74)
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models
published 2024 · Finance and Stochastics · 2 citations · first circulated 2022
with Christian Bayer, Oleg Butkovsky, John Schoenmakers
Nonparametric statistical inference for compound models
published 2024 · Statistics · 1 citations
with Ekaterina Morozova, Vladimir Panov
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
published 2024 · first circulated 2022
with John Schoenmakers
Theoretical guarantees for neural control variates in MCMC
published 2024 · Mathematics and Computers in Simulation · 6 citations · first circulated 2023
with Artur Goldman, Alexey Naumov, Sergey Samsonov
Statistical inference for scale mixture models via Mellin transform approach
published 2024 · Statistics · 3 citations · first circulated 2022
with Ekaterina Morozova, Vladimir Panov
From optimal martingales to randomized dual optimal stopping
published 2023 · Quantitative Finance
with John Schoenmakers
Weak solutions to gamma-driven stochastic differential equations
published 2023 · Indagationes Mathematicae · 2 citations · first circulated 2021
with Shota Gugushvili, Moritz Schauer, Peter Spreij
Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activations
published 2023 · Neural Networks · 18 citations · first circulated 2022
with Alexey Naumov, Nikita Puchkin, Sergey Samsonov, С. В. Самсонов
Semiparametric estimation of McKean–Vlasov SDEs
published 2023 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 22 citations · first circulated 2021
Foundations of Modern Statistics
published 2023 · Springer proceedings in mathematics & statistics · 5 citations
with Cristina Butucea, Enno Mammen, Éric Moulines, Markus Reiß, Vladimir V. Ulyanov
Sparse Constrained Projection Approximation Subspace Tracking
published 2023 · Springer proceedings in mathematics & statistics · 1 citations · first circulated 2018
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization
published 2022 · Mathematics of Operations Research · 22 citations · first circulated 2016
with Christian Bender, John Schoenmakers
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
published 2022 · Bernoulli · 3 citations · first circulated 2020
with Shota Gugushvili, Moritz Schauer, Peter Spreij
Solving optimal stopping problems under model uncertainty via empirical dual optimisation
published 2022 · Finance and Stochastics · 2 citations
with Tobias Hübner, Volker Krätschmer
Empirical variance minimization with applications in variance reduction and optimal control
published 2022 · Bernoulli · 8 citations
Variance reduction for additive functionals of Markov chains via martingale representations
published 2022 · Statistics and Computing · 1 citations
with Éric Moulines, Sergey Samsonov
Reinforced optimal control
published 2022 · Communications in Mathematical Sciences · first circulated 2020
with Christian Bayer, Paul P. Hager, Paolo Pigato, John Schoenmakers, Vladimir Spokoiny, Paul Hager
Bayesian TVP-VARX models with time invariant long-run multipliers
published 2021 · Economic Modelling · 2 citations
Density deconvolution under general assumptions on the distribution of measurement errors
published 2021 · The Annals of Statistics · 4 citations · first circulated 2019
with Alexander Goldenshluger
Randomized Optimal Stopping Algorithms and Their Convergence Analysis
published 2021 · SIAM Journal on Financial Mathematics · 3 citations
with Christian Bayer, Paul P. Hager, Paolo Pigato, John Schoenmakers
Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
published 2020 · Mathematics and Computers in Simulation · first circulated 2019
with Leonid Iosipoi
working paper 2020 · arXiv
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
published 2020 · Mathematical Finance · 6 citations · first circulated 2019
with Maxim Kaledin, John Schoenmakers
Solving linear parabolic rough partial differential equations
published 2020 · Journal of Mathematical Analysis and Applications · 3 citations
with Christian Bayer, Martin Redmann, Sebastian Riedel, John Schoenmakers
Variance reduction for Markov chains with application to MCMC
published 2020 · Statistics and Computing · 26 citations · first circulated 2019
with Leonid Iosipoi, Éric Moulines, Alexey Naumov, Sergey Samsonov
Nonparametric density estimation from observations with multiplicative measurement errors
published 2020 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 8 citations · first circulated 2017
with Alexander Goldenshluger
Optimal stopping via reinforced regression
published 2020 · Communications in Mathematical Sciences · 1 citations
with John Schoenmakers, Vladimir Spokoiny, Bakhyt Zharkynbay
Low-frequency estimation of continuous-time moving average Lévy processes
published 2019 · Bernoulli · 6 citations · first circulated 2016
with Vladimir Panov, Jeannette H. C. Woerner
Minimax theorems for American options without time-consistency
published 2018 · Finance and Stochastics · 1 citations · first circulated 2017
with Tobias Hübner, Volker Krätschmer, Sascha Nolte, Volker Kraetschmer
Variance Reduction for Monte Carlo Methods
published 2018 · Доклады Академии наук
Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach
published 2018 · Statistica Neerlandica · 3 citations · first circulated 2017
with Tatiana Orlova, Vladimir Panov
Semiparametric estimation in the normal variance-mean mixture model
published 2018 · Statistics · 6 citations · first circulated 2017
with Vladimir Panov
Optimal Stopping via Pathwise Dual Empirical Maximisation
published 2017 · 4 citations
with Roland Hildebrand, John Schoenmakers
Sobolev-Hermite versus Sobolev nonparametric density estimation on $${\mathbb {R}}$$R
published 2017 · Annals of the Institute of Statistical Mathematics · 16 citations
with Fabienne Comte, Valentine Genon-Catalot
SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
published 2017 · International Journal of Theoretical and Applied Finance · 3 citations
Stratified regression-based variance reduction approach for weak approximation schemes
published 2017 · Mathematics and Computers in Simulation · 1 citations · first circulated 2016
with S. S. Hafner, Mikhail Urusov, Stefan S. Hafner
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
published 2017 · Bernoulli · 7 citations · first circulated 2014
with Tigran Nagapetyan
Regression-Based Variance Reduction Approach for Strong Approximation Schemes
published 2017 · Springer proceedings in mathematics & statistics · 2 citations
with Stefan S. Hafner, Mikhail Urusov
Statistical inference for time-changed Lévy processes via Mellin transform approach
published 2016 · Stochastic Processes and their Applications · 10 citations
with John Schoenmakers
Nonparametric Laguerre estimation in the multiplicative censoring model
published 2016 · Electronic Journal of Statistics · 28 citations
with Fabienne Comte, Valentine Genon-Catalot
Unbiased Simulation of Distributions with Explicitly Known Integral Transforms
published 2016 · Springer proceedings in mathematics & statistics · 2 citations
with Nan Chen, Yiwei Wang
Statistical Skorohod embedding problem: Optimality and asymptotic normality
published 2015 · Statistics & Probability Letters · 7 citations
with John Schoenmakers
Pricing Bermudan Options via Multilevel Approximation Methods
published 2015 · SIAM Journal on Financial Mathematics · 14 citations
with Fabian Dickmann, Tigran Nagapetyan
Stability of Characterization of the Independence of Random Variables by the Independence of Linear Statistics
published 2015 · Theory of Probability and Its Applications · 1 citations
with Alexander Prokhorov
Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity
published 2015 · SIAM/ASA Journal on Uncertainty Quantification · 4 citations
with Marcel Ladkau, John Schoenmakers
Statistical inference for generalized Ornstein-Uhlenbeck processes
published 2015 · Electronic Journal of Statistics
with Vladimir Panov
Устойчивость характеризации независимости случайных величин по независимости линейных статистик
published 2014 · Теория вероятностей и ее применения
with Денис Витальевич Беломестный, Alexander Prokhorov
Addendum to: Multilevel dual approach for pricing American style derivatives
published 2013 · Finance and Stochastics · 41 citations
with John Schoenmakers, Fabian Dickmann, Mark S. Joshi
Estimation of the activity of jumps in time-changed Lévy models
published 2013 · Electronic Journal of Statistics · 16 citations
with Vladimir Panov
Concentration inequalities for smooth random fields
published 2013 · Теория вероятностей и ее применения
with Денис Витальевич Беломестный, Владимир Григорьевич Спокойный, Vladimir Spokoiny
Tight bounds for American options via multilevel Monte Carlo
published 2012 · Winter Simulation Conference · 1 citations
with Marcel Ladkau, John Schoenmakers
Abelian theorems for stochastic volatility models with application to the estimation of jump activity
published 2012 · Stochastic Processes and their Applications · 8 citations · first circulated 2011
with Vladimir Panov
Central Limit Theorems for Law-Invariant Coherent Risk Measures
published 2012 · Journal of Applied Probability · 32 citations
with Volker Krätschmer
Statistical inference for time-changed Lévy processes via composite characteristic function estimation
published 2011 · The Annals of Statistics · 40 citations
Spectral estimation of the Lévy density in partially observed affine models
published 2011 · Stochastic Processes and their Applications · 13 citations · first circulated 2009
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
published 2010 · The Annals of Applied Probability · 16 citations · first circulated 2009
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
published 2010 · Finance and Stochastics · 68 citations · first circulated 2009
An iterative procedure for solving integral equations related to optimal stopping problems
published 2010 · Stochastics · 3 citations
with Pavel V. Gapeev
A jump-diffusion Libor model and its robust calibration
published 2010 · Quantitative Finance · 16 citations · first circulated 2006
with John Schoenmakers
PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL
published 2010 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2008
with Anastasia Kolodko, John Schoenmakers
Regression Methods for Stochastic Control Problems and Their Convergence Analysis
published 2010 · 57 citations · first circulated 2008
with Anastasia Kolodko, John Schoenmakers
Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
published 2010 · Theory of Probability and Its Applications · 2 citations · first circulated 2009
with Ludger Rüschendorf, Mikhail Urusov, Денис Витальевич Беломестный, Mixail Alecsandrovich Urusov
Spectral estimation of the fractional order of a Lévy process
published 2009 · The Annals of Statistics · 54 citations
Sensitivities for Bermudan options by regression methods
published 2009 · Decisions in Economics and Finance · 12 citations · first circulated 2007
with Grigori N. Milstein, John Schoenmakers
Holomorphic transforms with application to affine processes
published 2009 · Journal of Functional Analysis · 4 citations · first circulated 2008
with Jörg Kampen, John Schoenmakers, Joerg Kampen
Regression methods in pricing American and Bermudan options using consumption processes
published 2009 · Quantitative Finance · 21 citations · first circulated 2006
with Grigori N. Milstein, Vladimir Spokoiny
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
published 2009 · Mathematical Finance · 97 citations · first circulated 2006
with Christian Bender, John Schoenmakers
Multiple stochastic volatility extension of the Libor market model and its implementation
published 2009 · Monte Carlo Methods and Applications · 8 citations
with Stanley Mathew, John Schoenmakers
Spatial aggregation of local likelihood estimates with applications to classification
published 2007 · The Annals of Statistics · 36 citations · first circulated 2006
with Vladimir Spokoiny
Spectral calibration of exponential Lévy models
published 2006 · Finance and Stochastics · 77 citations
with Markus Reiß
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
published 2006 · International Journal of Theoretical and Applied Finance · 19 citations
with Grigori N. Milstein
Восстановление генерального распределения по распределению некоторых статистик
published 2004 · Теория вероятностей и ее применения
with Денис Витальевич Беломестный
Constraints on distributions imposed by properties of linear forms
published 2003 · ESAIM Probability and Statistics
К вопросу о восстановлении распределения слагаемых по распределению суммы
published 2001 · Теория вероятностей и ее применения · 2 citations
with Денис Витальевич Беломестный
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