var bibbase_data = {"data":"\"Loading..\"\n\n
\n\n \n\n \n\n \n \n\n \n\n \n \n\n \n\n \n
\n generated by\n \n \"bibbase.org\"\n\n \n
\n \n\n
\n\n \n\n\n
\n\n Excellent! Next you can\n create a new website with this list, or\n embed it in an existing web page by copying & pasting\n any of the following snippets.\n\n
\n JavaScript\n (easiest)\n
\n \n <script src=\"https://bibbase.org/show?bib=https://denbel.github.io/pubdata.bib&jsonp=1&authorFirst=1&jsonp=1\"></script>\n \n
\n\n PHP\n
\n \n <?php\n $contents = file_get_contents(\"https://bibbase.org/show?bib=https://denbel.github.io/pubdata.bib&jsonp=1&authorFirst=1\");\n print_r($contents);\n ?>\n \n
\n\n iFrame\n (not recommended)\n
\n \n <iframe src=\"https://bibbase.org/show?bib=https://denbel.github.io/pubdata.bib&jsonp=1&authorFirst=1\"></iframe>\n \n
\n\n

\n For more details see the documention.\n

\n
\n
\n\n
\n\n This is a preview! To use this list on your own web site\n or create a new web site from it,\n create a free account. The file will be added\n and you will be able to edit it in the File Manager.\n We will show you instructions once you've created your account.\n
\n\n
\n\n

To the site owner:

\n\n

Action required! Mendeley is changing its\n API. In order to keep using Mendeley with BibBase past April\n 14th, you need to:\n

    \n
  1. renew the authorization for BibBase on Mendeley, and
    2. \n
  2. update the BibBase URL\n in your page the same way you did when you initially set up\n this page.\n
    3. \n
\n

\n\n

\n \n \n Fix it now\n

\n
\n\n
\n\n\n
\n \n \n
\n
\n  \n 2024\n \n \n (3)\n \n \n
\n
\n \n \n
\n \n\n \n \n Puchkin, N.; Samsonov, S.; Belomestny, D.; Moulines, E.; and Naumov, A.\n\n\n \n \n \n \n \n Rates of convergence for density estimation with generative adversarial networks.\n \n \n \n \n\n\n \n\n\n\n Journal of Machine Learning Research, 25(29): 1–47. 2024.\n \n\n\n\n
\n\n\n\n \n \n \"RatesPaper\n  \n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article{JMLR:v25:23-0062,\n  author  = {Nikita Puchkin and Sergey Samsonov and Denis Belomestny and Eric Moulines and Alexey Naumov},\n  title   = {Rates of convergence for density estimation with generative adversarial networks},\n  journal = {Journal of Machine Learning Research},\n  year    = {2024},\n  volume  = {25},\n  number  = {29},\n  pages   = {1--47},\n  url     = {http://jmlr.org/papers/v25/23-0062.html}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Morozova, E.; and Panov, V.\n\n\n \n \n \n \n Statistical inference for scale mixture models via Mellin transform approach.\n \n \n \n\n\n \n\n\n\n Statistics, 58(1): 209–229. 2024.\n \n\n\n\n
\n\n\n\n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@Article{zbMATH07814995,\n    Author = {Belomestny, Denis and Morozova, Ekaterina and Panov, Vladimir},\n    Title = {Statistical inference for scale mixture models via {Mellin} transform approach},\n    FJournal = {Statistics},\n    Journal = {Statistics},\n    ISSN = {0233-1888},\n    Volume = {58},\n    Number = {1},\n    Pages = {209--229},\n    Year = {2024},\n    Language = {English},\n    DOI = {10.1080/02331888.2024.2309991},\n    Keywords = {62G05,62G20,65C20},\n    zbMATH = {7814995}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n Primal-dual regression approach for Markov decision processes with general state and action spaces.\n \n \n \n\n\n \n\n\n\n SIAM J. Control Optim., 62(1): 650–679. 2024.\n \n\n\n\n
\n\n\n\n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@Article{zbMATH07806777,\n    Author = {Belomestny, Denis and Schoenmakers, John},\n    Title = {Primal-dual regression approach for {Markov} decision processes with general state and action spaces},\n    FJournal = {SIAM Journal on Control and Optimization},\n    Journal = {SIAM J. Control Optim.},\n    ISSN = {0363-0129},\n    Volume = {62},\n    Number = {1},\n    Pages = {650--679},\n    Year = {2024},\n    Language = {English},\n    DOI = {10.1137/22M1526010},\n    Keywords = {90C40,65C05,62G08},\n    zbMATH = {7806777}\n}\n\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2023\n \n \n (5)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Bender, C.; and Schoenmakers, J.\n\n\n \n \n \n \n Solving optimal stopping problems via randomization and empirical dual optimization.\n \n \n \n\n\n \n\n\n\n Math. Oper. Res., 48(3): 1454–1480. 2023.\n \n\n\n\n
\n\n\n\n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@Article{zbMATH07809866,\n    Author = {Belomestny, Denis and Bender, Christian and Schoenmakers, John},\n    Title = {Solving optimal stopping problems via randomization and empirical dual optimization},\n    FJournal = {Mathematics of Operations Research},\n    Journal = {Math. Oper. Res.},\n    ISSN = {0364-765X},\n    Volume = {48},\n    Number = {3},\n    Pages = {1454--1480},\n    Year = {2023},\n    Language = {English},\n    DOI = {10.1287/moor.2022.1306},\n    Keywords = {91G60,65G05,60G40},\n    zbMATH = {7809866}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n From optimal martingales to randomized dual optimal stopping.\n \n \n \n\n\n \n\n\n\n Quant. Finance, 23(7-8): 1099–1113. 2023.\n \n\n\n\n
\n\n\n\n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@Article{zbMATH07742095,\n    Author = {Belomestny, Denis and Schoenmakers, John},\n    Title = {From optimal martingales to randomized dual optimal stopping},\n    FJournal = {Quantitative Finance},\n    Journal = {Quant. Finance},\n    ISSN = {1469-7688},\n    Volume = {23},\n    Number = {7-8},\n    Pages = {1099--1113},\n    Year = {2023},\n    Language = {English},\n    DOI = {10.1080/14697688.2023.2223242},\n    Keywords = {91G60,65C05,60G40,60G46},\n    zbMATH = {7742095},\n    Zbl = {1522.91309}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Gugushvili, S.; Schauer, M.; and Spreij, P.\n\n\n \n \n \n \n Weak solutions to gamma-driven stochastic differential equations.\n \n \n \n\n\n \n\n\n\n Indag. Math., New Ser., 34(4): 820–829. 2023.\n \n\n\n\n
\n\n\n\n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n\n\n\n
\n 
@Article{zbMATH07689514,\n    Author = {Belomestny, Denis and Gugushvili, Shota and Schauer, Moritz and Spreij, Peter},\n    Title = {Weak solutions to gamma-driven stochastic differential equations},\n    FJournal = {Indagationes Mathematicae. New Series},\n    Journal = {Indag. Math., New Ser.},\n    ISSN = {0019-3577},\n    Volume = {34},\n    Number = {4},\n    Pages = {820--829},\n    Year = {2023},\n    Language = {English},\n    DOI = {10.1016/j.indag.2023.03.004},\n    Keywords = {60H10,60H05},\n    zbMATH = {7689514}\n}\n\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Naumov, A.; Puchkin, N.; and Samsonov, S.\n\n\n \n \n \n \n \n Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activations.\n \n \n \n \n\n\n \n\n\n\n Neural Networks, 161: 242-253. 2023.\n \n\n\n\n
\n\n\n\n \n \n \"SimultaneousPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n  \n \n abstract \n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@article{BELOMESTNY2023242,\ntitle = {Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activations},\njournal = {Neural Networks},\nvolume = {161},\npages = {242-253},\nyear = {2023},\nissn = {0893-6080},\ndoi = {https://doi.org/10.1016/j.neunet.2023.01.035},\nurl = {https://www.sciencedirect.com/science/article/pii/S0893608023000473},\nauthor = {Denis Belomestny and Alexey Naumov and Nikita Puchkin and Sergey Samsonov},\nkeywords = {Deep neural networks, Approximation complexity, ReQU activations, ReLU activations, Hölder class},\nabstract = {This paper investigates the approximation properties of deep neural networks with piecewise-polynomial activation functions. We derive the required depth, width, and sparsity of a deep neural network to approximate any Hölder smooth function up to a given approximation error in Hölder norms in such a way that all weights of this neural network are bounded by 1. The latter feature is essential to control generalization errors in many statistical and machine learning applications.}\n}\n\n
\n
\n\n\n
\n This paper investigates the approximation properties of deep neural networks with piecewise-polynomial activation functions. We derive the required depth, width, and sparsity of a deep neural network to approximate any Hölder smooth function up to a given approximation error in Hölder norms in such a way that all weights of this neural network are bounded by 1. The latter feature is essential to control generalization errors in many statistical and machine learning applications.\n
\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Pilipauskaitė, V.; and Podolskij, M.\n\n\n \n \n \n \n \n Semiparametric estimation of McKean–Vlasov SDEs.\n \n \n \n \n\n\n \n\n\n\n Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 59(1): 79 – 96. 2023.\n \n\n\n\n
\n\n\n\n \n \n \"SemiparametricPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n  \n \n abstract \n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n\n\n\n
\n 
@article{10.1214/22-AIHP1261,\nauthor = {Denis Belomestny and Vytautė Pilipauskaitė and Mark Podolskij},\ntitle = {{Semiparametric estimation of McKean–Vlasov SDEs}},\nvolume = {59},\njournal = {Annales de l'Institut Henri Poincaré, Probabilités et Statistiques},\nnumber = {1},\npublisher = {Institut Henri Poincaré},\npages = {79 -- 96},\nabstract = {Dans cet article, nous étudions le problème d’estimation semi-paramétrique pour une classe d’équations différentielles stochastiques de type McKean–Vlasov. Notre but est d’estimer le coefficient de dérive d’une EDS de type MV à partir d’observations du système de particules associé. Nous proposons une méthode d’estimation semi-paramétrique et obtenons les vitesses de convergence pour les estimateurs correspondants. Nous démontrons également que les vitesses de convergence sont quasi-optimales au sens minimax.},\nkeywords = {Deconvolution, McKean–Vlasov SDEs, Mean field models, minimax bounds, Multi-agent learning, Semiparametric estimation},\nyear = {2023},\ndoi = {10.1214/22-AIHP1261},\nURL = {https://doi.org/10.1214/22-AIHP1261}\n}\n\n
\n
\n\n\n
\n Dans cet article, nous étudions le problème d’estimation semi-paramétrique pour une classe d’équations différentielles stochastiques de type McKean–Vlasov. Notre but est d’estimer le coefficient de dérive d’une EDS de type MV à partir d’observations du système de particules associé. Nous proposons une méthode d’estimation semi-paramétrique et obtenons les vitesses de convergence pour les estimateurs correspondants. Nous démontrons également que les vitesses de convergence sont quasi-optimales au sens minimax.\n
\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2022\n \n \n (7)\n \n \n
\n
\n \n \n
\n \n\n \n \n Bayer, C.; Belomestny, D.; Hager, P.; Pigato, P.; Schoenmakers, J.; and Spokoiny, V.\n\n\n \n \n \n \n \n Reinforced optimal control.\n \n \n \n \n\n\n \n\n\n\n Commun. Math. Sci., 20(7): 1951–1978. 2022.\n \n\n\n\n
\n\n\n\n \n \n \"ReinforcedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4504018,\n    AUTHOR = {Bayer, Christian and Belomestny, Denis and Hager, Paul and\n              Pigato, Paolo and Schoenmakers, John and Spokoiny, Vladimir},\n     TITLE = {Reinforced optimal control},\n   JOURNAL = {Commun. Math. Sci.},\n  FJOURNAL = {Communications in Mathematical Sciences},\n    VOLUME = {20},\n      YEAR = {2022},\n    NUMBER = {7},\n     PAGES = {1951--1978},\n      ISSN = {1539-6746},\n   MRCLASS = {93E20 (90C39 91G20)},\n  MRNUMBER = {4504018},\nMRREVIEWER = {Gregory Gagnon},\n       DOI = {10.4310/cms.2022.v20.n7.a7},\n       URL = {https://doi.org/10.4310/cms.2022.v20.n7.a7},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Gugushvili, S.; Schauer, M.; and Spreij, P.\n\n\n \n \n \n \n \n Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations.\n \n \n \n \n\n\n \n\n\n\n Bernoulli, 28(4): 2151–2180. 2022.\n \n\n\n\n
\n\n\n\n \n \n \"NonparametricPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4474539,\n    AUTHOR = {Belomestny, Denis and Gugushvili, Shota and Schauer, Moritz\n              and Spreij, Peter},\n     TITLE = {Nonparametric {B}ayesian volatility estimation for\n              gamma-driven stochastic differential equations},\n   JOURNAL = {Bernoulli},\n  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for\n              Mathematical Statistics and Probability},\n    VOLUME = {28},\n      YEAR = {2022},\n    NUMBER = {4},\n     PAGES = {2151--2180},\n      ISSN = {1350-7265},\n   MRCLASS = {62G20 (60G51 60H10 62M30)},\n  MRNUMBER = {4474539},\nMRREVIEWER = {Markus Bibinger},\n       DOI = {10.3150/21-bej1413},\n       URL = {https://doi.org/10.3150/21-bej1413},\n}\n\t\t\n\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Tiapkin, D.; Belomestny, D.; Calandriello, D.; Moulines, E.; Munos, R.; Naumov, A.; Rowland, M.; Valko, M.; and Menard, P.\n\n\n \n \n \n \n \n Optimistic Posterior Sampling for Reinforcement Learning with Few Samples and Tight Guarantees.\n \n \n \n \n\n\n \n\n\n\n In Oh, A. H.; Agarwal, A.; Belgrave, D.; and Cho, K., editor(s), Advances in Neural Information Processing Systems, 2022. \n \n\n\n\n
\n\n\n\n \n \n \"OptimisticPaper\n  \n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@inproceedings{\ntiapkin2022optimistic,\ntitle={Optimistic Posterior Sampling for Reinforcement Learning with Few Samples and Tight Guarantees},\nauthor={Daniil Tiapkin and Denis Belomestny and Daniele Calandriello and Eric Moulines and Remi Munos and Alexey Naumov \nand Mark Rowland and Michal Valko and Pierre Menard},\nbooktitle={Advances in Neural Information Processing Systems},\neditor={Alice H. Oh and Alekh Agarwal and Danielle Belgrave and Kyunghyun Cho},\nyear={2022},\nurl={https://openreview.net/forum?id=gvwDosudtyA}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Tiapkin, D.; Belomestny, D.; Moulines, E.; Naumov, A.; Samsonov, S.; Tang, Y.; Valko, M.; and Menard, P.\n\n\n \n \n \n \n \n From Dirichlet to Rubin: Optimistic Exploration in RL without Bonuses.\n \n \n \n \n\n\n \n\n\n\n In Chaudhuri, K.; Jegelka, S.; Song, L.; Szepesvari, C.; Niu, G.; and Sabato, S., editor(s), Proceedings of the 39th International Conference on Machine Learning, volume 162, of Proceedings of Machine Learning Research, pages 21380–21431, 17–23 Jul 2022. PMLR\n \n\n\n\n
\n\n\n\n \n \n \"FromPaper\n  \n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n  \n \n abstract \n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@InProceedings{pmlr-v162-tiapkin22a,\n  title = \t {From {D}irichlet to Rubin: Optimistic Exploration in {RL} without Bonuses},\n  author =       {Tiapkin, Daniil and Belomestny, Denis and Moulines, Eric and Naumov, Alexey and Samsonov, Sergey and Tang, Yunhao and Valko, Michal and Menard, Pierre},\n  booktitle = \t {Proceedings of the 39th International Conference on Machine Learning},\n  pages = \t {21380--21431},\n  year = \t {2022},\n  editor = \t {Chaudhuri, Kamalika and Jegelka, Stefanie and Song, Le and Szepesvari, Csaba and Niu, Gang and Sabato, Sivan},\n  volume = \t {162},\n  series = \t {Proceedings of Machine Learning Research},\n  month = \t {17--23 Jul},\n  publisher =    {PMLR},\n  pdf = \t {https://proceedings.mlr.press/v162/tiapkin22a/tiapkin22a.pdf},\n  url = \t {https://proceedings.mlr.press/v162/tiapkin22a.html},\n  abstract = \t {We propose the Bayes-UCBVI algorithm for reinforcement learning in tabular, stage-dependent, episodic Markov decision process: a natural extension of the Bayes-UCB algorithm by Kaufmann et al. 2012 for multi-armed bandits. Our method uses the quantile of a Q-value function posterior as upper confidence bound on the optimal Q-value function. For Bayes-UCBVI, we prove a regret bound of order $\\widetilde{\\mathcal{O}}(\\sqrt{H^3SAT})$ where $H$ is the length of one episode, $S$ is the number of states, $A$ the number of actions, $T$ the number of episodes, that matches the lower-bound of $\\Omega(\\sqrt{H^3SAT})$ up to poly-$\\log$ terms in $H,S,A,T$ for a large enough $T$. To the best of our knowledge, this is the first algorithm that obtains an optimal dependence on the horizon $H$ (and $S$) <em>without the need of an involved Bernstein-like bonus or noise.</em> Crucial to our analysis is a new fine-grained anti-concentration bound for a weighted Dirichlet sum that can be of independent interest. We then explain how Bayes-UCBVI can be easily extended beyond the tabular setting, exhibiting a strong link between our algorithm and Bayesian bootstrap (Rubin,1981).}\n}\n\n
\n
\n\n\n
\n We propose the Bayes-UCBVI algorithm for reinforcement learning in tabular, stage-dependent, episodic Markov decision process: a natural extension of the Bayes-UCB algorithm by Kaufmann et al. 2012 for multi-armed bandits. Our method uses the quantile of a Q-value function posterior as upper confidence bound on the optimal Q-value function. For Bayes-UCBVI, we prove a regret bound of order $\\widetilde{\\mathcal{O}}(\\sqrt{H^3SAT})$ where $H$ is the length of one episode, $S$ is the number of states, $A$ the number of actions, $T$ the number of episodes, that matches the lower-bound of $Ω(\\sqrt{H^3SAT})$ up to poly-$łog$ terms in $H,S,A,T$ for a large enough $T$. To the best of our knowledge, this is the first algorithm that obtains an optimal dependence on the horizon $H$ (and $S$) without the need of an involved Bernstein-like bonus or noise. Crucial to our analysis is a new fine-grained anti-concentration bound for a weighted Dirichlet sum that can be of independent interest. We then explain how Bayes-UCBVI can be easily extended beyond the tabular setting, exhibiting a strong link between our algorithm and Bayesian bootstrap (Rubin,1981).\n
\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Hübner, T.; and Krätschmer, V.\n\n\n \n \n \n \n \n Solving optimal stopping problems under model uncertainty via empirical dual optimisation.\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 26(3): 461–503. 2022.\n \n\n\n\n
\n\n\n\n \n \n \"SolvingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4447251,\n    AUTHOR = {Belomestny, Denis and H\\"{u}bner, Tobias and Kr\\"{a}tschmer, Volker},\n     TITLE = {Solving optimal stopping problems under model uncertainty via\n              empirical dual optimisation},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {26},\n      YEAR = {2022},\n    NUMBER = {3},\n     PAGES = {461--503},\n      ISSN = {0949-2984},\n   MRCLASS = {60G40 (60G17 90C47 91G20)},\n  MRNUMBER = {4447251},\n       DOI = {10.1007/s00780-022-00480-z},\n       URL = {https://doi.org/10.1007/s00780-022-00480-z},\n}\n\t\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Gauer, J.; Nagathil, A.; Eckel, K.; Belomestny, D.; and Martin, R.\n\n\n \n \n \n \n \n A versatile deep-neural-network-based music preprocessing and remixing scheme for cochlear implant listeners.\n \n \n \n \n\n\n \n\n\n\n Journal of the Acoustical Society of America, 151(5): 2975 – 2986. 2022.\n Q1 quartile\n\n\n\n
\n\n\n\n \n \n \"APaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@ARTICLE{Gauer20222975,\n\tauthor = {Gauer, Johannes and Nagathil, Anil and Eckel, Kai and Belomestny, Denis and Martin, Rainer},\n\ttitle = {A versatile deep-neural-network-based music preprocessing and remixing scheme for cochlear implant listeners},\n\tyear = {2022},\n\tjournal = {Journal of the Acoustical Society of America},\n\tvolume = {151},\n\tnumber = {5},\n\tpages = {2975 – 2986},\n\tdoi = {10.1121/10.0010371},\n\turl = {https://www.scopus.com/inward/record.uri?eid=2-s2.0-85130096784&doi=10.1121%2f10.0010371&partnerID=40&md5=216e0907dbaad8513f25b1c64d1f1c31},\n\tpublication_stage = {Final},\n\tnote={ Q1 quartile}\n}\n\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Iosipoi, L.; Paris, Q.; and Zhivotovskiy, N.\n\n\n \n \n \n \n \n Empirical variance minimization with applications in variance reduction and optimal control.\n \n \n \n \n\n\n \n\n\n\n Bernoulli, 28(2): 1382–1407. 2022.\n Q1 quartile\n\n\n\n
\n\n\n\n \n \n \"EmpiricalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 3 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4388942,\n    AUTHOR = {Belomestny, Denis and Iosipoi, Leonid and Paris, Quentin and\n              Zhivotovskiy, Nikita},\n     TITLE = {Empirical variance minimization with applications in variance\n              reduction and optimal control},\n   JOURNAL = {Bernoulli},\n  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for\n              Mathematical Statistics and Probability},\n    VOLUME = {28},\n      YEAR = {2022},\n    NUMBER = {2},\n     PAGES = {1382--1407},\n      ISSN = {1350-7265},\n   MRCLASS = {65C20 (65K10 90C25 90C48)},\n  MRNUMBER = {4388942},\n       DOI = {10.3150/21-bej1392},\n       URL = {https://doi.org/10.3150/21-bej1392},\n       note={ Q1 quartile}\n}\n\n\n\n\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2021\n \n \n (5)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Krymova, E.; and Polbin, A.\n\n\n \n \n \n \n \n Bayesian TVP-VARX models with time invariant long-run multipliers.\n \n \n \n \n\n\n \n\n\n\n Economic Modelling, 101. 2021.\n Q1 quartile\n\n\n\n
\n\n\n\n \n \n \"BayesianPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@ARTICLE{Belomestny2021,\n\tauthor = {Belomestny, Denis and Krymova, Ekaterina and Polbin, Andrey},\n\ttitle = {Bayesian TVP-VARX models with time invariant long-run multipliers},\n\tyear = {2021},\n\tjournal = {Economic Modelling},\n\tvolume = {101},\n\tdoi = {10.1016/j.econmod.2021.105531},\n\turl = {https://www.scopus.com/inward/record.uri?eid=2-s2.0-85105727713&doi=10.1016%2fj.econmod.2021.105531&partnerID=40&md5=8eba1fa5d6c975ae482650c4c09cada0},\n\tpublication_stage = {Final},\n\tnote={ Q1 quartile}\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Bayer, C.; Belomestny, D.; Hager, P.; Pigato, P.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Randomized optimal stopping algorithms and their convergence analysis.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Financial Math., 12(3): 1201–1225. 2021.\n Q1 quartile\n\n\n\n
\n\n\n\n \n \n \"RandomizedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4309858,\n    AUTHOR = {Bayer, Christian and Belomestny, Denis and Hager, Paul and\n              Pigato, Paolo and Schoenmakers, John},\n     TITLE = {Randomized optimal stopping algorithms and their convergence\n              analysis},\n   JOURNAL = {SIAM J. Financial Math.},\n  FJOURNAL = {SIAM Journal on Financial Mathematics},\n    VOLUME = {12},\n      YEAR = {2021},\n    NUMBER = {3},\n     PAGES = {1201--1225},\n   MRCLASS = {91G60 (60G40 60J05 65C05 65C30)},\n  MRNUMBER = {4309858},\nMRREVIEWER = {Mahdieh Tahmasebi},\n       DOI = {10.1137/20M1373876},\n       URL = {https://doi.org/10.1137/20M1373876},\n       note={Q1 quartile}\n}\n\t\t\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Goldenshluger, A.\n\n\n \n \n \n \n \n Density deconvolution under general assumptions on the distribution of measurement errors.\n \n \n \n \n\n\n \n\n\n\n Ann. Statist., 49(2): 615–649. 2021.\n \n\n\n\n
\n\n\n\n \n \n \"DensityPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4255101,\n    AUTHOR = {Belomestny, Denis and Goldenshluger, Alexander},\n     TITLE = {Density deconvolution under general assumptions on the\n              distribution of measurement errors},\n   JOURNAL = {Ann. Statist.},\n  FJOURNAL = {The Annals of Statistics},\n    VOLUME = {49},\n      YEAR = {2021},\n    NUMBER = {2},\n     PAGES = {615--649},\n      ISSN = {0090-5364},\n   MRCLASS = {62G07 (62G20)},\n  MRNUMBER = {4255101},\n       DOI = {10.1214/20-aos1969},\n       URL = {https://doi.org/10.1214/20-aos1969},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; and Samsonov, S.\n\n\n \n \n \n \n \n Variance reduction for dependent sequences with applications to stochastic gradient MCMC.\n \n \n \n \n\n\n \n\n\n\n SIAM/ASA J. Uncertain. Quantif., 9(2): 507–535. 2021.\n \n\n\n\n
\n\n\n\n \n \n \"VariancePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4252078,\n    AUTHOR = {Belomestny, Denis and Iosipoi, Leonid and Moulines, Eric and\n              Naumov, Alexey and Samsonov, Sergey},\n     TITLE = {Variance reduction for dependent sequences with applications\n              to stochastic gradient {MCMC}},\n   JOURNAL = {SIAM/ASA J. Uncertain. Quantif.},\n  FJOURNAL = {SIAM/ASA Journal on Uncertainty Quantification},\n    VOLUME = {9},\n      YEAR = {2021},\n    NUMBER = {2},\n     PAGES = {507--535},\n   MRCLASS = {60J20 (65C40 65C60)},\n  MRNUMBER = {4252078},\n       DOI = {10.1137/19M1301199},\n       URL = {https://doi.org/10.1137/19M1301199},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Iosipoi, L.\n\n\n \n \n \n \n \n Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity.\n \n \n \n \n\n\n \n\n\n\n Math. Comput. Simulation, 181: 351–363. 2021.\n \n\n\n\n
\n\n\n\n \n \n \"FourierPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 3 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4162384,\n    AUTHOR = {Belomestny, Denis and Iosipoi, Leonid},\n     TITLE = {Fourier transform {MCMC}, heavy-tailed distributions, and\n              geometric ergodicity},\n   JOURNAL = {Math. Comput. Simulation},\n  FJOURNAL = {Mathematics and Computers in Simulation},\n    VOLUME = {181},\n      YEAR = {2021},\n     PAGES = {351--363},\n      ISSN = {0378-4754},\n   MRCLASS = {65C05 (60E10 60G51 60J22)},\n  MRNUMBER = {4162384},\n       DOI = {10.1016/j.matcom.2020.10.005},\n       URL = {https://doi.org/10.1016/j.matcom.2020.10.005},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2020\n \n \n (5)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Kaledin, M.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm.\n \n \n \n \n\n\n \n\n\n\n Math. Finance, 30(4): 1591–1616. 2020.\n \n\n\n\n
\n\n\n\n \n \n \"SemitractabilityPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4154780,\n    AUTHOR = {Belomestny, Denis and Kaledin, Maxim and Schoenmakers, John},\n     TITLE = {Semitractability of optimal stopping problems via a weighted\n              stochastic mesh algorithm},\n   JOURNAL = {Math. Finance},\n  FJOURNAL = {Mathematical Finance. An International Journal of Mathematics,\n              Statistics and Financial Economics},\n    VOLUME = {30},\n      YEAR = {2020},\n    NUMBER = {4},\n     PAGES = {1591--1616},\n      ISSN = {0960-1627},\n   MRCLASS = {91G60 (60G40 60H30 91G20)},\n  MRNUMBER = {4154780},\n       DOI = {10.1111/mafi.12271},\n       URL = {https://doi.org/10.1111/mafi.12271},\n}\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; and Samsonov, S.\n\n\n \n \n \n \n \n Variance reduction for Markov chains with application to MCMC.\n \n \n \n \n\n\n \n\n\n\n Stat. Comput., 30(4): 973–997. 2020.\n \n\n\n\n
\n\n\n\n \n \n \"VariancePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4108687,\n    AUTHOR = {Belomestny, D. and Iosipoi, L. and Moulines, E. and Naumov, A.\n              and Samsonov, S.},\n     TITLE = {Variance reduction for {M}arkov chains with application to\n              {MCMC}},\n   JOURNAL = {Stat. Comput.},\n  FJOURNAL = {Statistics and Computing},\n    VOLUME = {30},\n      YEAR = {2020},\n    NUMBER = {4},\n     PAGES = {973--997},\n      ISSN = {0960-3174},\n   MRCLASS = {60J10 (60B10 60J22 62F15 62M05 65C05)},\n  MRNUMBER = {4108687},\n       DOI = {10.1007/s11222-020-09931-z},\n       URL = {https://doi.org/10.1007/s11222-020-09931-z},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Bayer, C.; Belomestny, D.; Redmann, M.; Riedel, S.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Solving linear parabolic rough partial differential equations.\n \n \n \n \n\n\n \n\n\n\n J. Math. Anal. Appl., 490(1): 124236, 45. 2020.\n \n\n\n\n
\n\n\n\n \n \n \"SolvingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4100851,\n    AUTHOR = {Bayer, Christian and Belomestny, Denis and Redmann, Martin and\n              Riedel, Sebastian and Schoenmakers, John},\n     TITLE = {Solving linear parabolic rough partial differential equations},\n   JOURNAL = {J. Math. Anal. Appl.},\n  FJOURNAL = {Journal of Mathematical Analysis and Applications},\n    VOLUME = {490},\n      YEAR = {2020},\n    NUMBER = {1},\n     PAGES = {124236, 45},\n      ISSN = {0022-247X},\n   MRCLASS = {60L20 (35K10 35R60 62G08 65C05 65M99)},\n  MRNUMBER = {4100851},\n       DOI = {10.1016/j.jmaa.2020.124236},\n       URL = {https://doi.org/10.1016/j.jmaa.2020.124236},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Schoenmakers, J.; Spokoiny, V.; and Zharkynbay, B.\n\n\n \n \n \n \n \n Optimal stopping via reinforced regression.\n \n \n \n \n\n\n \n\n\n\n Commun. Math. Sci., 18(1): 109–121. 2020.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4084145,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John and Spokoiny,\n              Vladimir and Zharkynbay, Bakhyt},\n     TITLE = {Optimal stopping via reinforced regression},\n   JOURNAL = {Commun. Math. Sci.},\n  FJOURNAL = {Communications in Mathematical Sciences},\n    VOLUME = {18},\n      YEAR = {2020},\n    NUMBER = {1},\n     PAGES = {109--121},\n      ISSN = {1539-6746},\n   MRCLASS = {65C05 (60G40 60H30 62P05)},\n  MRNUMBER = {4084145},\nMRREVIEWER = {Charles-Edouard Br\\'{e}hier},\n       DOI = {10.4310/cms.2020.v18.n1.a5},\n       URL = {https://doi.org/10.4310/cms.2020.v18.n1.a5},\n}\n\t\t\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Optimal Stopping of McKean–Vlasov Diffusions via Regression on Particle Systems.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Control Optim., 58(1): 529–550. 2020.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4068320,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {Optimal {S}topping of {M}c{K}ean--{V}lasov {D}iffusions via\n              {R}egression on {P}article {S}ystems},\n   JOURNAL = {SIAM J. Control Optim.},\n  FJOURNAL = {SIAM Journal on Control and Optimization},\n    VOLUME = {58},\n      YEAR = {2020},\n    NUMBER = {1},\n     PAGES = {529--550},\n      ISSN = {0363-0129},\n   MRCLASS = {60G40 (49L20 65C05 91G80)},\n  MRNUMBER = {4068320},\n       DOI = {10.1137/18M1195590},\n       URL = {https://doi.org/10.1137/18M1195590},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2019\n \n \n (8)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestnyĭ, D. V.; and Iosipoĭ, L. S.\n\n\n \n \n \n \n On estimating distribution density using a Fourier series.\n \n \n \n\n\n \n\n\n\n Upr. Bolp̧rime sh. Sist., (82): 28–43. 2019.\n \n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4043118,\n    AUTHOR = {Belomestny\\u{\\i}, D. V. and Iosipo\\u{\\i}, L. S.},\n     TITLE = {On estimating distribution density using a {F}ourier series},\n   JOURNAL = {Upr. Bol\\cprime sh. Sist.},\n  FJOURNAL = {Upravlenie Bol\\cprime shimi Sistemami},\n      YEAR = {2019},\n    NUMBER = {82},\n     PAGES = {28--43},\n      ISSN = {1819-2440},\n   MRCLASS = {62G07 (42A10)},\n  MRNUMBER = {4043118},\n}\n\t\t\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Gugushvili, S.; Schauer, M.; and Spreij, P.\n\n\n \n \n \n \n \n Nonparametric Bayesian inference for gamma-type Lévy subordinators.\n \n \n \n \n\n\n \n\n\n\n Commun. Math. Sci., 17(3): 781–816. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"NonparametricPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR4001482,\n    AUTHOR = {Belomestny, Denis and Gugushvili, Shota and Schauer, Moritz\n              and Spreij, Peter},\n     TITLE = {Nonparametric {B}ayesian inference for gamma-type {L}\\'{e}vy\n              subordinators},\n   JOURNAL = {Commun. Math. Sci.},\n  FJOURNAL = {Communications in Mathematical Sciences},\n    VOLUME = {17},\n      YEAR = {2019},\n    NUMBER = {3},\n     PAGES = {781--816},\n      ISSN = {1539-6746},\n   MRCLASS = {62G20 (60G51 62F15 62G05)},\n  MRNUMBER = {4001482},\n       DOI = {10.4310/CMS.2019.v17.n3.a8},\n       URL = {https://doi.org/10.4310/CMS.2019.v17.n3.a8},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Trabs, M.; and Tsybakov, A. B.\n\n\n \n \n \n \n \n Sparse covariance matrix estimation in high-dimensional deconvolution.\n \n \n \n \n\n\n \n\n\n\n Bernoulli, 25(3): 1901–1938. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"SparsePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 4 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3961235,\n    AUTHOR = {Belomestny, Denis and Trabs, Mathias and Tsybakov, Alexandre\n              B.},\n     TITLE = {Sparse covariance matrix estimation in high-dimensional\n              deconvolution},\n   JOURNAL = {Bernoulli},\n  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for\n              Mathematical Statistics and Probability},\n    VOLUME = {25},\n      YEAR = {2019},\n    NUMBER = {3},\n     PAGES = {1901--1938},\n      ISSN = {1350-7265},\n   MRCLASS = {62H12 (62G05)},\n  MRNUMBER = {3961235},\n       DOI = {10.3150/18-BEJ1040A},\n       URL = {https://doi.org/10.3150/18-BEJ1040A},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Hildebrand, R.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Optimal stopping via pathwise dual empirical maximisation.\n \n \n \n \n\n\n \n\n\n\n Appl. Math. Optim., 79(3): 715–741. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3951715,\n    AUTHOR = {Belomestny, Denis and Hildebrand, Roland and Schoenmakers,\n              John},\n     TITLE = {Optimal stopping via pathwise dual empirical maximisation},\n   JOURNAL = {Appl. Math. Optim.},\n  FJOURNAL = {Applied Mathematics and Optimization},\n    VOLUME = {79},\n      YEAR = {2019},\n    NUMBER = {3},\n     PAGES = {715--741},\n      ISSN = {0095-4616},\n   MRCLASS = {60G40 (60G17)},\n  MRNUMBER = {3951715},\n       DOI = {10.1007/s00245-017-9454-9},\n       URL = {https://doi.org/10.1007/s00245-017-9454-9},\n}\n\t\t\n\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Panov, V.; and Woerner, J. H. C.\n\n\n \n \n \n \n \n Low-frequency estimation of continuous-time moving average Lévy processes.\n \n \n \n \n\n\n \n\n\n\n Bernoulli, 25(2): 902–931. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"Low-frequencyPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 4 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3920361,\n    AUTHOR = {Belomestny, Denis and Panov, Vladimir and Woerner, Jeannette\n              H. C.},\n     TITLE = {Low-frequency estimation of continuous-time moving average\n              {L}\\'{e}vy processes},\n   JOURNAL = {Bernoulli},\n  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for\n              Mathematical Statistics and Probability},\n    VOLUME = {25},\n      YEAR = {2019},\n    NUMBER = {2},\n     PAGES = {902--931},\n      ISSN = {1350-7265},\n   MRCLASS = {62M09 (60G51)},\n  MRNUMBER = {3920361},\n       DOI = {10.3150/17-bej1008},\n       URL = {https://doi.org/10.3150/17-bej1008},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Orlova, T.; and Panov, V.\n\n\n \n \n \n \n Statistical inference for moving-average Lévy-driven processes: Fourier-based approach.\n \n \n \n\n\n \n\n\n\n Stat. Neerl., 73(1): 100–117. 2019.\n \n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3905874,\n    AUTHOR = {Belomestny, Denis and Orlova, Tatiana and Panov, Vladimir},\n     TITLE = {Statistical inference for moving-average {L}\\'{e}vy-driven\n              processes: {F}ourier-based approach},\n   JOURNAL = {Stat. Neerl.},\n  FJOURNAL = {Statistica Neerlandica. Journal of the Netherlands Society for\n              Statistics and Operations Research},\n    VOLUME = {73},\n      YEAR = {2019},\n    NUMBER = {1},\n     PAGES = {100--117},\n      ISSN = {0039-0402},\n   MRCLASS = {60G51 (62M09)},\n  MRNUMBER = {3905874},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Comte, F.; and Genon-Catalot, V.\n\n\n \n \n \n \n \n Sobolev-Hermite versus Sobolev nonparametric density estimation on $\\Bbb {R}$.\n \n \n \n \n\n\n \n\n\n\n Ann. Inst. Statist. Math., 71(1): 29–62. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"Sobolev-HermitePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3898425,\n    AUTHOR = {Belomestny, Denis and Comte, Fabienne and Genon-Catalot,\n              Valentine},\n     TITLE = {Sobolev-{H}ermite versus {S}obolev nonparametric density\n              estimation on {$\\Bbb {R}$}},\n   JOURNAL = {Ann. Inst. Statist. Math.},\n  FJOURNAL = {Annals of the Institute of Statistical Mathematics},\n    VOLUME = {71},\n      YEAR = {2019},\n    NUMBER = {1},\n     PAGES = {29--62},\n      ISSN = {0020-3157},\n   MRCLASS = {62G07},\n  MRNUMBER = {3898425},\n       DOI = {10.1007/s10463-017-0624-y},\n       URL = {https://doi.org/10.1007/s10463-017-0624-y},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Hübner, T.; Krätschmer, V.; and Nolte, S.\n\n\n \n \n \n \n \n Minimax theorems for American options without time-consistency.\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 23(1): 209–238. 2019.\n \n\n\n\n
\n\n\n\n \n \n \"MinimaxPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3898405,\n    AUTHOR = {Belomestny, Denis and H\\"{u}bner, Tobias and Kr\\"{a}tschmer, Volker\n              and Nolte, Sascha},\n     TITLE = {Minimax theorems for {A}merican options without\n              time-consistency},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {23},\n      YEAR = {2019},\n    NUMBER = {1},\n     PAGES = {209--238},\n      ISSN = {0949-2984},\n   MRCLASS = {91G20 (60G17 60G40 90C47)},\n  MRNUMBER = {3898405},\n       DOI = {10.1007/s00780-018-0378-2},\n       URL = {https://doi.org/10.1007/s00780-018-0378-2},\n}\n\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2018\n \n \n (7)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Projected particle methods for solving McKean-Vlasov stochastic differential equations.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Numer. Anal., 56(6): 3169–3195. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"ProjectedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3871063,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {Projected particle methods for solving {M}c{K}ean-{V}lasov\n              stochastic differential equations},\n   JOURNAL = {SIAM J. Numer. Anal.},\n  FJOURNAL = {SIAM Journal on Numerical Analysis},\n    VOLUME = {56},\n      YEAR = {2018},\n    NUMBER = {6},\n     PAGES = {3169--3195},\n      ISSN = {0036-1429},\n   MRCLASS = {65C30 (60H10 60K35 65C35)},\n  MRNUMBER = {3871063},\n       DOI = {10.1137/17M1111024},\n       URL = {https://doi.org/10.1137/17M1111024},\n}\n\t\n\n\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Trabs, M.\n\n\n \n \n \n \n \n Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes.\n \n \n \n \n\n\n \n\n\n\n Ann. Inst. Henri Poincaré Probab. Stat., 54(3): 1583–1621. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"Low-rankPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3825892,\n    AUTHOR = {Belomestny, Denis and Trabs, Mathias},\n     TITLE = {Low-rank diffusion matrix estimation for high-dimensional\n              time-changed {L}\\'{e}vy processes},\n   JOURNAL = {Ann. Inst. Henri Poincar\\'{e} Probab. Stat.},\n  FJOURNAL = {Annales de l'Institut Henri Poincar\\'{e} Probabilit\\'{e}s et\n              Statistiques},\n    VOLUME = {54},\n      YEAR = {2018},\n    NUMBER = {3},\n     PAGES = {1583--1621},\n      ISSN = {0246-0203},\n   MRCLASS = {62M05 (60G51 62G05 62M15)},\n  MRNUMBER = {3825892},\n       DOI = {10.1214/17-AIHP849},\n       URL = {https://doi.org/10.1214/17-AIHP849},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Häfner, S.; and Urusov, M.\n\n\n \n \n \n \n \n Regression-based complexity reduction of the nested Monte Carlo methods.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Financial Math., 9(2): 665–689. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"Regression-basedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3807944,\n    AUTHOR = {Belomestny, Denis and H\\"{a}fner, Stefan and Urusov, Mikhail},\n     TITLE = {Regression-based complexity reduction of the nested {M}onte\n              {C}arlo methods},\n   JOURNAL = {SIAM J. Financial Math.},\n  FJOURNAL = {SIAM Journal on Financial Mathematics},\n    VOLUME = {9},\n      YEAR = {2018},\n    NUMBER = {2},\n     PAGES = {665--689},\n      ISSN = {1945-497X},\n   MRCLASS = {91G60 (60H35 62P05 65C05 91G20)},\n  MRNUMBER = {3807944},\n       DOI = {10.1137/17M114577X},\n       URL = {https://doi.org/10.1137/17M114577X},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Panov, V.\n\n\n \n \n \n \n \n Semiparametric estimation in the normal variance-mean mixture model.\n \n \n \n \n\n\n \n\n\n\n Statistics, 52(3): 571–589. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"SemiparametricPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3806565,\n    AUTHOR = {Belomestny, Denis and Panov, Vladimir},\n     TITLE = {Semiparametric estimation in the normal variance-mean mixture\n              model},\n   JOURNAL = {Statistics},\n  FJOURNAL = {Statistics. A Journal of Theoretical and Applied Statistics},\n    VOLUME = {52},\n      YEAR = {2018},\n    NUMBER = {3},\n     PAGES = {571--589},\n      ISSN = {0233-1888},\n   MRCLASS = {62G05 (62F12)},\n  MRNUMBER = {3806565},\n       DOI = {10.1080/02331888.2018.1425865},\n       URL = {https://doi.org/10.1080/02331888.2018.1425865},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n Advanced simulation-based methods for optimal stopping and control.\n \n \n \n\n\n \n\n\n\n Palgrave Macmillan, London, 2018.\n With applications in finance\n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@book {MR3752620,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {Advanced simulation-based methods for optimal stopping and\n              control},\n      NOTE = {With applications in finance},\n PUBLISHER = {Palgrave Macmillan, London},\n      YEAR = {2018},\n     PAGES = {xvi+364},\n      ISBN = {978-1-137-03350-5; 978-1-137-03351-2},\n   MRCLASS = {60G40 (60H35 62J05 62L15 91G70 93E20)},\n  MRNUMBER = {3752620},\nMRREVIEWER = {\\L . Stettner},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Häfner, S.; Nagapetyan, T.; and Urusov, M.\n\n\n \n \n \n \n \n Variance reduction for discretised diffusions via regression.\n \n \n \n \n\n\n \n\n\n\n J. Math. Anal. Appl., 458(1): 393–418. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"VariancePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3711910,\n    AUTHOR = {Belomestny, Denis and H\\"{a}fner, Stefan and Nagapetyan, Tigran\n              and Urusov, Mikhail},\n     TITLE = {Variance reduction for discretised diffusions via regression},\n   JOURNAL = {J. Math. Anal. Appl.},\n  FJOURNAL = {Journal of Mathematical Analysis and Applications},\n    VOLUME = {458},\n      YEAR = {2018},\n    NUMBER = {1},\n     PAGES = {393--418},\n      ISSN = {0022-247X},\n   MRCLASS = {65C30 (60J60 62J02 65C05)},\n  MRNUMBER = {3711910},\n       DOI = {10.1016/j.jmaa.2017.09.002},\n       URL = {https://doi.org/10.1016/j.jmaa.2017.09.002},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Häfner, S.; and Urusov, M.\n\n\n \n \n \n \n \n Stratified regression-based variance reduction approach for weak approximation schemes.\n \n \n \n \n\n\n \n\n\n\n Math. Comput. Simulation, 143: 125–137. 2018.\n \n\n\n\n
\n\n\n\n \n \n \"StratifiedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3698221,\n    AUTHOR = {Belomestny, D. and H\\"{a}fner, S. and Urusov, M.},\n     TITLE = {Stratified regression-based variance reduction approach for\n              weak approximation schemes},\n   JOURNAL = {Math. Comput. Simulation},\n  FJOURNAL = {Mathematics and Computers in Simulation},\n    VOLUME = {143},\n      YEAR = {2018},\n     PAGES = {125--137},\n      ISSN = {0378-4754},\n   MRCLASS = {60H35 (34F05 65C05)},\n  MRNUMBER = {3698221},\nMRREVIEWER = {Annika Lang},\n       DOI = {10.1016/j.matcom.2017.05.003},\n       URL = {https://doi.org/10.1016/j.matcom.2017.05.003},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2017\n \n \n (7)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Häfner, S.; and Urusov, M.\n\n\n \n \n \n \n Regression-based variance reduction approach for strong approximation schemes.\n \n \n \n\n\n \n\n\n\n In Modern problems of stochastic analysis and statistics, volume 208, of Springer Proc. Math. Stat., pages 131–178. Springer, Cham, 2017.\n \n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@incollection {MR3747666,\n    AUTHOR = {Belomestny, Denis and H\\"{a}fner, Stefan and Urusov, Mikhail},\n     TITLE = {Regression-based variance reduction approach for strong\n              approximation schemes},\n BOOKTITLE = {Modern problems of stochastic analysis and statistics},\n    SERIES = {Springer Proc. Math. Stat.},\n    VOLUME = {208},\n     PAGES = {131--178},\n PUBLISHER = {Springer, Cham},\n      YEAR = {2017},\n   MRCLASS = {60H10 (60H35 65C05 94A17)},\n  MRNUMBER = {3747666},\nMRREVIEWER = {Peter E. Kloeden},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Comte, F.; and Genon-Catalot, V.\n\n\n \n \n \n \n \n Correction to: Nonparametric Laguerre estimation in the multiplicative censoring model [ MR3571964].\n \n \n \n \n\n\n \n\n\n\n Electron. J. Stat., 11(2): 4845–4850. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"CorrectionPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3729661,\n    AUTHOR = {Belomestny, Denis and Comte, Fabienne and Genon-Catalot,\n              Valentine},\n     TITLE = {Correction to: {N}onparametric {L}aguerre estimation in the\n              multiplicative censoring model [ {MR}3571964]},\n   JOURNAL = {Electron. J. Stat.},\n  FJOURNAL = {Electronic Journal of Statistics},\n    VOLUME = {11},\n      YEAR = {2017},\n    NUMBER = {2},\n     PAGES = {4845--4850},\n      ISSN = {1935-7524},\n   MRCLASS = {62G07 (62N01)},\n  MRNUMBER = {3729661},\n       DOI = {10.1214/17-EJS1371},\n       URL = {https://doi.org/10.1214/17-EJS1371},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Härdle, W. K.; and Krymova, E.\n\n\n \n \n \n \n \n Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation.\n \n \n \n \n\n\n \n\n\n\n Int. J. Theor. Appl. Finance, 20(6): 1750041, 21. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"SievePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3695462,\n    AUTHOR = {Belomestny, Denis and H\\"{a}rdle, Wolfgang Karl and Krymova,\n              Ekaterina},\n     TITLE = {Sieve estimation of the minimal entropy martingale marginal\n              density with application to pricing kernel estimation},\n   JOURNAL = {Int. J. Theor. Appl. Finance},\n  FJOURNAL = {International Journal of Theoretical and Applied Finance},\n    VOLUME = {20},\n      YEAR = {2017},\n    NUMBER = {6},\n     PAGES = {1750041, 21},\n      ISSN = {0219-0249},\n   MRCLASS = {91G20},\n  MRNUMBER = {3695462},\nMRREVIEWER = {Tak Kuen Siu},\n       DOI = {10.1142/S0219024917500418},\n       URL = {https://doi.org/10.1142/S0219024917500418},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Krätschmer, V.\n\n\n \n \n \n \n \n Optimal stopping under probability distortions.\n \n \n \n \n\n\n \n\n\n\n Math. Oper. Res., 42(3): 806–833. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3685267,\n    AUTHOR = {Belomestny, Denis and Kr\\"{a}tschmer, Volker},\n     TITLE = {Optimal stopping under probability distortions},\n   JOURNAL = {Math. Oper. Res.},\n  FJOURNAL = {Mathematics of Operations Research},\n    VOLUME = {42},\n      YEAR = {2017},\n    NUMBER = {3},\n     PAGES = {806--833},\n      ISSN = {0364-765X},\n   MRCLASS = {60G40 (62P05 91B06)},\n  MRNUMBER = {3685267},\n       DOI = {10.1287/moor.2016.0828},\n       URL = {https://doi.org/10.1287/moor.2016.0828},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Mai, H.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Generalized Post-Widder inversion formula with application to statistics.\n \n \n \n \n\n\n \n\n\n\n J. Math. Anal. Appl., 455(1): 89–104. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"GeneralizedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3665091,\n    AUTHOR = {Belomestny, Denis and Mai, Hilmar and Schoenmakers, John},\n     TITLE = {Generalized {P}ost-{W}idder inversion formula with application\n              to statistics},\n   JOURNAL = {J. Math. Anal. Appl.},\n  FJOURNAL = {Journal of Mathematical Analysis and Applications},\n    VOLUME = {455},\n      YEAR = {2017},\n    NUMBER = {1},\n     PAGES = {89--104},\n      ISSN = {0022-247X},\n   MRCLASS = {44A10 (62G07)},\n  MRNUMBER = {3665091},\nMRREVIEWER = {Jyotindra C. Prajapati},\n       DOI = {10.1016/j.jmaa.2017.05.042},\n       URL = {https://doi.org/10.1016/j.jmaa.2017.05.042},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Krätschmer, V.\n\n\n \n \n \n \n \n Addendum to ``Optimal stopping under model uncertainty: randomized stopping times approach'' [ MR3476637].\n \n \n \n \n\n\n \n\n\n\n Ann. Appl. Probab., 27(2): 1289–1293. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"AddendumPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3655866,\n    AUTHOR = {Belomestny, Denis and Kr\\"{a}tschmer, Volker},\n     TITLE = {Addendum to ``{O}ptimal stopping under model uncertainty:\n              randomized stopping times approach'' [ {MR}3476637]},\n   JOURNAL = {Ann. Appl. Probab.},\n  FJOURNAL = {The Annals of Applied Probability},\n    VOLUME = {27},\n      YEAR = {2017},\n    NUMBER = {2},\n     PAGES = {1289--1293},\n      ISSN = {1050-5164},\n   MRCLASS = {60G40 (91G80)},\n  MRNUMBER = {3655866},\n       DOI = {10.1214/16-AAP1226},\n       URL = {https://doi.org/10.1214/16-AAP1226},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Nagapetyan, T.\n\n\n \n \n \n \n \n Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs.\n \n \n \n \n\n\n \n\n\n\n Bernoulli, 23(2): 927–950. 2017.\n \n\n\n\n
\n\n\n\n \n \n \"MultilevelPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3606755,\n    AUTHOR = {Belomestny, Denis and Nagapetyan, Tigran},\n     TITLE = {Multilevel path simulation for weak approximation schemes with\n              application to {L}\\'{e}vy-driven {SDE}s},\n   JOURNAL = {Bernoulli},\n  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for\n              Mathematical Statistics and Probability},\n    VOLUME = {23},\n      YEAR = {2017},\n    NUMBER = {2},\n     PAGES = {927--950},\n      ISSN = {1350-7265},\n   MRCLASS = {60H35 (60G51 60H10 60J75)},\n  MRNUMBER = {3606755},\n       DOI = {10.3150/15-BEJ764},\n       URL = {https://doi.org/10.3150/15-BEJ764},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2016\n \n \n (4)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Comte, F.; and Genon-Catalot, V.\n\n\n \n \n \n \n \n Nonparametric Laguerre estimation in the multiplicative censoring model.\n \n \n \n \n\n\n \n\n\n\n Electron. J. Stat., 10(2): 3114–3152. 2016.\n \n\n\n\n
\n\n\n\n \n \n \"NonparametricPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3571964,\n    AUTHOR = {Belomestny, Denis and Comte, Fabienne and Genon-Catalot,\n              Valentine},\n     TITLE = {Nonparametric {L}aguerre estimation in the multiplicative\n              censoring model},\n   JOURNAL = {Electron. J. Stat.},\n  FJOURNAL = {Electronic Journal of Statistics},\n    VOLUME = {10},\n      YEAR = {2016},\n    NUMBER = {2},\n     PAGES = {3114--3152},\n      ISSN = {1935-7524},\n   MRCLASS = {62G07 (62N01)},\n  MRNUMBER = {3571964},\n       DOI = {10.1214/16-EJS1203},\n       URL = {https://doi.org/10.1214/16-EJS1203},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Chen, N.; and Wang, Y.\n\n\n \n \n \n \n \n Unbiased simulation of distributions with explicitly known integral transforms.\n \n \n \n \n\n\n \n\n\n\n In Monte Carlo and quasi-Monte Carlo methods, volume 163, of Springer Proc. Math. Stat., pages 229–244. Springer, [Cham], 2016.\n \n\n\n\n
\n\n\n\n \n \n \"UnbiasedPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@incollection {MR3536661,\n    AUTHOR = {Belomestny, Denis and Chen, Nan and Wang, Yiwei},\n     TITLE = {Unbiased simulation of distributions with explicitly known\n              integral transforms},\n BOOKTITLE = {Monte {C}arlo and quasi-{M}onte {C}arlo methods},\n    SERIES = {Springer Proc. Math. Stat.},\n    VOLUME = {163},\n     PAGES = {229--244},\n PUBLISHER = {Springer, [Cham]},\n      YEAR = {2016},\n   MRCLASS = {60E10 (60E07 60G51 65C05 65C50)},\n  MRNUMBER = {3536661},\n       DOI = {10.1007/978-3-319-33507-0_9},\n       URL = {https://doi.org/10.1007/978-3-319-33507-0_9},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Statistical inference for time-changed Lévy processes via Mellin transform approach.\n \n \n \n \n\n\n \n\n\n\n Stochastic Process. Appl., 126(7): 2092–2122. 2016.\n \n\n\n\n
\n\n\n\n \n \n \"StatisticalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3483748,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {Statistical inference for time-changed {L}\\'{e}vy processes via\n              {M}ellin transform approach},\n   JOURNAL = {Stochastic Process. Appl.},\n  FJOURNAL = {Stochastic Processes and their Applications},\n    VOLUME = {126},\n      YEAR = {2016},\n    NUMBER = {7},\n     PAGES = {2092--2122},\n      ISSN = {0304-4149},\n   MRCLASS = {60G51 (62G07)},\n  MRNUMBER = {3483748},\n       DOI = {10.1016/j.spa.2016.01.005},\n       URL = {https://doi.org/10.1016/j.spa.2016.01.005},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Krätschmer, V.\n\n\n \n \n \n \n \n Optimal stopping under model uncertainty: randomized stopping times approach.\n \n \n \n \n\n\n \n\n\n\n Ann. Appl. Probab., 26(2): 1260–1295. 2016.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 2 downloads\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3476637,\n    AUTHOR = {Belomestny, Denis and Kr\\"{a}tschmer, Volker},\n     TITLE = {Optimal stopping under model uncertainty: randomized stopping\n              times approach},\n   JOURNAL = {Ann. Appl. Probab.},\n  FJOURNAL = {The Annals of Applied Probability},\n    VOLUME = {26},\n      YEAR = {2016},\n    NUMBER = {2},\n     PAGES = {1260--1295},\n      ISSN = {1050-5164},\n   MRCLASS = {60G40 (91G80)},\n  MRNUMBER = {3476637},\n       DOI = {10.1214/15-AAP1116},\n       URL = {https://doi.org/10.1214/15-AAP1116},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2015\n \n \n (8)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D. V.; and Prokhorov, A. V.\n\n\n \n \n \n \n \n Stability of characterization of the independence of random variables by the independence of linear statistics.\n \n \n \n \n\n\n \n\n\n\n Theory Probab. Appl., 59(4): 672–677. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"StabilityPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3431701,\n    AUTHOR = {Belomestny, D. V. and Prokhorov, A. V.},\n     TITLE = {Stability of characterization of the independence of random\n              variables by the independence of linear statistics},\n   JOURNAL = {Theory Probab. Appl.},\n  FJOURNAL = {Theory of Probability and its Applications},\n    VOLUME = {59},\n      YEAR = {2015},\n    NUMBER = {4},\n     PAGES = {672--677},\n      ISSN = {0040-585X},\n   MRCLASS = {60E05 (62H20)},\n  MRNUMBER = {3431701},\n       DOI = {10.1137/S0040585X97T987363},\n       URL = {https://doi.org/10.1137/S0040585X97T987363},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Panov, V.\n\n\n \n \n \n \n \n Statistical inference for generalized Ornstein-Uhlenbeck processes.\n \n \n \n \n\n\n \n\n\n\n Electron. J. Stat., 9(2): 1974–2006. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"StatisticalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3393601,\n    AUTHOR = {Belomestny, Denis and Panov, Vladimir},\n     TITLE = {Statistical inference for generalized {O}rnstein-{U}hlenbeck\n              processes},\n   JOURNAL = {Electron. J. Stat.},\n  FJOURNAL = {Electronic Journal of Statistics},\n    VOLUME = {9},\n      YEAR = {2015},\n    NUMBER = {2},\n     PAGES = {1974--2006},\n      ISSN = {1935-7524},\n   MRCLASS = {62M09 (60G51 62F10 62G05 62G20)},\n  MRNUMBER = {3393601},\nMRREVIEWER = {Jing Zheng},\n       DOI = {10.1214/15-EJS1063},\n       URL = {https://doi.org/10.1214/15-EJS1063},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Joshi, M.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Addendum to: Multilevel dual approach for pricing American style derivatives [ MR3105931].\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 19(3): 681–684. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"AddendumPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3369443,\n    AUTHOR = {Belomestny, Denis and Joshi, Mark and Schoenmakers, John},\n     TITLE = {Addendum to: {M}ultilevel dual approach for pricing {A}merican\n              style derivatives [ {MR}3105931]},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {19},\n      YEAR = {2015},\n    NUMBER = {3},\n     PAGES = {681--684},\n      ISSN = {0949-2984},\n   MRCLASS = {91G60 (60G40 65C05)},\n  MRNUMBER = {3369443},\n       DOI = {10.1007/s00780-015-0267-x},\n       URL = {https://doi.org/10.1007/s00780-015-0267-x},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Reiß , M.\n\n\n \n \n \n \n \n Estimation and calibration of Lévy models via Fourier methods.\n \n \n \n \n\n\n \n\n\n\n In Lévy matters. IV, volume 2128, of Lecture Notes in Math., pages 1–76. Springer, Cham, 2015.\n \n\n\n\n
\n\n\n\n \n \n \"EstimationPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@incollection {MR3364256,\n    AUTHOR = {Belomestny, Denis and Rei\\ss , Markus},\n     TITLE = {Estimation and calibration of {L}\\'{e}vy models via {F}ourier\n              methods},\n BOOKTITLE = {L\\'{e}vy matters. {IV}},\n    SERIES = {Lecture Notes in Math.},\n    VOLUME = {2128},\n     PAGES = {1--76},\n PUBLISHER = {Springer, Cham},\n      YEAR = {2015},\n   MRCLASS = {60G10 (60G51 62G05 62G20 62M15 91B84)},\n  MRNUMBER = {3364256},\nMRREVIEWER = {Alireza Nematollahi},\n       DOI = {10.1007/978-3-319-12373-8_1},\n       URL = {https://doi.org/10.1007/978-3-319-12373-8_1},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Comte, F.; Genon-Catalot, V.; Masuda, H.; and Reiß , M.\n\n\n \n \n \n \n Lévy matters. IV.\n \n \n \n\n\n \n\n\n\n Volume 2128 of Lecture Notes in MathematicsSpringer, Cham, 2015.\n Estimation for discretely observed Lévy processes, Lévy Matters\n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@book {MR3364253,\n    AUTHOR = {Belomestny, Denis and Comte, Fabienne and Genon-Catalot,\n              Valentine and Masuda, Hiroki and Rei\\ss , Markus},\n     TITLE = {L\\'{e}vy matters. {IV}},\n    SERIES = {Lecture Notes in Mathematics},\n    VOLUME = {2128},\n      NOTE = {Estimation for discretely observed L\\'{e}vy processes,\n              L\\'{e}vy Matters},\n PUBLISHER = {Springer, Cham},\n      YEAR = {2015},\n     PAGES = {xvi+286},\n      ISBN = {978-3-319-12372-1; 978-3-319-12373-8},\n   MRCLASS = {60G51 (60Gxx 62E17 62F10 62M05 91B84 91G70)},\n  MRNUMBER = {3364253},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Statistical Skorohod embedding problem: optimality and asymptotic normality.\n \n \n \n \n\n\n \n\n\n\n Statist. Probab. Lett., 104: 169–180. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"StatisticalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3360720,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {Statistical {S}korohod embedding problem: optimality and\n              asymptotic normality},\n   JOURNAL = {Statist. Probab. Lett.},\n  FJOURNAL = {Statistics \\& Probability Letters},\n    VOLUME = {104},\n      YEAR = {2015},\n     PAGES = {169--180},\n      ISSN = {0167-7152},\n   MRCLASS = {62G07 (62G20 62M05)},\n  MRNUMBER = {3360720},\nMRREVIEWER = {Hiroshi Shiraishi},\n       DOI = {10.1016/j.spl.2015.05.015},\n       URL = {https://doi.org/10.1016/j.spl.2015.05.015},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Dickmann, F.; and Nagapetyan, T.\n\n\n \n \n \n \n \n Pricing Bermudan options via multilevel approximation methods.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Financial Math., 6(1): 448–466. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"PricingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3359675,\n    AUTHOR = {Belomestny, Denis and Dickmann, Fabian and Nagapetyan, Tigran},\n     TITLE = {Pricing {B}ermudan options via multilevel approximation\n              methods},\n   JOURNAL = {SIAM J. Financial Math.},\n  FJOURNAL = {SIAM Journal on Financial Mathematics},\n    VOLUME = {6},\n      YEAR = {2015},\n    NUMBER = {1},\n     PAGES = {448--466},\n      ISSN = {1945-497X},\n   MRCLASS = {91G60 (60H35 65C05 65C20)},\n  MRNUMBER = {3359675},\nMRREVIEWER = {George Stoica},\n       DOI = {10.1137/130912426},\n       URL = {https://doi.org/10.1137/130912426},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Ladkau, M.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Multilevel simulation based policy iteration for optimal stopping—convergence and complexity.\n \n \n \n \n\n\n \n\n\n\n SIAM/ASA J. Uncertain. Quantif., 3(1): 460–483. 2015.\n \n\n\n\n
\n\n\n\n \n \n \"MultilevelPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3357645,\n    AUTHOR = {Belomestny, Denis and Ladkau, Marcel and Schoenmakers, John},\n     TITLE = {Multilevel simulation based policy iteration for optimal\n              stopping---convergence and complexity},\n   JOURNAL = {SIAM/ASA J. Uncertain. Quantif.},\n  FJOURNAL = {SIAM/ASA Journal on Uncertainty Quantification},\n    VOLUME = {3},\n      YEAR = {2015},\n    NUMBER = {1},\n     PAGES = {460--483},\n      ISSN = {2166-2525},\n   MRCLASS = {65C30 (60H35 65C05 65C20)},\n  MRNUMBER = {3357645},\nMRREVIEWER = {Alexandre Popier},\n       DOI = {10.1137/140958463},\n       URL = {https://doi.org/10.1137/140958463},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2014\n \n \n (2)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Bender, C.; Dickmann, F.; and Schweizer, N.\n\n\n \n \n \n \n \n Solving stochastic dynamic programs by convex optimization and simulation.\n \n \n \n \n\n\n \n\n\n\n In Extraction of quantifiable information from complex systems, volume 102, of Lect. Notes Comput. Sci. Eng., pages 1–23. Springer, Cham, 2014.\n \n\n\n\n
\n\n\n\n \n \n \"SolvingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@incollection {MR3329329,\n    AUTHOR = {Belomestny, Denis and Bender, Christian and Dickmann, Fabian\n              and Schweizer, Nikolaus},\n     TITLE = {Solving stochastic dynamic programs by convex optimization and\n              simulation},\n BOOKTITLE = {Extraction of quantifiable information from complex systems},\n    SERIES = {Lect. Notes Comput. Sci. Eng.},\n    VOLUME = {102},\n     PAGES = {1--23},\n PUBLISHER = {Springer, Cham},\n      YEAR = {2014},\n   MRCLASS = {65C05 (60H35)},\n  MRNUMBER = {3329329},\n       DOI = {10.1007/978-3-319-08159-5_1},\n       URL = {https://doi.org/10.1007/978-3-319-08159-5_1},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Spokoiny, V.\n\n\n \n \n \n \n \n Concentration inequalities for smooth random fields.\n \n \n \n \n\n\n \n\n\n\n Theory Probab. Appl., 58(2): 314–323. 2014.\n \n\n\n\n
\n\n\n\n \n \n \"ConcentrationPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3300560,\n    AUTHOR = {Belomestny, D. and Spokoiny, V.},\n     TITLE = {Concentration inequalities for smooth random fields},\n   JOURNAL = {Theory Probab. Appl.},\n  FJOURNAL = {Theory of Probability and its Applications},\n    VOLUME = {58},\n      YEAR = {2014},\n    NUMBER = {2},\n     PAGES = {314--323},\n      ISSN = {0040-585X},\n   MRCLASS = {60G60 (60B20 60E15)},\n  MRNUMBER = {3300560},\nMRREVIEWER = {Mohamed El Machkouri},\n       DOI = {10.1137/S0040585X9798659X},\n       URL = {https://doi.org/10.1137/S0040585X9798659X},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2013\n \n \n (4)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Panov, V.\n\n\n \n \n \n \n \n Estimation of the activity of jumps in time-changed Lévy models.\n \n \n \n \n\n\n \n\n\n\n Electron. J. Stat., 7: 2970–3003. 2013.\n \n\n\n\n
\n\n\n\n \n \n \"EstimationPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3151759,\n    AUTHOR = {Belomestny, Denis and Panov, Vladimir},\n     TITLE = {Estimation of the activity of jumps in time-changed {L}\\'{e}vy\n              models},\n   JOURNAL = {Electron. J. Stat.},\n  FJOURNAL = {Electronic Journal of Statistics},\n    VOLUME = {7},\n      YEAR = {2013},\n     PAGES = {2970--3003},\n      ISSN = {1935-7524},\n   MRCLASS = {62M09 (60G51 62C20 62F12)},\n  MRNUMBER = {3151759},\nMRREVIEWER = {Ross S. McVinish},\n       DOI = {10.1214/13-EJS870},\n       URL = {https://doi.org/10.1214/13-EJS870},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Solving optimal stopping problems via empirical dual optimization.\n \n \n \n \n\n\n \n\n\n\n Ann. Appl. Probab., 23(5): 1988–2019. 2013.\n \n\n\n\n
\n\n\n\n \n \n \"SolvingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3134728,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Solving optimal stopping problems via empirical dual\n              optimization},\n   JOURNAL = {Ann. Appl. Probab.},\n  FJOURNAL = {The Annals of Applied Probability},\n    VOLUME = {23},\n      YEAR = {2013},\n    NUMBER = {5},\n     PAGES = {1988--2019},\n      ISSN = {1050-5164},\n   MRCLASS = {60G40 (60G44 60H30 91G20)},\n  MRNUMBER = {3134728},\nMRREVIEWER = {Hongzhong Zhang},\n       DOI = {10.1214/12-AAP892},\n       URL = {https://doi.org/10.1214/12-AAP892},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Schoenmakers, J.; and Dickmann, F.\n\n\n \n \n \n \n \n Multilevel dual approach for pricing American style derivatives.\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 17(4): 717–742. 2013.\n \n\n\n\n
\n\n\n\n \n \n \"MultilevelPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR3105931,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John and Dickmann, Fabian},\n     TITLE = {Multilevel dual approach for pricing {A}merican style\n              derivatives},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {17},\n      YEAR = {2013},\n    NUMBER = {4},\n     PAGES = {717--742},\n      ISSN = {0949-2984},\n   MRCLASS = {91G60 (60G40 60G42 65C05 91G20)},\n  MRNUMBER = {3105931},\nMRREVIEWER = {George Stoica},\n       DOI = {10.1007/s00780-013-0208-5},\n       URL = {https://doi.org/10.1007/s00780-013-0208-5},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Panov, V.\n\n\n \n \n \n \n \n Abelian theorems for stochastic volatility models with application to the estimation of jump activity.\n \n \n \n \n\n\n \n\n\n\n Stochastic Process. Appl., 123(1): 15–44. 2013.\n \n\n\n\n
\n\n\n\n \n \n \"AbelianPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2988108,\n    AUTHOR = {Belomestny, Denis and Panov, Vladimir},\n     TITLE = {Abelian theorems for stochastic volatility models with\n              application to the estimation of jump activity},\n   JOURNAL = {Stochastic Process. Appl.},\n  FJOURNAL = {Stochastic Processes and their Applications},\n    VOLUME = {123},\n      YEAR = {2013},\n    NUMBER = {1},\n     PAGES = {15--44},\n      ISSN = {0304-4149},\n   MRCLASS = {60J75 (60G51 62F12 62G05 62M05 62P05)},\n  MRNUMBER = {2988108},\nMRREVIEWER = {Thorsten Schmidt},\n       DOI = {10.1016/j.spa.2012.08.015},\n       URL = {https://doi.org/10.1016/j.spa.2012.08.015},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2012\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Krätschmer, V.\n\n\n \n \n \n \n \n Central limit theorems for law-invariant coherent risk measures.\n \n \n \n \n\n\n \n\n\n\n J. Appl. Probab., 49(1): 1–21. 2012.\n \n\n\n\n
\n\n\n\n \n \n \"CentralPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2952879,\n    AUTHOR = {Belomestny, Denis and Kr\\"{a}tschmer, Volker},\n     TITLE = {Central limit theorems for law-invariant coherent risk\n              measures},\n   JOURNAL = {J. Appl. Probab.},\n  FJOURNAL = {Journal of Applied Probability},\n    VOLUME = {49},\n      YEAR = {2012},\n    NUMBER = {1},\n     PAGES = {1--21},\n      ISSN = {0021-9002},\n   MRCLASS = {60F05 (60F17 62F12 91B30)},\n  MRNUMBER = {2952879},\n       DOI = {10.1239/jap/1331216831},\n       URL = {https://doi.org/10.1239/jap/1331216831},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2011\n \n \n (5)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Statistical inference for time-changed Lévy processes via composite characteristic function estimation.\n \n \n \n \n\n\n \n\n\n\n Ann. Statist., 39(4): 2205–2242. 2011.\n \n\n\n\n
\n\n\n\n \n \n \"StatisticalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2893866,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Statistical inference for time-changed {L}\\'{e}vy processes via\n              composite characteristic function estimation},\n   JOURNAL = {Ann. Statist.},\n  FJOURNAL = {The Annals of Statistics},\n    VOLUME = {39},\n      YEAR = {2011},\n    NUMBER = {4},\n     PAGES = {2205--2242},\n      ISSN = {0090-5364},\n   MRCLASS = {62G05 (60G51 62F12)},\n  MRNUMBER = {2893866},\nMRREVIEWER = {Stergios B. Fotopoulos},\n       DOI = {10.1214/11-AOS901},\n       URL = {https://doi.org/10.1214/11-AOS901},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates.\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 15(4): 655–683. 2011.\n \n\n\n\n
\n\n\n\n \n \n \"PricingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2863638,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Pricing {B}ermudan options by nonparametric regression:\n              optimal rates of convergence for lower estimates},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {15},\n      YEAR = {2011},\n    NUMBER = {4},\n     PAGES = {655--683},\n      ISSN = {0949-2984},\n   MRCLASS = {91B25 (60G40 62G08 65C05 91G20 91G60)},\n  MRNUMBER = {2863638},\nMRREVIEWER = {Paolo Pellizzari},\n       DOI = {10.1007/s00780-010-0132-x},\n       URL = {https://doi.org/10.1007/s00780-010-0132-x},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Spectral estimation of the Lévy density in partially observed affine models.\n \n \n \n \n\n\n \n\n\n\n Stochastic Process. Appl., 121(6): 1217–1244. 2011.\n \n\n\n\n
\n\n\n\n \n \n \"SpectralPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2794974,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Spectral estimation of the {L}\\'{e}vy density in partially\n              observed affine models},\n   JOURNAL = {Stochastic Process. Appl.},\n  FJOURNAL = {Stochastic Processes and their Applications},\n    VOLUME = {121},\n      YEAR = {2011},\n    NUMBER = {6},\n     PAGES = {1217--1244},\n      ISSN = {0304-4149},\n   MRCLASS = {62G05 (60G51 60J25 62G07 62G20 62M05)},\n  MRNUMBER = {2794974},\nMRREVIEWER = {Ross S. McVinish},\n       DOI = {10.1016/j.spa.2011.02.001},\n       URL = {https://doi.org/10.1016/j.spa.2011.02.001},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Schoenmakers, J.\n\n\n \n \n \n \n \n A jump-diffusion Libor model and its robust calibration.\n \n \n \n \n\n\n \n\n\n\n Quant. Finance, 11(4): 529–546. 2011.\n \n\n\n\n
\n\n\n\n \n \n \"APaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2784473,\n    AUTHOR = {Belomestny, Denis and Schoenmakers, John},\n     TITLE = {A jump-diffusion {L}ibor model and its robust calibration},\n   JOURNAL = {Quant. Finance},\n  FJOURNAL = {Quantitative Finance},\n    VOLUME = {11},\n      YEAR = {2011},\n    NUMBER = {4},\n     PAGES = {529--546},\n      ISSN = {1469-7688},\n   MRCLASS = {91B70 (91G20 91G60)},\n  MRNUMBER = {2784473},\nMRREVIEWER = {Edward J. Allen},\n       DOI = {10.1080/14697680903295176},\n       URL = {https://doi.org/10.1080/14697680903295176},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems.\n \n \n \n \n\n\n \n\n\n\n Ann. Appl. Probab., 21(1): 215–239. 2011.\n \n\n\n\n
\n\n\n\n \n \n \"OnPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2759200,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {On the rates of convergence of simulation-based optimization\n              algorithms for optimal stopping problems},\n   JOURNAL = {Ann. Appl. Probab.},\n  FJOURNAL = {The Annals of Applied Probability},\n    VOLUME = {21},\n      YEAR = {2011},\n    NUMBER = {1},\n     PAGES = {215--239},\n      ISSN = {1050-5164},\n   MRCLASS = {60G40 (60F10 60J05 91G60)},\n  MRNUMBER = {2759200},\n       DOI = {10.1214/10-AAP692},\n       URL = {https://doi.org/10.1214/10-AAP692},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2010\n \n \n (4)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Gapeev, P. V.\n\n\n \n \n \n \n \n An iterative procedure for solving integral equations related to optimal stopping problems.\n \n \n \n \n\n\n \n\n\n\n Stochastics, 82(4): 365–380. 2010.\n \n\n\n\n
\n\n\n\n \n \n \"AnPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2739603,\n    AUTHOR = {Belomestny, Denis and Gapeev, Pavel V.},\n     TITLE = {An iterative procedure for solving integral equations related\n              to optimal stopping problems},\n   JOURNAL = {Stochastics},\n  FJOURNAL = {Stochastics. An International Journal of Probability and\n              Stochastic Processes},\n    VOLUME = {82},\n      YEAR = {2010},\n    NUMBER = {4},\n     PAGES = {365--380},\n      ISSN = {1744-2508},\n   MRCLASS = {65R20 (60G40 60J60 91G20)},\n  MRNUMBER = {2739603},\n       DOI = {10.1080/17442500903371002},\n       URL = {https://doi.org/10.1080/17442500903371002},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Milstein, G. N.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Sensitivities for Bermudan options by regression methods.\n \n \n \n \n\n\n \n\n\n\n Decis. Econ. Finance, 33(2): 117–138. 2010.\n \n\n\n\n
\n\n\n\n \n \n \"SensitivitiesPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2727447,\n    AUTHOR = {Belomestny, Denis and Milstein, G. N. and Schoenmakers, John},\n     TITLE = {Sensitivities for {B}ermudan options by regression methods},\n   JOURNAL = {Decis. Econ. Finance},\n  FJOURNAL = {Decisions in Economics and Finance. A Journal of Applied\n              Mathematics},\n    VOLUME = {33},\n      YEAR = {2010},\n    NUMBER = {2},\n     PAGES = {117--138},\n      ISSN = {1593-8883},\n   MRCLASS = {91G60 (91G20)},\n  MRNUMBER = {2727447},\n       DOI = {10.1007/s10203-009-0101-z},\n       URL = {https://doi.org/10.1007/s10203-009-0101-z},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Kolodko, A.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Pricing CMS spread options in a Libor market model.\n \n \n \n \n\n\n \n\n\n\n Int. J. Theor. Appl. Finance, 13(1): 45–62. 2010.\n \n\n\n\n
\n\n\n\n \n \n \"PricingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2646973,\n    AUTHOR = {Belomestny, Denis and Kolodko, Anastasia and Schoenmakers,\n              John},\n     TITLE = {Pricing {CMS} spread options in a {L}ibor market model},\n   JOURNAL = {Int. J. Theor. Appl. Finance},\n  FJOURNAL = {International Journal of Theoretical and Applied Finance},\n    VOLUME = {13},\n      YEAR = {2010},\n    NUMBER = {1},\n     PAGES = {45--62},\n      ISSN = {0219-0249},\n   MRCLASS = {91G20},\n  MRNUMBER = {2646973},\n       DOI = {10.1142/S021902491000567X},\n       URL = {https://doi.org/10.1142/S021902491000567X},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Spectral estimation of the fractional order of a Lévy process.\n \n \n \n \n\n\n \n\n\n\n Ann. Statist., 38(1): 317–351. 2010.\n \n\n\n\n
\n\n\n\n \n \n \"SpectralPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2589324,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Spectral estimation of the fractional order of a {L}\\'{e}vy\n              process},\n   JOURNAL = {Ann. Statist.},\n  FJOURNAL = {The Annals of Statistics},\n    VOLUME = {38},\n      YEAR = {2010},\n    NUMBER = {1},\n     PAGES = {317--351},\n      ISSN = {0090-5364},\n   MRCLASS = {62F10 (60G51 62F25 62H12 62J12)},\n  MRNUMBER = {2589324},\nMRREVIEWER = {Sreenivasan Ravi},\n       DOI = {10.1214/09-AOS715},\n       URL = {https://doi.org/10.1214/09-AOS715},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2009\n \n \n (5)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D. V.; Rüschendorf, L.; and Urusov, M. A.\n\n\n \n \n \n \n \n Optimal stopping of integral functionals and a ``no-loss'' free boundary formulation.\n \n \n \n \n\n\n \n\n\n\n Teor. Veroyatn. Primen., 54(1): 80–96. 2009.\n \n\n\n\n
\n\n\n\n \n \n \"OptimalPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2766648,\n    AUTHOR = {Belomestny, D. V. and R\\"{u}schendorf, L. and Urusov, M. A.},\n     TITLE = {Optimal stopping of integral functionals and a ``no-loss''\n              free boundary formulation},\n   JOURNAL = {Teor. Veroyatn. Primen.},\n  FJOURNAL = {Rossi\\u{\\i}skaya Akademiya Nauk. Teoriya Veroyatnoste\\u{\\i} i ee\n              Primeneniya},\n    VOLUME = {54},\n      YEAR = {2009},\n    NUMBER = {1},\n     PAGES = {80--96},\n      ISSN = {0040-361X},\n   MRCLASS = {60G40 (34F05 60J60 93E20)},\n  MRNUMBER = {2766648},\nMRREVIEWER = {\\L . Stettner},\n       DOI = {10.1137/S0040585X97983961},\n       URL = {https://doi.org/10.1137/S0040585X97983961},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Mathew, S.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Multiple stochastic volatility extension of the Libor market model and its implementation.\n \n \n \n \n\n\n \n\n\n\n Monte Carlo Methods Appl., 15(4): 285–310. 2009.\n \n\n\n\n
\n\n\n\n \n \n \"MultiplePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2603467,\n    AUTHOR = {Belomestny, Denis and Mathew, Stanley and Schoenmakers, John},\n     TITLE = {Multiple stochastic volatility extension of the {L}ibor market\n              model and its implementation},\n   JOURNAL = {Monte Carlo Methods Appl.},\n  FJOURNAL = {Monte Carlo Methods and Applications},\n    VOLUME = {15},\n      YEAR = {2009},\n    NUMBER = {4},\n     PAGES = {285--310},\n      ISSN = {0929-9629},\n   MRCLASS = {91G60 (60H30 91B70)},\n  MRNUMBER = {2603467},\n       DOI = {10.1515/MCMA.2009.016},\n       URL = {https://doi.org/10.1515/MCMA.2009.016},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Kampen, J.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Holomorphic transforms with application to affine processes.\n \n \n \n \n\n\n \n\n\n\n J. Funct. Anal., 257(4): 1222–1250. 2009.\n \n\n\n\n
\n\n\n\n \n \n \"HolomorphicPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2535468,\n    AUTHOR = {Belomestny, Denis and Kampen, J\\"{o}rg and Schoenmakers, John},\n     TITLE = {Holomorphic transforms with application to affine processes},\n   JOURNAL = {J. Funct. Anal.},\n  FJOURNAL = {Journal of Functional Analysis},\n    VOLUME = {257},\n      YEAR = {2009},\n    NUMBER = {4},\n     PAGES = {1222--1250},\n      ISSN = {0022-1236},\n   MRCLASS = {60G51 (47D07 60J75)},\n  MRNUMBER = {2535468},\nMRREVIEWER = {Nizar Demni},\n       DOI = {10.1016/j.jfa.2009.03.013},\n       URL = {https://doi.org/10.1016/j.jfa.2009.03.013},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Milstein, G.; and Spokoiny, V.\n\n\n \n \n \n \n \n Regression methods in pricing American and Bermudan options using consumption processes.\n \n \n \n \n\n\n \n\n\n\n Quant. Finance, 9(3): 315–327. 2009.\n \n\n\n\n
\n\n\n\n \n \n \"RegressionPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2510185,\n    AUTHOR = {Belomestny, Denis and Milstein, Grigori and Spokoiny,\n              Vladimir},\n     TITLE = {Regression methods in pricing {A}merican and {B}ermudan\n              options using consumption processes},\n   JOURNAL = {Quant. Finance},\n  FJOURNAL = {Quantitative Finance},\n    VOLUME = {9},\n      YEAR = {2009},\n    NUMBER = {3},\n     PAGES = {315--327},\n      ISSN = {1469-7688},\n   MRCLASS = {91G70 (62G08 62P05 65C05 91G20)},\n  MRNUMBER = {2510185},\n       DOI = {10.1080/14697680802165736},\n       URL = {https://doi.org/10.1080/14697680802165736},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; Bender, C.; and Schoenmakers, J.\n\n\n \n \n \n \n \n True upper bounds for Bermudan products via non-nested Monte Carlo.\n \n \n \n \n\n\n \n\n\n\n Math. Finance, 19(1): 53–71. 2009.\n \n\n\n\n
\n\n\n\n \n \n \"TruePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2488402,\n    AUTHOR = {Belomestny, Denis and Bender, Christian and Schoenmakers,\n              John},\n     TITLE = {True upper bounds for {B}ermudan products via non-nested\n              {M}onte {C}arlo},\n   JOURNAL = {Math. Finance},\n  FJOURNAL = {Mathematical Finance. An International Journal of Mathematics,\n              Statistics and Financial Economics},\n    VOLUME = {19},\n      YEAR = {2009},\n    NUMBER = {1},\n     PAGES = {53--71},\n      ISSN = {0960-1627},\n   MRCLASS = {91B28 (65C05)},\n  MRNUMBER = {2488402},\nMRREVIEWER = {Gunther Leobacher},\n       DOI = {10.1111/j.1467-9965.2008.00357.x},\n       URL = {https://doi.org/10.1111/j.1467-9965.2008.00357.x},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2007\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Spokoiny, V.\n\n\n \n \n \n \n \n Spatial aggregation of local likelihood estimates with applications to classification.\n \n \n \n \n\n\n \n\n\n\n Ann. Statist., 35(5): 2287–2311. 2007.\n \n\n\n\n
\n\n\n\n \n \n \"SpatialPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2363972,\n    AUTHOR = {Belomestny, Denis and Spokoiny, Vladimir},\n     TITLE = {Spatial aggregation of local likelihood estimates with\n              applications to classification},\n   JOURNAL = {Ann. Statist.},\n  FJOURNAL = {The Annals of Statistics},\n    VOLUME = {35},\n      YEAR = {2007},\n    NUMBER = {5},\n     PAGES = {2287--2311},\n      ISSN = {0090-5364},\n   MRCLASS = {62G05 (62G07 62G08 62G32 62H30)},\n  MRNUMBER = {2363972},\nMRREVIEWER = {Songqiao Wen},\n       DOI = {10.1214/009053607000000271},\n       URL = {https://doi.org/10.1214/009053607000000271},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2006\n \n \n (2)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; and Reiß , M.\n\n\n \n \n \n \n \n Spectral calibration of exponential Lévy models.\n \n \n \n \n\n\n \n\n\n\n Finance Stoch., 10(4): 449–474. 2006.\n \n\n\n\n
\n\n\n\n \n \n \"SpectralPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2276314,\n    AUTHOR = {Belomestny, Denis and Rei\\ss , Markus},\n     TITLE = {Spectral calibration of exponential {L}\\'{e}vy models},\n   JOURNAL = {Finance Stoch.},\n  FJOURNAL = {Finance and Stochastics},\n    VOLUME = {10},\n      YEAR = {2006},\n    NUMBER = {4},\n     PAGES = {449--474},\n      ISSN = {0949-2984},\n   MRCLASS = {62P05 (60G51 62G20 91B28)},\n  MRNUMBER = {2276314},\nMRREVIEWER = {M. P. Moklyachuk},\n       DOI = {10.1007/s00780-006-0021-5},\n       URL = {https://doi.org/10.1007/s00780-006-0021-5},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.; and Milstein, G. N.\n\n\n \n \n \n \n \n Monte Carlo evaluation of American options using consumption processes.\n \n \n \n \n\n\n \n\n\n\n Int. J. Theor. Appl. Finance, 9(4): 455–481. 2006.\n \n\n\n\n
\n\n\n\n \n \n \"MontePaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2239817,\n    AUTHOR = {Belomestny, Denis and Milstein, Grigori N.},\n     TITLE = {Monte {C}arlo evaluation of {A}merican options using\n              consumption processes},\n   JOURNAL = {Int. J. Theor. Appl. Finance},\n  FJOURNAL = {International Journal of Theoretical and Applied Finance},\n    VOLUME = {9},\n      YEAR = {2006},\n    NUMBER = {4},\n     PAGES = {455--481},\n      ISSN = {0219-0249},\n   MRCLASS = {91B28 (65C05)},\n  MRNUMBER = {2239817},\nMRREVIEWER = {Lucia Caramellino},\n       DOI = {10.1142/S0219024906003652},\n       URL = {https://doi.org/10.1142/S0219024906003652},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2004\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestnyĭ, D. V.\n\n\n \n \n \n \n \n Reconstruction of a general distribution from the distribution of some statistics.\n \n \n \n \n\n\n \n\n\n\n Teor. Veroyatn. Primen., 49(1): 3–20. 2004.\n \n\n\n\n
\n\n\n\n \n \n \"ReconstructionPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2141327,\n    AUTHOR = {Belomestny\\u{\\i}, D. V.},\n     TITLE = {Reconstruction of a general distribution from the distribution\n              of some statistics},\n   JOURNAL = {Teor. Veroyatn. Primen.},\n  FJOURNAL = {Rossi\\u{\\i}skaya Akademiya Nauk. Teoriya Veroyatnoste\\u{\\i} i ee\n              Primeneniya},\n    VOLUME = {49},\n      YEAR = {2004},\n    NUMBER = {1},\n     PAGES = {3--20},\n      ISSN = {0040-361X},\n   MRCLASS = {62E10 (60E10)},\n  MRNUMBER = {2141327},\nMRREVIEWER = {M. Riedel},\n       DOI = {10.1137/S0040585X9798083X},\n       URL = {https://doi.org/10.1137/S0040585X9798083X},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2003\n \n \n (3)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Jentsch, V.; and Schreckenberg, M.\n\n\n \n \n \n \n \n Completion and continuation of nonlinear traffic time series: a probabilistic approach.\n \n \n \n \n\n\n \n\n\n\n J. Phys. A, 36(45): 11369–11383. 2003.\n \n\n\n\n
\n\n\n\n \n \n \"CompletionPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2025043,\n    AUTHOR = {Belomestny, D. and Jentsch, V. and Schreckenberg, M.},\n     TITLE = {Completion and continuation of nonlinear traffic time series:\n              a probabilistic approach},\n   JOURNAL = {J. Phys. A},\n  FJOURNAL = {Journal of Physics. A. Mathematical and General},\n    VOLUME = {36},\n      YEAR = {2003},\n    NUMBER = {45},\n     PAGES = {11369--11383},\n      ISSN = {0305-4470},\n   MRCLASS = {90B20},\n  MRNUMBER = {2025043},\n       DOI = {10.1088/0305-4470/36/45/001},\n       URL = {https://doi.org/10.1088/0305-4470/36/45/001},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestnyĭ, D. V.; and Prokhorov, A. V.\n\n\n \n \n \n \n On the problem of reconstructing the general distribution from the distribution of a linear statistic.\n \n \n \n\n\n \n\n\n\n Vestnik Moskov. Univ. Ser. I Mat. Mekh., (2): 3–8, 64. 2003.\n \n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2006660,\n    AUTHOR = {Belomestny\\u{\\i}, D. V. and Prokhorov, A. V.},\n     TITLE = {On the problem of reconstructing the general distribution from\n              the distribution of a linear statistic},\n   JOURNAL = {Vestnik Moskov. Univ. Ser. I Mat. Mekh.},\n  FJOURNAL = {Vestnik Moskovskogo Universiteta. Seriya I. Matematika,\n              Mekhanika},\n      YEAR = {2003},\n    NUMBER = {2},\n     PAGES = {3--8, 64},\n      ISSN = {0579-9368},\n   MRCLASS = {60E05 (62E10)},\n  MRNUMBER = {2006660},\nMRREVIEWER = {S. G. Maloshevski\\u{\\i}},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestny, D.\n\n\n \n \n \n \n \n Constraints on distributions imposed by properties of linear forms.\n \n \n \n \n\n\n \n\n\n\n ESAIM Probab. Stat., 7: 313–328. 2003.\n \n\n\n\n
\n\n\n\n \n \n \"ConstraintsPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR1987791,\n    AUTHOR = {Belomestny, Denis},\n     TITLE = {Constraints on distributions imposed by properties of linear\n              forms},\n   JOURNAL = {ESAIM Probab. Stat.},\n  FJOURNAL = {ESAIM. Probability and Statistics},\n    VOLUME = {7},\n      YEAR = {2003},\n     PAGES = {313--328},\n      ISSN = {1292-8100},\n   MRCLASS = {62E10 (60E10)},\n  MRNUMBER = {1987791},\nMRREVIEWER = {C\\'{e}lestin C. Kokonendji},\n       DOI = {10.1051/ps:2003014},\n       URL = {https://doi.org/10.1051/ps:2003014},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2002\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestnyi, D. V.\n\n\n \n \n \n \n \n On the problem of characterizing the distribution of random variables by the distribution of their sum.\n \n \n \n \n\n\n \n\n\n\n In Proceedings of the Seminar on Stability Problems for Stochastic Models, Part I (Eger, 2001), volume 111, pages 3498–3504, 2002. \n \n\n\n\n
\n\n\n\n \n \n \"OnPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@inproceedings {MR1945192,\n    AUTHOR = {Belomestnyi, D. V.},\n     TITLE = {On the problem of characterizing the distribution of random\n              variables by the distribution of their sum},\n BOOKTITLE = {Proceedings of the {S}eminar on {S}tability {P}roblems for\n              {S}tochastic {M}odels, {P}art {I} ({E}ger, 2001)},\n   JOURNAL = {J. Math. Sci. (New York)},\n  FJOURNAL = {Journal of Mathematical Sciences (New York)},\n    VOLUME = {111},\n      YEAR = {2002},\n    NUMBER = {3},\n     PAGES = {3498--3504},\n      ISSN = {1072-3374},\n   MRCLASS = {60E05 (62E10)},\n  MRNUMBER = {1945192},\nMRREVIEWER = {Slobodanka Jankovi\\'{c}},\n       DOI = {10.1023/A:1016174813331},\n       URL = {https://doi.org/10.1023/A:1016174813331},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2001\n \n \n (2)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestnyĭ, D. V.\n\n\n \n \n \n \n \n On the reconstruction of a distribution of summands from the distribution of the sum.\n \n \n \n \n\n\n \n\n\n\n Teor. Veroyatnost. i Primenen., 46(2): 366–370. 2001.\n \n\n\n\n
\n\n\n\n \n \n \"OnPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR1968691,\n    AUTHOR = {Belomestny\\u{\\i}, D. V.},\n     TITLE = {On the reconstruction of a distribution of summands from the\n              distribution of the sum},\n   JOURNAL = {Teor. Veroyatnost. i Primenen.},\n  FJOURNAL = {Rossi\\u{\\i}skaya Akademiya Nauk. Teoriya Veroyatnoste\\u{\\i} i ee\n              Primeneniya},\n    VOLUME = {46},\n      YEAR = {2001},\n    NUMBER = {2},\n     PAGES = {366--370},\n      ISSN = {0040-361X},\n   MRCLASS = {60E05},\n  MRNUMBER = {1968691},\nMRREVIEWER = {Dominik Szynal},\n       DOI = {10.1137/S0040585X97978968},\n       URL = {https://doi.org/10.1137/S0040585X97978968},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n
\n \n\n \n \n Belomestnyĭ, D. V.\n\n\n \n \n \n \n On the problem of reconstructing the general distribution from the distribution of the maximum.\n \n \n \n\n\n \n\n\n\n Dokl. Akad. Nauk, 379(1): 7–8. 2001.\n \n\n\n\n
\n\n\n\n \n\n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR1863837,\n    AUTHOR = {Belomestny\\u{\\i}, D. V.},\n     TITLE = {On the problem of reconstructing the general distribution from\n              the distribution of the maximum},\n   JOURNAL = {Dokl. Akad. Nauk},\n  FJOURNAL = {Rossi\\u{\\i}skaya Akademiya Nauk. Doklady Akademii Nauk},\n    VOLUME = {379},\n      YEAR = {2001},\n    NUMBER = {1},\n     PAGES = {7--8},\n      ISSN = {0869-5652},\n   MRCLASS = {60E05 (62E10)},\n  MRNUMBER = {1863837},\nMRREVIEWER = {M. Riedel},\n}\n\n\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 0\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Bender, C.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization.\n \n \n \n \n\n\n \n\n\n\n Mathematics of Operations Research, 0(0): null. 0.\n \n\n\n\n
\n\n\n\n \n \n \"SolvingPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n  \n \n abstract \n \n\n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article{doi:10.1287/moor.2022.1306,\nauthor = {Belomestny, Denis and Bender, Christian and Schoenmakers, John},\ntitle = {Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization},\njournal = {Mathematics of Operations Research},\nvolume = {0},\nnumber = {0},\npages = {null},\nyear = {0},\ndoi = {10.1287/moor.2022.1306},\nURL = {https://doi.org/10.1287/moor.2022.1306},\neprint = {https://doi.org/10.1287/moor.2022.1306},\nabstract = { In this paper, we consider optimal stopping problems in their dual form. In this way, the optimal stopping problem \ncan be reformulated as a problem of stochastic average approximation (SAA) that can be solved via linear programming. \nBy randomizing the initial value of the underlying process, we enforce solutions with zero variance while preserving the linear \nprogramming structure of the problem. A careful analysis of the randomized SAA algorithm shows that it enjoys favorable properties \nsuch as faster convergence rates and reduced complexity compared with the nonrandomized procedure. We illustrate the performance \nof our algorithm on several benchmark examples. }\n}\n\n\n\n
\n
\n\n\n
\n In this paper, we consider optimal stopping problems in their dual form. In this way, the optimal stopping problem can be reformulated as a problem of stochastic average approximation (SAA) that can be solved via linear programming. By randomizing the initial value of the underlying process, we enforce solutions with zero variance while preserving the linear programming structure of the problem. A careful analysis of the randomized SAA algorithm shows that it enjoys favorable properties such as faster convergence rates and reduced complexity compared with the nonrandomized procedure. We illustrate the performance of our algorithm on several benchmark examples. \n
\n\n\n
\n\n\n\n\n\n
\n
\n\n
\n
\n  \n 2009/10\n \n \n (1)\n \n \n
\n
\n \n \n
\n \n\n \n \n Belomestny, D.; Kolodko, A.; and Schoenmakers, J.\n\n\n \n \n \n \n \n Regression methods for stochastic control problems and their convergence analysis.\n \n \n \n \n\n\n \n\n\n\n SIAM J. Control Optim., 48(5): 3562–3588. 2009/10.\n \n\n\n\n
\n\n\n\n \n \n \"RegressionPaper\n  \n \n\n \n \n doi\n  \n \n\n \n link\n  \n \n\n bibtex\n \n\n \n\n \n  \n \n 1 download\n \n \n\n \n \n \n \n \n \n \n\n  \n \n \n\n\n\n
\n 
@article {MR2599931,\n    AUTHOR = {Belomestny, Denis and Kolodko, Anastasia and Schoenmakers,\n              John},\n     TITLE = {Regression methods for stochastic control problems and their\n              convergence analysis},\n   JOURNAL = {SIAM J. Control Optim.},\n  FJOURNAL = {SIAM Journal on Control and Optimization},\n    VOLUME = {48},\n      YEAR = {2009/10},\n    NUMBER = {5},\n     PAGES = {3562--3588},\n      ISSN = {0363-0129},\n   MRCLASS = {60G40 (49K45 49M30 65C05 90C40 93E20)},\n  MRNUMBER = {2599931},\nMRREVIEWER = {Aleksey B. Piunovski\\u{\\i}},\n       DOI = {10.1137/090752651},\n       URL = {https://doi.org/10.1137/090752651},\n}\n\t\t\n
\n
\n\n\n\n
\n\n\n\n\n\n
\n
\n\n\n\n\n
\n\n\n \n\n \n \n \n \n\n
\n"}; document.write(bibbase_data.data);