Referierte Veröffentlichungen
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Belomestny, D.; Nagapetyan, T. (2015). Multilevel path simulation for weak approximation schemes with application to Levy-driven SDEs, Bernoulli Journal.
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- Belomestny, D.; Ladkau, M.; Schoenmakers, J. (2015). Multilevel simulation based policy iteration for optimal stopping convergence and complexity, SIAM Journal of Uncertainty Quantification, 460-483.
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- Belomestny D.; Dickmann F.; Nagapetyan T. (2015). Pricing Bermudan options via multilevel approximation methods, SIAM Journal of Financial Mathematics, 448-466.
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- Belomestny, D.; Kraetschmer, V. (2015). Optimal Stopping Under Model Uncertainty: Randomized Stopping Times Approach, Annals of Applied Probability.
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- Belomestny, D.; Spokoiny, V. (2014). Concentration inequalities for smooth random fields, Probability Theory and Its Applications, 59(4), 314-323.
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- Belomestny, D.; Panov, V. (2013). Estimation of the activity of jumps in time-changed Levy models, Electronic Journal of Statistics, 7(1), 2970-3003.
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- Belomestny, D.; Schoenmakers, J.; Dickmann, F. (2013). Multilevel dual approach for pricing American type derivatives, Finance and Stochastics, 17(4), 717-742.
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- Belomestny, D. (2013). Solving optimal stopping problems via empirical dual optimization, Annals of Applied Probability, 23(5), 1988-2019.
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- Belomestny, D.; Panov, V. (2012). Abelian theorems for stochastic volatility models with application to the estimation of jump activity, Stochastic Processes and Their Applications, 123(1), 15-44.
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- Belomestny, D.; Kraetschmer, V. (2012). Central limit theorems for law-invariant coherent risk measures, Journal of Applied Probability, 49(1), 1-21.
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- Belomestny, D. (2011). On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems, Annals of Applied Probability, 21(1), 215-239.
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- Belomestny, D. (2011). Pricing Bermudan options using regression: optimal rates of convergence for lower estimates, Finance and Stochastics, 15(4), 655-683.
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- Belomestny, D. (2011). Spectral estimation of the Levy density in partially observed affine models, Stochastic Processes and Their Applications, 121(1), 1217-1244.
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- Belomestny, D. (2011). Statistical inference for time-changed Levy processes via composite characteristic function estimation, Annals of Statistics, 39(4), 2205-2242.
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- Belomestny, D. (2010). Spectral estimation of the fractional order of a Levy process, Annals of Statistics, 38(1), 317-351.
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- Belomestny, D.; Kolodko, A.; Schoenmakers, J. (2010). Regression methods for stochastic control problems and their convergence analysis, SIAM Journal on Control and Optimization, 48(5), 3562-3588.
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- Belomestny, D.; Gapeev, P. (2010). An iterative procedure for solving integral equations related to optimal stopping problem, Stochastics, 82(4), 365-380.
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- Belomestny, D.; Bender, Ch.; Schoenmakers, J. (2009). True upper bounds for Bermudan products via non-nested Monte Carlo., Mathematical Finance, 19(1), 53-71.
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- Belomestny, D.; Kampen, J.; Schoenmakers, J. (2009). Holomorphic transforms with application to affine processes, Journal of Functional Analysis, 257(4), 1222-1250.
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- Belomestny, D.; Spokoiny, V. (2007). Spatial aggregation of local likelihood estimates with applications to classification, Annals of Statistics, 35(5), 2287-2311.
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- Belomestny, D.; Reiss, M. (2006). Spectral calibration of exponential Levy models, Finance and Stochastics, 10(4), 449-474.
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