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Showing 2013 · math.PRShow all
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math.PR2013
A note on error estimation for hypothesis testing problems for some linear SPDEs
Igor Cialenco, Liaosha Xu
The aim of the present paper is to estimate and control the Type I and Type II errors of a simple hypothesis testing problem of the drift/viscosity coefficient for stochastic fract…
math.PR2013★ 2 cited
Dynamic Assessment Indices
Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau +1
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathemati…