output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2015 · math.PRShow all

4 papers · 2 filters

math.PR2015★ 4 cited

The greedy independent set in a random graph with given degrees

Graham Brightwell, Svante Janson, Malwina Luczak

We analyse the size of an independent set in a random graph on vertices with specified vertex degrees, constructed via a simple greedy algorithm: order the vertices arbitrarily…

math.PR2015★ 3 cited

BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data

Andrea Cosso, Huyên Pham, Hao Xing

We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a t…

math.PR2015★ 2 cited

Consumption investment optimization with Epstein-Zin utility in incomplete markets

Hao Xing

In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the em…

math.PR2015★ 3 cited

No arbitrage and local martingale deflators

Yuri Kabanov, Constantinos Kardaras, Shiqi Song

A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The superma…