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 2018 · math.PRShow all

3 papers · 2 filters

math.PR2018

Integral representation of subharmonic functions and optimal stopping with random discounting

Umut Çetin

An integral representation result for strictly positive subharmonic functions of a one-dimensional regular diffusion is established. More precisely, any such function can be writte…

math.PR2018★ 2 cited

Explicit Asymptotics on First Passage Times of Diffusion Processes

Angelos Dassios, Luting Li

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theo…

math.PR2018

Predicting the last zero of a spectrally negative Lévy process

Erik J. Baurdoux, J. M. Pedraza

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on…