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.

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Showing 2020 · math.PRShow all

3 papers · 2 filters

math.PR2020★ 2 cited

Simplified calculus for semimartingales: Multiplicative compensators and changes of measure

Aleš Černý, Johannes Ruf

The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-v…

math.PR2020★ 6 cited

Simplified stochastic calculus via semimartingale representations

Aleš Černý, Johannes Ruf

We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and t…

math.PR2020★ 1 cited

On the last zero process with an application in corporate bankruptcy

Erik J. Baurdoux, J. M. Pedraza

For a spectrally negative Lévy process , consider , the last time is below the level zero before time . We use a perturbation method for Lévy processes to deri…