57 citations · 223 across the 23 of their papers we have counts for
5 papers · 1 filter
Simulation of elliptic and hypo-elliptic conditional diffusions
Joris Bierkens, Frank van der Meulen, Moritz Schauer
Suppose is a multidimensional diffusion process. Assume that at time zero the state of is fully observed, but at time only linear combinations of its components are o…
Nonparametric Bayesian volatility learning under microstructure noise
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differ…
A generator approach to stochastic monotonicity and propagation of order
Richard C. Kraaij, Moritz Schauer
We study stochastic monotonicity and propagation of order for Markov processes with respect to stochastic integral orders characterized by cones of functions satisfying …
Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
Given discrete time observations over a growing time interval, we consider a nonparametric Bayesian approach to estimation of the Lévy density of a Lévy process belonging to a flex…
Nonparametric Bayesian volatility estimation
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equ…