3 citations · 3 across the 5 of their papers we have counts for
6 papers
Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions
Dennis Schroers
We develop an asymptotic theory for the jump robust measurement of covariations in the context of stochastic evolution equation in infinite dimensions. Namely, we identify scaling…
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential…
A Topological Proof of Sklar's Theorem in Arbitrary Dimensions
Fred Espen Benth, Giulia Di Nunno, Dennis Schroers
We prove Sklar's theorem in infinite dimensions via a topological argument and the notion of inverse systems.
Copula Measures and Sklar's Theorem in Arbitrary Dimensions
Fred Espen Benth, Giulia Di Nunno, Dennis Schroers
Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies…
A weak law of large numbers for realised covariation in a Hilbert space setting
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an…
On a class of stochastic partial differential equations with multiple invariant measures
Balint Fárkas, Martin Friesen, Barbara Rüdiger +1
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov…