2 citations · 4 across the 3 of their papers we have counts for
3 papers
math.ST2016
Low frequency estimation of continuous-time moving average Lévy processes
Denis Belomestny, Vladimir Panov, Jeannette Woerner
In this paper we study the problem of statistical inference for a continuous-time moving average Lévy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad…
math.ST2014★ 2 cited
Statistical Skorohod embedding problem and its generalizations
Denis Belomestny, John Schoenmakers
Given a Lévy process , we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time based on i.i.d. sample f…
q-fin.CP2014★ 2 cited
Multilevel path simulation for weak approximation schemes
Denis Belomestny, Tigran Nagapetyan
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between cons…