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math.ST2023
Data-driven optimal stopping: A pure exploration analysis
Sören Christensen, Niklas Dexheimer, Claudia Strauch
The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study dat…
math.ST2023
Adaptive nonparametric drift estimation for multivariate jump diffusions under sup-norm risk
Niklas Dexheimer
We investigate nonparametric drift estimation for multidimensional jump diffusions based on continuous observations. The results are derived under anisotropic smoothness assumption…