54 citations · 239 across the 57 of their papers we have counts for
8 papers · 1 filter
Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control
D. Belomestny, L. Iosipoi, Q. Paris +1
We study the problem of empirical minimization for variance-type functionals over functional classes. Sharp non-asymptotic bounds for the excess variance are derived under mild con…
Sparse covariance matrix estimation in high-dimensional deconvolution
Denis Belomestny, Mathias Trabs, Alexandre B. Tsybakov
We study the estimation of the covariance matrix of a -dimensional normal random vector based on independent observations corrupted by additive noise. Only a general non…
Nonparametric density estimation from observations with multiplicative measurement errors
Denis Belomestny, Alexander Goldenshluger
In this paper we study the problem of pointwise density estimation from observations with multiplicative measurement errors. We elucidate the main feature of this problem: the infl…
Minimax theorems for American options in incomplete markets without time-consistency
Denis Belomestny, Volker Kraetschmer
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuo…
Projected particle methods for solving McKean-Vlasov stochastic differential equations
Denis Belomestny, John Schoenmakers
We propose a novel projection-based particle method for solving the McKean-Vlasov stochastic differential equations. Our approach is based on a projection-type estimation of the ma…
Semiparametric estimation in the normal variance-mean mixture model
Denis Belomestny, Vladimir Panov
In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popula…