1 citations · 5 across the 12 of their papers we have counts for
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The uniqueness of the Wiener-Hopf factorisation of Lévy processes and random walks
Leif Döring, Mladen Savov, Lukas Trottner +1
We prove that the spatial Wiener-Hopf factorisation of a Lévy process or random walk without killing is unique.
Data-driven rules for multidimensional reflection problems
Sören Christensen, Asbjørn Holk Thomsen, Lukas Trottner
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. Howeve…
Markov additive friendships
Leif Döring, Lukas Trottner, Alexander R. Watson
The Wiener--Hopf factorisation of a Lévy or Markov additive process describes the way that it attains new maxima and minima in terms of a pair of so-called ladder height processes.…
Covariate shift in nonparametric regression with Markovian design
Lukas Trottner
Covariate shift in regression problems and the associated distribution mismatch between training and test data is a commonly encountered phenomenon in machine learning. In this pap…
Change point estimation for a stochastic heat equation
Markus Reiß, Claudia Strauch, Lukas Trottner
We study a change point model based on a stochastic partial differential equation (SPDE) corresponding to the heat equation governed by the weighted Laplacian $Δ_\vartheta = \nabla…