2 citations · 2 across the 4 of their papers we have counts for
6 papers
Arbitrage in Estimate Nothing: an example
Johannes Brutsche, Julian Sester, Thorsten Schmidt
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…
Stable convergence of partial sum processes towards discontinuous limits
Johannes Brutsche
We develop a stable convergence theorem for partial sum processes on sample-size dependent stochastic bases. The result allows multidimensional semimartingale limits that have cond…
Sharp adaptive nonparametric testing for constant volatility
Johannes Brutsche, Lukas Riepl
Based on discrete observations, we develop a test to infer if the volatility function within the nonparametric Gaussian white noise model is constant.…
Self-organized regime switching in null-recurrent dynamics
Johannes Brutsche, Sebastian Hahn, Angelika Rohde
Based on discrete observations for with of the null-recurrent dynamic with a Brownian motion and $σ(x)=α\mat…
The level of self-organized criticality in oscillating Brownian motion: -consistency and stable Poisson-type convergence of the MLE
Johannes Brutsche, Angelika Rohde
For some discretely observed path of oscillating Brownian motion with level of self-organized criticality , we prove in the infill asymptotics that the MLE is -consistent,…
Sharp adaptive and pathwise stable similarity testing for scalar ergodic diffusions
Johannes Brutsche, Angelika Rohde
Within the nonparametric diffusion model, we develop a multiple test to infer about similarity of an unknown drift to some reference drift : At prescribed significance, we…