17 citations · 122 across the 28 of their papers we have counts for
29 papers
An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
Luis Mario Chaparro Jaquez, Elena Issoglio, Jan Palczewski
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-li…
Martingale theory for Dynkin games with asymmetric information
Tiziano De Angelis, Jan Palczewski, Jacob Smith
This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric info…
A new discrimination measure for assessing predictive performance of non-linear survival models
Alfensi Faruk, Jan Palczewski, Georgios Aivaliotis
Non-linear survival models are flexible models in which the proportional hazard assumption is not required. This poses difficulties in their evaluation. We introduce a new discrimi…
Exact Bayesian inference for Markov switching diffusions
Timothée Stumpf-Fétizon, Krzysztof Łatuszyński, Jan Palczewski +1
We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusio…
Stopper vs. singular-controller games with degenerate diffusions
Andrea Bovo, Tiziano De Angelis, Jan Palczewski
We study zero-sum stochastic games between a singular controller and a stopper when the (state-dependent) diffusion matrix of the underlying controlled diffusion process is degener…
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Luis Mario Chaparro Jáquez, Elena Issoglio, Jan Palczewski
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Hölder-Zygmund space o…