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math.ST2021
Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations
Niklas Dexheimer, Claudia Strauch
We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Ham…
math.ST2021★ 5 cited
Learning to reflect: A unifying approach for data-driven stochastic control strategies
Sören Christensen, Claudia Strauch, Lukas Trottner
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoret…