24 citations · 98 across the 27 of their papers we have counts for
28 papers
Uniform Lorden-type bounds for overshoot moments for standard exponential families: small drift and an exponential correction
El'mira Yu. Kalimulina, Mark Ya. Kelbert
We study the overshoot \(R_b=S_{τ(b)}-b\) of a random walk with independent identically distributed increments from a standardised one-parameter exponential family, with primary em…
Weighted Chernoff information and optimal loss exponent in context-sensitive hypothesis testing
Mark Kelbert, El'mira Yu. Kalimulina
We study binary hypothesis testing for i.i.d. observations under a multiplicative context weight. For the optimal weighted total loss, defined as the sum of weighted type-I and typ…
Context-sensitive hypothesis-testing and exponential families
Mark Kelbert, Yuri Suhov
We propose a number of concepts and properties related to `weighted' statistical inference where the observed data are classified in accordance with a `value' of a sample string. T…
An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
Mark Kelbert, Harold A. Moreno-Franco
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by…
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
Mark Kelbert, Harold A. Moreno-Franco
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diff…
On a mixed singular/switching control problem with multiples regimes
Mark Kelbert, Harold A. Moreno-Franco
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial…