29 citations · 55 across the 21 of their papers we have counts for
4 papers · 1 filter
Large Deviations Analysis for Stochastic Models of Bacterial Evolution
Robert Azencott, Brett Geiger, Ilya Timofeyev
Radical shifts in the genetic composition of large cell populations are rare events with quite low probabilities that direct numerical simulations generally fail to evaluate accura…
Large deviations for Gaussian diffusions with delay
Robert Azencott, Brett Geiger, William Ott
Dynamical systems driven by nonlinear delay SDEs with small noise can exhibit important rare events on long timescales. When there is no delay, classical large deviations theory qu…
Parametric Estimation from Approximate Data: Non-Gaussian Diffusions
Robert Azencott, Peng Ren, Ilya Timofeyev
We study the problem of parameters estimation in Indirect Observability contexts, where is an unobservable stationary process parametrized by a vector of unknown para…
Accuracy of Maximum Likelihood Parameter Estimators for Heston volatility SDE
Robert Azencott, Yutheeka Gadhyan
We study approximate maximum likelihood estimators (MLEs) for the parameters of the widely used Heston stock and volatility stochastic differential equations (SDEs). We compute exp…