5 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…
Exact Bayesian inference for Markov switching diffusions
Timothée Stumpf-Fétizon, Krzysztof ÅatuszyÅski, 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…
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 …
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…