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math.ST2021
Generalization bounds for nonparametric regression with mixing samples
David Barrera, Emmanuel Gobet
In this paper we present a series of results that permit to extend in a direct manner uniform deviation inequalities of the empirical process from the independent to the dependent…
math.ST2016★ 43 cited
Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
Emmanuel Gobet, Plamen Turkedjiev
We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations wi…
math.ST2005★ 84 cited
Nonparametric estimation of scalar diffusions based on low frequency data
Emmanuel Gobet, Marc Hoffmann, Markus Reiss
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{nΔ},n=0,1,...,N. The sampling frequency Δ^{-1} is cons…