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20152021
most citedApproximate hedging problem with transaction costs in stochastic volatility markets

14 citations · 14 across the 3 of their papers we have counts for

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math.ST2019

Improved estimation via model selection method for semimartingale regressions based on discrete data

Evgeny A. Pchelintsev, Serguei M. Pergamenshchikov, Maria A. Povzun

We consider the robust adaptive nonparametric estimation problem for a periodic function observed in the framework of a continuous time regression model with semimartingale noises.

math.ST2018

Adaptive model selection method for a conditionally Gaussian semimartingale regression in continuous time

Evgeny Pchelintsev, Serguei Pergamenshchikov

This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general s…