14 citations · 30 across the 9 of their papers we have counts for
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math.ST2018★ 4 cited
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…
q-fin.PM2018
Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility
Sahar Albosaily, Serguei Pergamenshchikov
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility…