2 papers
math.PR2018
Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions
Svetlana Anulova, Hilmar Mai, Alexander Veretennikov
The paper is a full version of the short presentation in \cite{amv17}. Ergodic control for one-dimensional controlled diffusion is tackled; both drift and diffusion coefficients ma…
math.ST2016
Jump filtering and efficient drift estimation for Lévy-driven SDE's
Arnaud Gloter, Dasha Loukianova, Hilmar Mai
The problem of drift estimation for the solution of a stochastic differential equation with Lévy-type jumps is considered under discrete high-frequency observations with a grow…