39 citations · 51 across the 4 of their papers we have counts for
6 papers
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…
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…
Generalized Post-Widder inversion formula with application to statistics
Denis Belomestny, Hilmar Mai, John Schoenmakers
In this work we derive an inversion formula for the Laplace transform of a density observed on a curve in the complex domain, which generalizes the well known Post-Widder formula.…
Forward-reverse EM algorithm for Markov chains: convergence and numerical analysis
Christian Bayer, Hilmar Mai, John Schoenmakers
We develop a forward-reverse EM (FREM) algorithm for estimating parameters that determine the dynamics of a discrete time Markov chain evolving through a certain measurable state s…
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
Hilmar Mai
We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a Lévy process when high-frequency observations are given. Th…
Pathwise stability of likelihood estimators for diffusions via rough paths
Joscha Diehl, Peter Friz, Hilmar Mai
We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons),…