2 papers
stat.CO2020
Adaptive Quantile Computation for Brownian Bridge in Change-Point Analysis
Jürgen Franke, Mario Hefter, André Herzwurm +2
As an example for the fast calculation of distributional parameters of Gaussian processes, we propose a new Monte Carlo algorithm for the computation of quantiles of the supremum n…
math.PR2017
Counterexamples to regularities for the derivative processes associated to stochastic evolution equations
Mario Hefter, Arnulf Jentzen, Ryan Kurniawan
In the recent years there has been an increased interest in studying regularity properties of the derivatives of stochastic evolution equations (SEEs) with respect to their initial…