70 citations · 474 across the 46 of their papers we have counts for
46 papers
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
Denis Belomestny, Frank van der Meulen, Peter Spreij
We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in…
Synchronous deautoconvolution algorithm for discrete-time positive signals via I-divergence approximation
Lorenzo Finesso, Peter Spreij
We pose the problem of the optimal approximation of a given nonnegative signal with the scalar autoconvolution of a nonnegative signal , where and …
The inverse problem of positive autoconvolution
Lorenzo Finesso, Peter Spreij
We pose the problem of approximating optimally a given nonnegative signal with the scalar autoconvolution of a nonnegative signal. The I-divergence is chosen as the optimality crit…
Polynomial Approximation of Discounted Moments
Chenyu Zhao, Misha van Beek, Peter Spreij +1
We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments. These moments appea…
Weak solutions to gamma-driven stochastic differential equations
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To…
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Matteo Michielon, Asma Khedher, Peter Spreij
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, as their risk-neutral counterparts a…