70 citations · 474 across the 46 of their papers we have counts for
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math.ST2015★ 9 cited
A non-parametric Bayesian approach to decompounding from high frequency data
Shota Gugushvili, Frank van der Meulen, Peter Spreij
Given a sample from a discretely observed compound Poisson process, we consider non-parametric estimation of the density of its jump sizes, as well as of its intensity …
math.PR2015★ 28 cited
Large deviations for Markov-modulated diffusion processes with rapid switching
Gang Huang, Michel Mandjes, Peter Spreij
In this paper, we study small noise asymptotics of Markov-modulated diffusion processes in the regime that the modulating Markov chain is rapidly switching. We prove the joint samp…