Publikationen von Dr. Denis Belomestny

Referierte Veröffentlichungen

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    ​    Belomestny, D.; Nagapetyan, T.     (2015). Multilevel path simulation for weak approximation schemes with application to Levy-driven SDEs, Bernoulli Journal.

2015 Multilevel Path Simulation For Weak Approximation Schemes With Application To Levy-driven SdesPDF-Download​

  • Belomestny, D.; Ladkau, M.; Schoenmakers, J. (2015). Multilevel simulation based policy iteration for optimal stopping convergence and complexity, SIAM Journal of Uncertainty Quantification, 460-483.

​ 2015 Multilevel Simulation Based Policy Iteration For Optimal Stopping Convergence And ComplexityPDF-Download

  • Belomestny D.; Dickmann F.; Nagapetyan T. (2015). Pricing Bermudan options via multilevel approximation methods, SIAM Journal of Financial Mathematics, 448-466.

​2015 Pricing Bermudan Options Via Multilevel Approximation MethodsPDF-Download​

  • Belomestny, D.; Kraetschmer, V. (2015). Optimal Stopping Under Model Uncertainty: Randomized Stopping Times Approach, Annals of Applied Probability.

​2015 Optimal Stopping Under Model Uncertainty Randomized Stopping Times ApproachPDF-Download​

  • Belomestny, D.; Spokoiny, V. (2014). Concentration inequalities for smooth random fields, Probability Theory and Its Applications, 59(4), 314-323.

​2014 Concentration Inequalities For Smooth Random FieldsPDF-Download​

  • Belomestny, D.; Panov, V. (2013). Estimation of the activity of jumps in time-changed Levy models, Electronic Journal of Statistics, 7(1), 2970-3003.

​2013 Estimation Of The Activity Of Jumps In Time-changed Levy ModelsPDF-Download​

  • Belomestny, D.; Schoenmakers, J.; Dickmann, F. (2013). Multilevel dual approach for pricing American type derivatives, Finance and Stochastics, 17(4), 717-742.

​2013 Multilevel Dual Approach For Pricing American Type DerivativesPDF-Download​

  • Belomestny, D. (2013). Solving optimal stopping problems via empirical dual optimization, Annals of Applied Probability, 23(5), 1988-2019.

​2013 Solving Optimal Stopping Problems Via Empirical Dual OptimizationPDF-Download​

  • Belomestny, D.; Panov, V. (2012). Abelian theorems for stochastic volatility models with application to the estimation of jump activity, Stochastic Processes and Their Applications, 123(1), 15-44.

​2012 Abelian Theorems For Stochastic Volatility Models With Application To The Estimation Of Jump ActivityPDF-Download​

  • Belomestny, D.; Kraetschmer, V. (2012). Central limit theorems for law-invariant coherent risk measures, Journal of Applied Probability, 49(1), 1-21.

​2012 Central Limit Theorems For Law-invariant Coherent Risk MeasuresPDF-Download​

  • Belomestny, D. (2011). On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems, Annals of Applied Probability, 21(1), 215-239.

​2011 On The Rates Of Convergence Of Simulation-based Optimization Algorithms For Optimal Stopping ProblemsPDF-Download​

  • Belomestny, D. (2011). Pricing Bermudan options using regression: optimal rates of convergence for lower estimates, Finance and Stochastics, 15(4), 655-683.

​2011 Pricing Bermudan Options Using Regression Optimal Rates Of Convergence For Lower EstimatesPDF-Download​

  • Belomestny, D. (2011). Spectral estimation of the Levy density in partially observed affine models, Stochastic Processes and Their Applications, 121(1), 1217-1244.

​​2011 Spectral Estimation Of The Levy Density In Partially Observed Affine ModelsPDF-Download​

  • Belomestny, D. (2011). Statistical inference for time-changed Levy processes via composite characteristic function estimation, Annals of Statistics, 39(4), 2205-2242.

​2011 Statistical Inference For Time-changed Levy Processes Via Composite Characteristic Function EstimationPDF-Download

  • Belomestny, D. (2010). Spectral estimation of the fractional order of a Levy process, Annals of Statistics, 38(1), 317-351.

​2010 Spectral Estimation Of The Fractional Order Of A Levy ProcessPDF-Download​

  • Belomestny, D.; Kolodko, A.; Schoenmakers, J. (2010). Regression methods for stochastic control problems and their convergence analysis, SIAM Journal on Control and Optimization, 48(5), 3562-3588.

​2010 Regression Methods For Stochastic Control Problems And Their Convergence AnalysisPDF-Download​

  • Belomestny, D.; Gapeev, P. (2010). An iterative procedure for solving integral equations related to optimal stopping problem, Stochastics, 82(4), 365-380.

​2010 An Iterative Procedure For Solving Integral Equations Related To Optimal Stopping ProblemPDF-Download​

  • Belomestny, D.; Bender, Ch.; Schoenmakers, J. (2009). True upper bounds for Bermudan products via non-nested Monte Carlo., Mathematical Finance, 19(1), 53-71.

​2009 True Upper Bounds For Bermudan Products Via Non-nested Monte CarloPDF-Download​

  • Belomestny, D.; Kampen, J.; Schoenmakers, J. (2009). Holomorphic transforms with application to affine processes, Journal of Functional Analysis, 257(4), 1222-1250.

​2009 Holomorphic Transforms With Application To Affine ProcessesPDF-Download​

  • Belomestny, D.; Spokoiny, V. (2007). Spatial aggregation of local likelihood estimates with applications to classification, Annals of Statistics, 35(5), 2287-2311.

​2007 Spatial Aggregation Of Local Likelihood Estimates With Applications To ClassificationPDF-Download​

  • Belomestny, D.; Reiss, M. (2006). Spectral calibration of exponential Levy models, Finance and Stochastics, 10(4), 449-474.

​Spectral calibration of exponential Levy modelsPDF-Download​