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Prof. Dr. rer. nat. Denis Belomestny

Fakultät für Mathematik
Anschrift
Thea-Leymann-Str. 9
45127 Essen
Raum
WSC-W-3.30
Telefon
+49 201 183 2694
E-Mail
denis.belomestny@uni-due.de
Webseite
http://www.uni-due.de/~hm0124/

Funktionen

  • Universitätsprofessor/in, Stochastik, Versicherungsmathematik
  • Professor/in, Personal FB Mathematik, Campus Essen
  • Gruppe der Professorinnen und Professoren, Fakultätsrat

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Belomestny, Denis; Goldenshluger, Alexander
    Density deconvolution under general assumptions on the distribution of measurement errors
    In: Annals of Statistics Jg. 49 (2021) Nr. 2, S. 615 - 649
    ISSN: 2168-8966; 0090-5364
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Iosipoi, Leonid
    Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
    In: Mathematics and Computers in Simulation Jg. 181 (2021) S. 351 - 363
    ISSN: 0378-4754
    Online Volltext: dx.doi.org/ (Open Access)
  • Kazhikenova, Saule Sh.; Belomestny, Denis; Shaltakov, S. N.; Shaihova, G. S.
    Finite difference method implementation for numericalintegration hydrodynamic equations melts
    In: Eurasian Physical Technical Journal Jg. 17 (2020) Nr. 1, S. 145 - 150
    ISSN: 2413-2179; 1811-1165
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Goldenshluger, Alexander
    Nonparametric density estimation from observations with multiplicative measurement errors
    In: Annales de l'Institut Henri Poincaré: recueil de conférences et mémoires de calcul des probabilités et physique théorique Jg. 56 (2020) Nr. 1, S. 36 - 37
    ISSN: 0246-0203; 1778-7017; 0020-2347
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Schoenmakers, John
    Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems
    In: SIAM Journal on Control and Optimization Jg. 58 (2020) Nr. 1, S. 529 - 550
    ISSN: 0363-0129; 1095-7138
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Schoenmakers, John; Spokoiny, Vladimir; Zharkynbay, Bakhyt
    Optimal stopping via reinforced regression
    In: Communications in Mathematical Sciences Jg. 18 (2020) Nr. 1, S. 109 - 121
    ISSN: 1945-0796; 1539-6746
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John
    Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
    In: Mathematical Finance Jg. 30 (2020) Nr. 4, S. 1591 - 1616
    ISSN: 1467-9965; 0960-1627
    Online Volltext: dx.doi.org/ (Open Access)
  • Bayer, Christian; Belomestny, Denis; Redmann, Martin; Riedel, Sebastian; Schoenmakers, John
    Solving linear parabolic rough partial differential equations
    In: Journal of Mathematical Analysis and Applications Jg. 490 (2020) Nr. 1, S. 124236
    ISSN: 1096-0813; 0022-247X
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Iosipoi, Leonid; Moulines, Éric; Naumov, Alexey; Samsonov, S.
    Variance reduction for Markov chains with application to MCMC
    In: Statistics and Computing Jg. 30 (2020) Nr. 4, S. 973 - 997
    ISSN: 1573-1375; 0960-3174
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis
    Entscheidungen mathematisch treffen : Approximative Dynamische Programmierung mit Tiefen Neuronalen Netzwerken
    In: Unikate: Berichte aus Forschung und Lehre (2019) Nr. 53: Mathematik - Herausforderung des Nichtlinearen, S. 73 - 78
    ISBN: 978-3-934359-53-6 ISSN: 0944-6060; 1869-3881
    Online Volltext: dx.doi.org/ Online Volltext (Open Access)
  • Issagulov, AZ; Belomestny, Denis; Shaikhova, G. S.; Zhurov, V.; Kasymova, L.; Zhetimekova, G.
    Functions of atoms radial distribution and pair potential of some semiconductors melts
    In: The Bulletin of the National Academy of Sciences of the Republic of Kazakhstan (2019) Nr. 4, S. 6 - 14
    ISSN: 1991-3494
    Online Volltext: dx.doi.org/
  • Kazhikenova, S. Sh.; Belomestny, Denis
    Fundamental characteristics of reliability in technological processes in ferrous metal industry
    In: The Bulletin Jg. 2 (2019) Nr. 378, S. 120 - 127
    ISSN: 0002-3213; 1991-3494
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H.C.
    Low-frequency estimation of continuous-time moving average Lévy processes
    In: Bernoulli Jg. 25 (2019) Nr. 2, S. 902 - 931
    ISSN: 1350-7265
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
    Minimax theorems for American options without time-consistency
    In: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238
    ISSN: 0949-2984; 1432-1122
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
    Nonparametric Bayesian inference for Gamma-type Lévy subordinators
    In: Communications in Mathematical Sciences Jg. 17 (2019) Nr. 3, S. 781 - 816
    ISSN: 1539-6746
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
    Optimal Stopping via Pathwise Dual Empirical Maximisation
    In: Applied Mathematics and Optimization Jg. 79 (2019) Nr. 3, S. 715 - 741
    ISSN: 1432-0606; 0095-4616
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Sobolev-Hermite versus Sobolev nonparametric density estimation on R
    In: Annals of the Institute of Statistical Mathematics Jg. 71 (2019) Nr. 1, S. 29 - 62
    ISSN: 1572-9052; 0020-3157
    Online Volltext: dx.doi.org/ Online Volltext (Open Access)
  • Belomestny, Denis; Trabs, Mathias; Tsybakov, Alexandre B.
    Sparse covariance matrix estimation in high-dimensional deconvolution
    In: Bernoulli Jg. 25 (2019) Nr. 3, S. 1901 - 1938
    ISSN: 1350-7265
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Orlova, Tatiana; Panov, Vladimir
    Statistical inference for moving-average Lévy-driven processes : Fourier-based approach
    In: Statistica Neerlandica Jg. 73 (2019) Nr. 1, S. 100 - 117
    ISSN: 1467-9574; 0039-0402
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Trabs, Mathias
    Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
    In: Annales de l'institut Henri Poincare (B) Probability and Statistics Jg. 54 (2018) Nr. 3, S. 1583 - 1621
    ISSN: 0246-0203
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Schoenmakers, John
    Projected particle methods for solving McKean-Vlasov stochastic differential equations
    In: SIAM Journal on Numerical Analysis Jg. 56 (2018) Nr. 6, S. 3169 - 3195
    ISSN: 0036-1429; 1095-7170
    Online Volltext: dx.doi.org/ (Open Access)
  • Kazhikenova, S. Sh.; Shaltakov, S. N.; Belomestny, Denis; Nussupdekov, B. R.
    Recurrent relations for correlation functions
    In: Bulletin of the Karaganda University: Physics series (2018) Nr. 1 (89), S. 8 - 15
    ISSN: 2518-7198; 2663-5089
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-based complexity reduction of the nested monte carlo methods
    In: SIAM Journal on Financial Mathematics Jg. 9 (2018) Nr. 2, S. 665 - 689
    ISSN: 1945-497X
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Panov, Vladimir
    Semiparametric estimation in the normal variance-mean mixture model
    In: Statistics: A Journal of Theoretical and Applied Statistics Jg. 52 (2018) Nr. 3, S. 571 - 589
    ISSN: 1029-4910; 0233-1888
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Häfner, S.; Urusov, Mikhail
    Stratified regression-based variance reduction approach for weak approximation schemes
    In: Mathematics and Computers in Simulation Jg. 143 (2018) S. 125 - 137
    ISSN: 0378-4754
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Iosipoi, L.S.; Zhivotovskiy, N.K.
    Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization
    In: Doklady Mathematics Jg. 98 (2018) Nr. 2, S. 494 - 497
    ISSN: 1064-5624; 1531-8362
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
    Variance reduction for discretised diffusions via regression
    In: Journal of mathematical analysis and applications Jg. 458 (2018) Nr. 1, S. 393 - 418
    ISSN: 0022-247X
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Belomestny, Denis
    Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”
    In: The Annals of Applied Probability Jg. 27 (2017) Nr. 2, S. 1289 - 1293
    ISSN: 1050-5164
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Correction to: Nonparametric Laguerre estimation in the multiplicative censoring model
    In: Electronic Journal of Statistics Jg. 11 (2017) Nr. 2, S. 4845 - 4850
    ISSN: 1935-7524
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Mai, Hilmar; Schoenmakers, John
    Generalized Post–Widder inversion formula with application to statistics
    In: Journal of Mathematical Analysis and Applications Jg. 455 (2017) Nr. 1, S. 89 - 104
    ISSN: 0022-247X
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Nagapetyan, Tigran
    Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
    In: Bernoulli Jg. 23 (2017) Nr. 2, S. 927 - 950
    ISSN: 1350-7265
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Krätschmer, Volker
    Optimal stopping under probability distortions
    In: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833
    ISSN: 1526-5471; 0364-765X
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
    SIEVE ESTIMATION of the MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY with APPLICATION to PRICING KERNEL ESTIMATION
    In: International Journal of Theoretical and Applied Finance Jg. 20 (2017) Nr. 6, S. 1750041
    ISSN: 0219-0249
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Truncated control variates for weak approximation schemes
    In: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42
    ISSN: 2267-3059; 1270-900X
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Nonparametric laguerre estimation in the multiplicative censoring model
    In: Electronic Journal of Statistics Jg. 10 (2016) Nr. 2, S. 3114 - 3152
    ISSN: 1935-7524
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under model uncertainty : Randomized stopping times approach
    In: The annals of applied probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295
    ISSN: 1050-5164
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under probability distortions and law invariant coherent risk measures
    In: De.arxiv.org Jg. 2016 (2016) S. 1506.04439
    Online Volltext
  • Belomestny, Denis; Schoenmakers, John
    Statistical inference for time-changed Lévy processes via Mellin transform approach
    In: Stochastic processes and their applications Jg. 126 (2016) Nr. 7, S. 2092 - 2122
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Joshi, Mark; Schoenmakers, John
    Addendum to: Multilevel dual approach for pricing American style derivatives
    In: Finance and stochastics Jg. 19 (2015) Nr. 3, S. 681 - 684
    ISSN: 0949-2984
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Ladkau, Marcel; Schoenmakers, John
    Multilevel simulation based policy iteration for optimal stopping-convergence and complexity
    In: SIAM-ASA Journal on Uncertainty Quantification Jg. 3 (2015) Nr. 1, S. 460 - 483
    ISSN: 2166-2525
    Online Volltext: dx.doi.org/ Online Volltext (Open Access)
  • Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
    Pricing Bermudan options via multilevel approximation methods
    In: SIAM Journal on Financial Mathematics Jg. 6 (2015) Nr. 1, S. 448 - 466
    ISSN: 1945-497X
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Prokhorov, A.V.
    Stability of Characterization of the Independence of Random Variables by the Independence of Linear Statistics Read More: https://epubs.siam.org/doi/10.1137/S0040585X97T987363
    In: Theory of Probability and its Applications Jg. 59 (2015) Nr. 4, S. 672 - 677
    ISSN: 1095-7219; 0040-585X
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Schoenmakers, John
    Statistical Skorohod embedding problem : optimality and asymptotic normality
    In: Statistics & probability letters Jg. 104 (2015) S. 169 - 180
    ISSN: 0167-7152
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Panov, Vladimir
    Statistical inference for generalized Ornstein-Uhlenbeck processes
    In: Electronic journal of statistics Jg. 9 (2015) Nr. 2, S. 1974 - 2006
    ISSN: 1935-7524
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Spokoiny, Vladimir
    Concentration inequalities for smooth random fields
    In: Theory of Probability & Its Applications Jg. 58 (2014) Nr. 2, S. 314 - 323
    ISSN: 0040-585X
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Panov, Vladimir
    Abelian theorems for stochastic volatility models with application to the estimation of jump activity
    In: Stochastic Processes and their Applications Jg. 123 (2013) Nr. 1, S. 15 - 44
    ISSN: 0304-4149
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Panov, Vladimir
    Estimation of the activity of jumps in time-changed Lévy models
    In: Electronic Journal of Statistics Jg. 7 (2013) Nr. 1, S. 2970 - 3003
    ISSN: 1935-7524
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
    Multilevel dual approach for pricing American style derivatives
    In: Finance and stochastics Jg. 17 (2013) Nr. 4, S. 717 - 742
    ISSN: 0949-2984
    Online Volltext: dx.doi.org/
  • Belomestny, Denis
    Solving optimal stopping problems via empirical dual optimization
    In: Annals of Applied Probability Jg. 23 (2013) Nr. 5, S. 1988 - 2019
    ISSN: 1050-5164
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Krätschmer, Volker
    Central limit theorems for law-invariant coherent risk measures
    In: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21
    ISSN: 0021-9002; 1475-6072
    Online Volltext: dx.doi.org/
  • Belomestny, Denis
    Spectral estimation of the Lévy density in partially observed affine models
    In: Stochastic Processes and their Applications Jg. 121 (2011) Nr. 6, S. 1217 - 1244
    ISSN: 0304-4149
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis
    Statistical inference for time-changed Lévy processes via composite characteristic function estimation
    In: The Annals of Statistics: an official journal of the Institute of Mathematical Statistics Jg. 39 (2011) Nr. 4, S. 2205 - 2242
    ISSN: 2168-8966; 0090-5364
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Rüschendorf, L.; Urusov, Mikhail
    Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
    In: Theory of probability and its applications Jg. 54 (2010) Nr. 1, S. 14 - 28
    ISSN: 1095-7219
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Jentsch, V.; Schreckenberg, Michael
    Completion and continuation of nonlinear traffic time series : A probabilistic approach
    In: Journal of Physics A: Mathematical and General Jg. 36 (2003) Nr. 45, S. 11369 - 11383
    ISSN: 0305-4470; 1361-6447
    Online Volltext: dx.doi.org/

    • Beiträge in Sammelwerken und Tagungsbänden

  • Gauer, Johannes; Krymova, Ekaterina; Belomestny, Denis; Martin, Rainer
    Spectral complexity reduction of music signals for cochlear implant users based on subspace tracking
    In: 27th European Signal Processing Conference (EUSIPCO) / EUSIPCO, A CorUña,Spain, September 2-6,2019 2019
    ISBN: 978-9-0827-9703-9; 978-90-827970-2-2; 978-1-5386-7300-3 ISSN: 2219-5491
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-Based Variance Reduction Approach for Strong Approximation Schemes
    In: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir (Hrsg.) 2017, S. 131 - 178
    ISBN: 9783319653129 ISSN: 2194-1017; 2194-1009
    Online Volltext: dx.doi.org/
  • Krymova, Ekaterina; Nagathil, Anil; Belomestny, Denis; Martin, Rainer
    Segmentation of music signals based on explained variance ratio for applications in spectral complexity reduction
    In: ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings / ICASSP 2017; New Orleans; United States; 5 March 2017 through 9 March 2017 2017, S. 206 - 210
    ISBN: 9781509041176 ISSN: 1520-6149
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Chen, Nan; Wang, Yiwei
    Unbiased simulation of distributions with explicitly known integral transforms
    In: Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014 / Cools, Ronald; Nuyens, Dirk (Hrsg.) 2016, S. 229 - 244
    ISBN: 978-3-319-33507-0
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Reiß, Markus
    Estimation and calibration of lévy models via Fourier methods
    In: Lévy Matters IV: Estimation for Discretely Observed Lévy Processes Jg. 2128 2015, S. 1 - 76
    ISBN: 978-3-319-12372-1; 978-3-319-12373-8
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Bender, Christian; Dickmann, Fabian; Schweizer, Nikolaus
    Solving stochastic dynamic programs by convex optimization and simulation
    In: Extraction of Quantifiable Information from Complex Systems Jg. 102 2014, S. 1 - 23
    ISBN: 978-3-319-08158-8
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Ladkau, Marcel; Schoenmakers, John
    Tight bounds for American options via multilevel Monte Carlo
    In: Proceedings of the 2012 Winter Simulation Conference (WSC) / Winter Simulation Conference (WSC), 9 - 12 Dec. 2012, Berlin, Germany 2012
    ISBN: 978-1-4673-4779-2; 978-1-4673-4781-5; 978-1-4673-4779-2
    Online Volltext: dx.doi.org/

    • Bücher/Sammelwerke/Tagungsbände

  • Belomestny, Denis; Schoenmakers, John
    Advanced simulation-based methods for optimal stopping and control : With applications in finance
    London (2018)
    ISBN: 978-1-137-03350-5; 978-1-137-03351-2
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
    Lévy Matters IV : Estimation for Discretely Observed Lévy Processes
    Cham (2015) XV, 286 S.
    (Lecture Notes in Mathematics ; 2128)
    ISBN: 978-3-319-12372-1; 978-3-319-12373-8
    Online Volltext: dx.doi.org/; Online Volltext: dx.doi.org/

    • Working Paper

  • Belomestny, Denis; Moulines, Eric; Shagadatov, Nurlan; Urusov, Mikhail
    Variance reduction for MCMC methods via martingale representations
    (2019) 30 Seiten
    Online Volltext (Open Access)