Denis Belomestny

Publications²⁹

• Article Belomestny D., Panov V., Woerner J. Low-frequency estimation of continuous-time moving average Levy processes // Bernoulli: a journal of mathematical statistics and probability. 2019 (in press)
• Article Belomestny D., Trabs M., Tsybakov A. Sparse covariance matrix estimation in high-dimensional deconvolution // Bernoulli: a journal of mathematical statistics and probability. 2019 (in press)
• Article Belomestny D., Orlova T., Panov V. Statistical inference for moving-average Lévy-driven processes: Fourier-based approach // Statistica Neerlandica. 2019. Vol. 1. P. 100-117. doi
• Book Belomestny D., Schoenmakers J. Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance. Palgrave Macmillan, 2018. doi
• Article Belomestny D., Trabs M. Low-rank diffusion matrix estimation for high-dimensional time-changed Levy processes // Annales de l'institut Henri Poincare (B) Probability and Statistics. 2018. Vol. 54. No. 3. P. 1583-1621. doi
• Article Belomestny D., Schoenmakers J. PROJECTED PARTICLE METHODS FOR SOLVING MCKEAN−VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS // SIAM Journal on Numerical Analysis. 2018. Vol. 56. No. 6. P.  3169-3195. doi (in press)
• Article Belomestny D., Urusov M., Häfner S. Regression-based complexity reduction of the nested Monte Carlo methods // SIAM Journal on Financial Mathematics. 2018. Vol. 9. No. 2. P. 665-689. doi (in press)
• Article Belomestny D., Panov V. Semiparametric estimation in the normal variance-mean mixture model // Statistics. 2018. Vol. 52. No. 3. P. 571-589. doi
• Article Belomestny D., Comte F., Genon-Catalot V. Sobolev-Hermite versus Sobolev nonparametric density estimation on R // Annals of the Institute of Statistical Mathematics. 2018 doi (in press)
• Article Belomestny D., Häfner S., Urusov M. Stratified regression-based variance reduction approach for weak approximation schemes // Mathematics and Computers in Simulation. 2018. Vol. 143. P. 125-137. doi
• Article Iosipoi L., Belomestny D., Животовский Н. К. Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization // Doklady Mathematics. 2018. Vol. 98. No. 2. P. 494-497. doi
• Preprint Belomestny D., Животовский Н. К., Iosipoi L. Variance reduction via empirical variance minimization: convergence and complexity / Cornell University. Series math "arxiv.org". 2018.
• Article Belomestny D., Kraetschmer V. Addentum to "Optimal Stopping Under Model Uncertainty:Randomized Stopping times approach" // Annals of Applied Probability. 2017. Vol. 2. No. 27. P. 1289-1293. doi
• Article Belomestny D., Mai H., Schoenmakers J. Generalized Post–Widder inversion formula with application to statistics // Journal of Mathematical Analysis and Applications. 2017. No. 455. P. 89-104. doi
• Chapter Belomestny D., Häfner S., Urusov M. Regression-Based Variance Reduction Approach for Strong Approximation Schemes, in: Modern problems of stochastic analysis and statistics - Selected contributions in honor of Valentin Konakov / Ed. by V. Panov. Heidelberg : Springer, 2017. doi P. 131-178.
• Preprint Belomestny D., Panov V. Semiparametric estimation in the normal variance-mean mixture model / Cornell University. Series ArXiv.org "Stat". 2017. No. 1705.07578.
• Article Belomestny D., Krymova E., Haerdle W. Sieve Estimation of the Minimal Entropy Martingale Marginal Dencity with Application to Pricing Kernel Estimation // International Journal of Theoretical and Applied Finance. 2017. Vol. 20. No. 6. P. 1750041-1-1750041-21. doi
• Preprint Belomestny D., Orlova T., Panov V. Statistical inference for moving-average Lévy-driven processes: Fourier-based approach / Cornell University. Series arXiv "stat". 2017. No. 1702.02794.
• Preprint Belomestny D., Panov V., Woerner J. Low frequency estimation of continuous-time moving average Lévy processes / Cornell University. Series arxive "math". 2016. No. 1607.00896.
• Article Belomestny D., Krätschmer V. Optimal stopping under model uncertainty: Randomized stopping times approach // Annals of Applied Probability. 2016. Vol. 26. No. 2. P. 1260-1295.
• Article Belomestny D., Schoenmakers J. Statistical inference for time-changed Lévy processes via Mellin transform approach // Stochastic Processes and their Applications. 2016. Vol. 126. No. 7. P. 2092-2122. doi
• Article Belomestny D., Joshi M., Schoenmakers J. Addendum to: Multilevel dual approach for pricing American style derivatives // Finance and Stochastics. 2015. Vol. 19. No. 3. P. 681-684. doi
• Article Belomestny D., Prokhorov A. Stability of characterization of the independence of random variables by the independence of linear statistics. // Theory of Probability and Its Applications. 2015. Vol. 59. No. 4. P. 179-190.
• Article Belomestny D., Schoenmakers J. Statistical Skorohod embedding problem: Optimality and asymptotic normality // Statistics and Probability Letters. 2015. Vol. 104. P. 169-180. doi
• Article Belomestny D., Panov V. Statistical inference for generalized Ornstein-Uhlenbeck processes // Electronic journal of statistics. 2015. Vol. 9. No. 2. P. 1974-2006. doi
• Chapter Belomestny D., Reiss M. Estimation and Calibration of Lévy Models via Fourier Methods, in: Lévy Matters IV. Estimation for Discretely Observed Lévy Processes. Vol. 2128: Lévy Matters IV. Heidelberg : Springer, 2014. P. 1-76.
• Book Belomestny D., Comte F., Genon-Catalot V., Masuda H., Reiss M. Lévy Matters IV. Estimation for Discretely Observed Lévy Processes. Vol. 2128: Lévy Matters IV. Heidelberg : Springer, 2014.
• Article Belomestny D., Panov V. Abelian theorems for stochastic volatility models with application to the estimation of jump activity // Stochastic Processes and their Applications. 2013. Vol. 123. No. 1. P. 15-44.
• Article Belomestny D., Panov V. Estimation of the activity of jumps in time-changed Levy models // Electronic journal of statistics. 2013. Vol. 7. P. 2970-3003.