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## Belomestny, Denis

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 Author ID: belomestny.denis Published as: Belomestny, Denis; Belomestny, D.
 Documents Indexed: 68 Publications since 2003, including 2 Books
all top 5

#### Co-Authors

 7 single-authored 20 Schoenmakers, John G. M. 5 Häfner, Stefan 5 Kratschmer, Volker 5 Panov, Vladimir A. 5 Urusov, Mikhail A. 4 Comte, Fabienne 4 Genon-Catalot, Valentine 4 Milstein, Grigori N. 4 Spokoiny, Vladimir G. 3 Dickmann, Fabian 3 Iosipoi, Leonid 3 Nagapetyan, Tigran 3 Reiß, Markus 2 Bender, Christian 2 Goldenshluger, Alexander 2 Kolodko, Anastasya A. 2 Moulines, Eric 2 Naumov, Alekseĭ Aleksandrovich 2 Samsonov, Sergeĭ Petrovich 2 Trabs, Mathias 1 Bayer, Christian 1 Chen, Nan 1 Gapeev, Pavel V. 1 Gugushvili, Shota 1 Härdle, Wolfgang Karl 1 Hildebrand, Roland 1 Hübner, Tobias 1 Jentsch, V. 1 Joshi, Mark S. 1 Kaledin, Maxim 1 Kampen, Jörg 1 Krymova, Ekaterina 1 Ladkau, Marcel 1 Mai, Hilmar 1 Masuda, Hiroki 1 Mathew, Stanley 1 Nolte, Sascha 1 Redmann, Martin 1 Riedel, Sebastian 1 Schauer, Moritz 1 Schreckenberg, Michael 1 Schweizer, Nikolaus 1 Spreij, Peter 1 Tsybakov, Alexandre B. 1 Wang, Yiwei 1 Woerner, Jeannette H. C. 1 Zharkynbay, Bakhyt
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#### Serials

 5 Finance and Stochastics 4 The Annals of Statistics 4 The Annals of Applied Probability 4 Electronic Journal of Statistics 3 Journal of Mathematical Analysis and Applications 3 Stochastic Processes and their Applications 3 Bernoulli 3 International Journal of Theoretical and Applied Finance 2 Mathematics and Computers in Simulation 2 SIAM Journal on Control and Optimization 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Mathematical Finance 2 Quantitative Finance 2 Communications in Mathematical Sciences 2 SIAM Journal on Financial Mathematics 2 SIAM/ASA Journal on Uncertainty Quantification 1 Theory of Probability and its Applications 1 Annals of the Institute of Statistical Mathematics 1 Applied Mathematics and Optimization 1 Journal of Applied Probability 1 Journal of Functional Analysis 1 Mathematics of Operations Research 1 SIAM Journal on Numerical Analysis 1 Statistics & Probability Letters 1 Statistics 1 Journal of Physics A: Mathematical and General 1 Monte Carlo Methods and Applications 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Decisions in Economics and Finance 1 Stochastics 1 Lecture Notes in Mathematics 1 Statistics and Computing 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
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#### Fields

 44 Probability theory and stochastic processes (60-XX) 33 Statistics (62-XX) 30 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-XX) 3 Systems theory; control (93-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX)

#### Citations contained in zbMATH Open

52 Publications have been cited 330 times in 217 Documents Cited by Year
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
2006
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Zbl 1303.91166
Belomestny, Denis
2011
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
2009
Statistical inference for time-changed Lévy processes via composite characteristic function estimation. Zbl 1227.62062
Belomestny, Denis
2011
Spectral estimation of the fractional order of a Lévy process. Zbl 1181.62151
Belomestny, Denis
2010
Regression methods for stochastic control problems and their convergence analysis. Zbl 1205.60087
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
2010
Multilevel dual approach for pricing American style derivatives. Zbl 1310.91142
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
2013
Solving optimal stopping problems via empirical dual optimization. Zbl 1298.60049
Belomestny, Denis
2013
Spatial aggregation of local likelihood estimates with applications to classification. Zbl 1126.62021
2007
Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
2015
Spectral estimation of the Lévy density in partially observed affine models. Zbl 1216.62132
Belomestny, Denis
2011
Nonparametric Laguerre estimation in the multiplicative censoring model. Zbl 1357.62160
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2016
Central limit theorems for law-invariant coherent risk measures. Zbl 1245.60026
Belomestny, Denis; Krätschmer, Volker
2012
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
2006
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
2009
A jump-diffusion Libor model and its robust calibration. Zbl 1214.91117
Belomestny, Denis; Schoenmakers, John
2011
Estimation and calibration of Lévy models via Fourier methods. Zbl 1332.62279
Belomestny, Denis; Reiß, Markus
2015
Statistical inference for time-changed Lévy processes via Mellin transform approach. Zbl 1337.60089
Belomestny, Denis; Schoenmakers, John
2016
Estimation of the activity of jumps in time-changed Lévy models. Zbl 1293.60054
2013
Pricing Bermudan options via multilevel approximation methods. Zbl 1315.91070
Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
2015
Statistical Skorohod embedding problem: optimality and asymptotic normality. Zbl 1396.62071
Belomestny, Denis; Schoenmakers, John
2015
Abelian theorems for stochastic volatility models with application to the estimation of jump activity. Zbl 1282.60083
2013
Optimal stopping under model uncertainty: randomized stopping times approach. Zbl 1339.60043
Belomestny, Denis; Krätschmer, Volker
2016
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
2010
Sobolev-Hermite versus Sobolev nonparametric density estimation on $$\mathbb{R}$$. Zbl 1415.62013
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2019
Low-frequency estimation of continuous-time moving average Lévy processes. Zbl 1426.62252
Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H. C.
2019
Statistical inference for generalized Ornstein-Uhlenbeck processes. Zbl 1337.62230
2015
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. Zbl 1234.60043
Belomestny, Denis
2011
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Zbl 1416.60069
Belomestny, Denis; Nagapetyan, Tigran
2017
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
2018
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. Zbl 1404.62081
Belomestny, Denis; Trabs, Mathias
2018
Optimal stopping under probability distortions. Zbl 1378.60067
Belomestny, Denis; Krätschmer, Volker
2017
Variance reduction for discretised diffusions via regression. Zbl 1373.93303
Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
2018
Completion and continuation of nonlinear traffic time series: A probabilistic approach. Zbl 1048.90060
Belomestny, D.; Jentsch, V.; Schreckenberg, M.
2003
Advanced simulation-based methods for optimal stopping and control. With applications in finance. Zbl 1388.60004
Belomestny, Denis; Schoenmakers, John
2018
Holomorphic transforms with application to affine processes. Zbl 1178.60034
Belomestny, Denis; Kampen, Jörg; Schoenmakers, John
2009
Nonparametric density estimation from observations with multiplicative measurement errors. Zbl 1460.62045
Belomestny, Denis; Goldenshluger, Alexander
2020
Pricing CMS spread options in a Libor market model. Zbl 1203.91281
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
2010
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
2015
Unbiased simulation of distributions with explicitly known integral transforms. Zbl 1356.65028
Belomestny, Denis; Chen, Nan; Wang, Yiwei
2016
Multiple stochastic volatility extension of the Libor market model and its implementation. Zbl 1182.91214
Belomestny, Denis; Mathew, Stanley; Schoenmakers, John
2009
Correction to: “Nonparametric Laguerre estimation in the multiplicative censoring model”. Zbl 1379.62027
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2017
Regression-based variance reduction approach for strong approximation schemes. Zbl 1386.65035
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
2017
Projected particle methods for solving Mckean-Vlasov stochastic differential equations. Zbl 1406.60086
Belomestny, Denis; Schoenmakers, John
2018
Addendum to: “Optimal stopping under model uncertainty: randomized stopping times approach”. Zbl 1418.60032
Belomestny, Denis; Krätschmer, Volker
2017
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
2019
Variance reduction for Markov chains with application to MCMC. Zbl 1447.62107
Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; Samsonov, S.
2020
Optimal stopping via reinforced regression. Zbl 1440.60032
Belomestny, Denis; Schoenmakers, John; Spokoiny, Vladimir; Zharkynbay, Bakhyt
2020
Optimal stopping via pathwise dual empirical maximisation. Zbl 07068067
Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
2019
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
2017
Density deconvolution under general assumptions on the distribution of measurement errors. Zbl 07367855
Belomestny, Denis; Goldenshluger, Alexander
2021
Density deconvolution under general assumptions on the distribution of measurement errors. Zbl 07367855
Belomestny, Denis; Goldenshluger, Alexander
2021
Nonparametric density estimation from observations with multiplicative measurement errors. Zbl 1460.62045
Belomestny, Denis; Goldenshluger, Alexander
2020
Variance reduction for Markov chains with application to MCMC. Zbl 1447.62107
Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; Samsonov, S.
2020
Optimal stopping via reinforced regression. Zbl 1440.60032
Belomestny, Denis; Schoenmakers, John; Spokoiny, Vladimir; Zharkynbay, Bakhyt
2020
Sobolev-Hermite versus Sobolev nonparametric density estimation on $$\mathbb{R}$$. Zbl 1415.62013
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2019
Low-frequency estimation of continuous-time moving average Lévy processes. Zbl 1426.62252
Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H. C.
2019
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
2019
Optimal stopping via pathwise dual empirical maximisation. Zbl 07068067
Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
2019
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
2018
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. Zbl 1404.62081
Belomestny, Denis; Trabs, Mathias
2018
Variance reduction for discretised diffusions via regression. Zbl 1373.93303
Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
2018
Advanced simulation-based methods for optimal stopping and control. With applications in finance. Zbl 1388.60004
Belomestny, Denis; Schoenmakers, John
2018
Projected particle methods for solving Mckean-Vlasov stochastic differential equations. Zbl 1406.60086
Belomestny, Denis; Schoenmakers, John
2018
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Zbl 1416.60069
Belomestny, Denis; Nagapetyan, Tigran
2017
Optimal stopping under probability distortions. Zbl 1378.60067
Belomestny, Denis; Krätschmer, Volker
2017
Correction to: “Nonparametric Laguerre estimation in the multiplicative censoring model”. Zbl 1379.62027
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2017
Regression-based variance reduction approach for strong approximation schemes. Zbl 1386.65035
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
2017
Addendum to: “Optimal stopping under model uncertainty: randomized stopping times approach”. Zbl 1418.60032
Belomestny, Denis; Krätschmer, Volker
2017
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
2017
Nonparametric Laguerre estimation in the multiplicative censoring model. Zbl 1357.62160
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
2016
Statistical inference for time-changed Lévy processes via Mellin transform approach. Zbl 1337.60089
Belomestny, Denis; Schoenmakers, John
2016
Optimal stopping under model uncertainty: randomized stopping times approach. Zbl 1339.60043
Belomestny, Denis; Krätschmer, Volker
2016
Unbiased simulation of distributions with explicitly known integral transforms. Zbl 1356.65028
Belomestny, Denis; Chen, Nan; Wang, Yiwei
2016
Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
2015
Estimation and calibration of Lévy models via Fourier methods. Zbl 1332.62279
Belomestny, Denis; Reiß, Markus
2015
Pricing Bermudan options via multilevel approximation methods. Zbl 1315.91070
Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
2015
Statistical Skorohod embedding problem: optimality and asymptotic normality. Zbl 1396.62071
Belomestny, Denis; Schoenmakers, John
2015
Statistical inference for generalized Ornstein-Uhlenbeck processes. Zbl 1337.62230
2015
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
2015
Multilevel dual approach for pricing American style derivatives. Zbl 1310.91142
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
2013
Solving optimal stopping problems via empirical dual optimization. Zbl 1298.60049
Belomestny, Denis
2013
Estimation of the activity of jumps in time-changed Lévy models. Zbl 1293.60054
2013
Abelian theorems for stochastic volatility models with application to the estimation of jump activity. Zbl 1282.60083
2013
Central limit theorems for law-invariant coherent risk measures. Zbl 1245.60026
Belomestny, Denis; Krätschmer, Volker
2012
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Zbl 1303.91166
Belomestny, Denis
2011
Statistical inference for time-changed Lévy processes via composite characteristic function estimation. Zbl 1227.62062
Belomestny, Denis
2011
Spectral estimation of the Lévy density in partially observed affine models. Zbl 1216.62132
Belomestny, Denis
2011
A jump-diffusion Libor model and its robust calibration. Zbl 1214.91117
Belomestny, Denis; Schoenmakers, John
2011
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. Zbl 1234.60043
Belomestny, Denis
2011
Spectral estimation of the fractional order of a Lévy process. Zbl 1181.62151
Belomestny, Denis
2010
Regression methods for stochastic control problems and their convergence analysis. Zbl 1205.60087
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
2010
Pricing CMS spread options in a Libor market model. Zbl 1203.91281
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
2010
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
2009
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
2009
Holomorphic transforms with application to affine processes. Zbl 1178.60034
Belomestny, Denis; Kampen, Jörg; Schoenmakers, John
2009
Multiple stochastic volatility extension of the Libor market model and its implementation. Zbl 1182.91214
Belomestny, Denis; Mathew, Stanley; Schoenmakers, John
2009
Spatial aggregation of local likelihood estimates with applications to classification. Zbl 1126.62021
2007
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
2006
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
2006
Completion and continuation of nonlinear traffic time series: A probabilistic approach. Zbl 1048.90060
Belomestny, D.; Jentsch, V.; Schreckenberg, M.
2003
all top 5

#### Cited by 316 Authors

 32 Belomestny, Denis 15 Schoenmakers, John G. M. 10 Comte, Fabienne 8 Genon-Catalot, Valentine 6 Kratschmer, Volker 6 Panov, Vladimir A. 6 Todorov, Viktor 6 Trabs, Mathias 5 Bayer, Christian 5 Joshi, Mark S. 5 Reiß, Markus 4 Bender, Christian 4 Kohler, Michael 4 Söhl, Jakob 4 Spokoiny, Vladimir G. 3 Claus, Matthias 3 Duval, Céline 3 Glau, Kathrin 3 Jacod, Jean 3 Jain, Shashi 3 Juneja, Sandeep 3 Kappus, Johanna 3 Ladkau, Marcel 3 Nickl, Richard 3 Oosterlee, Cornelis Willebrordus 3 Tankov, Peter 3 Urusov, Mikhail A. 2 Agarwal, Ankush 2 Aït-Sahalia, Yacine 2 Dickmann, Fabian 2 Figueroa-López, José E. 2 Fromkorth, Andreas 2 Fusai, Gianluca 2 Gobet, Emmanuel 2 Goldenshluger, Alexander 2 Gong, Ruoting 2 Grbac, Zorana 2 Gugushvili, Shota 2 Häfner, Stefan 2 Hambly, Ben M. 2 Hinz, Juri 2 Hong, Liu Jeff 2 Houdré, Christian 2 Iosipoi, Leonid 2 Kurisu, Daisuke 2 Liu, Yanchu 2 Marazzina, Daniele 2 Marena, Marina 2 Mariucci, Ester 2 Mayer, Philipp A. 2 Milstein, Grigori N. 2 Moulines, Eric 2 Ohashi, Alberto Masayoshi F. 2 Rigollet, Philippe 2 Roth, Stefan 2 Schultz, Rüdiger 2 Schweizer, Nikolaus 2 Steinrücke, Lea 2 Swishchuk, Anatoliy 2 Tang, Robert L. 2 Tempone, Raúl F. 2 Yap, N. 2 Yee, Jeremy 2 Zagst, Rudi 2 Zähle, Henryk 2 Zanger, Daniel Z. 1 Albrecher, Hansjörg 1 Anker, Felix 1 Annunziato, Mario 1 Bacry, Emmanuel 1 Balakrishnan, Narayanaswamy 1 Balder, Sven 1 Bardet, Jean-Marc 1 Bayraktar, Erhan 1 Bec, Mélina 1 Becker, Saskia Myriam Alice 1 Becker, Sebastian 1 Belomestny, D. V. 1 Beveridge, Christopher 1 Bezerra, Sérgio C. 1 Boxma, Onno Johan 1 Boyle, Phelim P. 1 Bruna, Joan 1 Bujok, K. 1 Burtscheidt, Johanna 1 Carpentier, Alexandra 1 Caruana, Mark Anthony 1 Chen, Cathy W. S. 1 Chen, Frank Youhua 1 Chen, Nan 1 Chen, Song Xi 1 Chen, Su 1 Chen, Ying 1 Chen, Zhiyuan 1 Cheridito, Patrick 1 Coca, Alberto J. 1 Cuesdeanu, Horatio 1 de Souza, Francys Andrews 1 De Vecchi, Francesco C. 1 Debrabant, Kristian ...and 216 more Authors
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#### Cited in 85 Serials

 14 Quantitative Finance 13 Finance and Stochastics 12 The Annals of Statistics 12 Stochastic Processes and their Applications 9 Electronic Journal of Statistics 8 Bernoulli 8 Statistical Inference for Stochastic Processes 6 Mathematical Finance 6 Methodology and Computing in Applied Probability 5 The Annals of Applied Probability 5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 SIAM Journal on Financial Mathematics 3 Annals of the Institute of Statistical Mathematics 3 Applied Mathematics and Computation 3 Mathematics of Operations Research 3 Statistics & Probability Letters 3 Probability Theory and Related Fields 3 Journal of Economic Dynamics & Control 3 European Journal of Operational Research 3 SIAM Journal on Optimization 3 SIAM Journal on Scientific Computing 2 Theory of Probability and its Applications 2 Applied Mathematics and Optimization 2 Journal of Statistical Planning and Inference 2 Operations Research 2 SIAM Journal on Control and Optimization 2 SIAM Journal on Numerical Analysis 2 Statistics 2 Annals of Operations Research 2 International Journal of Computer Mathematics 2 Mathematical Methods of Statistics 2 Monte Carlo Methods and Applications 2 Applied Mathematical Finance 2 Journal of Nonparametric Statistics 2 Mathematical Problems in Engineering 2 International Journal of Theoretical and Applied Finance 2 Decisions in Economics and Finance 2 Journal of the Korean Statistical Society 2 SIAM/ASA Journal on Uncertainty Quantification 1 Journal of the Franklin Institute 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Physics 1 Metrika 1 Scandinavian Journal of Statistics 1 Journal of Applied Probability 1 Journal of Computational and Applied Mathematics 1 Journal of Econometrics 1 Journal of Functional Analysis 1 Mathematics and Computers in Simulation 1 Insurance Mathematics & Economics 1 Operations Research Letters 1 Stochastic Analysis and Applications 1 Parallel Computing 1 Sequential Analysis 1 Journal of Complexity 1 Applied Mathematics Letters 1 Journal of Integral Equations and Applications 1 Neural Computation 1 Communications in Statistics. Theory and Methods 1 SIAM Journal on Mathematical Analysis 1 Complexity 1 Electronic Journal of Probability 1 INFORMS Journal on Computing 1 Doklady Mathematics 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Vietnam Journal of Mathematics 1 Mathematical Methods of Operations Research 1 Extremes 1 Econometric Theory 1 International Game Theory Review 1 The ANZIAM Journal 1 Mathematical Modelling and Analysis 1 Discrete and Continuous Dynamical Systems. Series B 1 Journal of Machine Learning Research (JMLR) 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 Stochastics 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 The Annals of Applied Statistics 1 European Actuarial Journal 1 Annals of Finance 1 Statistics & Risk Modeling 1 Modern Stochastics. Theory and Applications 1 Journal of the Japan Statistical Society. Japanese Issue 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
all top 5

#### Cited in 20 Fields

 134 Probability theory and stochastic processes (60-XX) 108 Statistics (62-XX) 108 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 60 Numerical analysis (65-XX) 12 Operations research, mathematical programming (90-XX) 10 Systems theory; control (93-XX) 7 Partial differential equations (35-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 6 Computer science (68-XX) 2 Approximations and expansions (41-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Integral equations (45-XX) 2 Functional analysis (46-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX)