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Publications by Henrik Hult

Refereegranskade

Artiklar

[1]
M. Favero, H. Hult and T. Koski, "A dual process for the coupled Wright-Fisher diffusion," Journal of Mathematical Biology, vol. 82, no. 1-2, 2021.
[2]
H. Hult and P. Nyquist, "Large deviations for weighted empirical measures arising in importance sampling," Stochastic Processes and their Applications, vol. 126, no. 1, 2016.
[3]
T. Gudmundsson and H. Hult, "Markov chain monte carlo for computing rare-event probabilities for a heavy-tailed random walk," Journal of Applied Probability, vol. 51, no. 2, pp. 359-376, 2014.
[4]
H. Hult, F. Lindskog and J. Nykvist, "A simple time-consistent model for the forward density process," International Journal of Theoretical and Applied Finance, vol. 16, no. 8, pp. 13500489, 2013.
[5]
J. Blanchet, H. Hult and K. Leder, "Rare-Event Simulation for Stochastic Recurrence Equations with Heavy-Tailed Innovations," ACM Transactions on Modeling and Computer Simulation, vol. 23, no. 4, pp. 22, 2013.
[6]
H. Hult and J. Svensson, "On Importance Sampling with Mixtures for Random Walks with Heavy Tails," ACM Transactions on Modeling and Computer Simulation, vol. 22, no. 2, pp. 8, 2012.
[7]
H. Hult and F. Lindskog, "Ruin probabilities under general investments and heavy-tailed claims," Finance and Stochastics, vol. 15, no. 2, pp. 243-265, 2011.
[8]
H. Hult and G. Samorodnitsky, "Large deviations for point processes based on stationary sequences with heavy tails," Journal of Applied Probability, vol. 47, no. 1, pp. 1-40, 2010.
[9]
H. Hult and G. Samorodnitsky, "Tail probabilities for infinite series of regularly varying random vectors," Bernoulli, vol. 14, no. 3, pp. 838-864, 2008.
[10]
H. Hult and F. Lindskog, "On Kesten's counterexample to the Cramer-Wold device for regular variation," Bernoulli, vol. 12, no. 1, pp. 133-142, 2006.
[11]
H. Hult and F. Lindskog, "On regular variation for infinitely divisible random vectors and additive processes," Advances in Applied Probability, vol. 38, no. 1, pp. 134-148, 2006.
[12]
H. Hult and H. Lindskog, "Regular variation for measures on metric spaces," Publications de l'Institut Mathématique (Beograd), vol. 80, no. 94, pp. 121-140, 2006.
[13]
T. Björk and H. Hult, "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, vol. 9, no. 2, pp. 197-209, 2005.
[14]
H. Hult and F. Lindskog, "Extremal behavior of regularly varying stochastic processes," Stochastic Processes and their Applications, vol. 115, no. 2, pp. 249-274, 2005.
[15]
H. Hult, "Approximating some Volterra type stochastic integrals with applications to parameter estimation," Stochastic Processes and their Applications, vol. 105, no. 1, pp. 1-32, 2003.
[16]
H. Hult and F. Lindskog, "Multivariate extremes, aggregation and dependence in elliptical distributions," Advances in Applied Probability, vol. 32, no. 3, pp. 587-608, 2002.

Konferensbidrag

[17]
M. Nordström et al., "Calibrated Surrogate Maximization of Dice," in Medical Image Computing and Computer Assisted Intervention – MICCAI 2020 : 23rd International Conference, Lima, Peru, October 4–8, 2020, Proceedings, Part IV, 2020, pp. 269-278.
[18]
C. Ringqvist, P. Nyquist and H. Hult, "Infinite Swapping Algorithm for Training Restricted Boltzmann Machines," in Monte Carlo and Quasi-Monte Carlo Methods, 2020, pp. 285-307.
[19]
C. Ringqvist et al., "Interpolation in Auto Encoders with Bridge Processes," in Proceedings of the 25th International Conference on Pattern Recognition, ICPR 2020, 2020.
[20]
B. Hargreaves, H. Hult and S. Reda, "Within-die process variations: How accurately can they be statistically modeled?," in 13th Asia and South Pacific Design Automation Conference, 2008.

Böcker

[21]
F. Lindskog et al., Risk and portfolio analysis : principles and methods. Springer-Verlag New York, 2012.

Kapitel i böcker

[22]
H. Hult et al., "Multivariate Models," in Risk and Portfolio Analysis, : Springer Nature, 2012, pp. 273-330.
[23]
H. Hult et al., "Quadratic Hedging Principles," in Risk and Portfolio Analysis, : Springer Nature, 2012, pp. 39-83.
[24]
H. Hult et al., "Quadratic Investment Principles," in Risk and Portfolio Analysis, : Springer Nature, 2012, pp. 85-126.
[25]
H. Hult et al., "Risk Measurement Principles," in Risk and Portfolio Analysis, : Springer Nature, 2012, pp. 159-194.
[26]
H. Hult et al., "Utility-Based Investment Principles," in Risk and Portfolio Analysis, : Springer Nature, 2012, pp. 127-157.

Icke refereegranskade

Artiklar

[27]
M. Nordström et al., "Interactive Deep Learning-Based Delineation of Gross Tumor Volume for Postoperative Glioma Patients," Medical physics (Lancaster), vol. 46, no. 6, pp. E426-E427, 2019.
[28]
M. Nordström et al., "Pareto Dose Prediction Using Fully Convolutional Networks Operating in 3D," Medical physics (Lancaster), vol. 45, no. 6, pp. E176-E176, 2018.

Konferensbidrag

[29]
J. Blanchet, H. Hult and K. Leder, "Importance sampling for stochastic recurrence equations with heavy-tailed increments," in Proceedings of the 2011 Winter Simulation Conference, 2011, pp. 3824-3831.

Rapporter

[30]
H. Hult and F. Lindskog, "Heavy-tailed insurance portfolios : buffer capital and ruin probabilities," , Technical Report, Cornell University, ORIE, 1441, 2006.

Övriga

[33]
H. Hult and J. Kiessling, "Algorithmic trading with Markov chains," (Manuscript).
[44]
C. Ringqvist, A. Lindhe and H. Hult, "Particle Filter Bridge Interpolation," (Manuscript).
[46]
C. Ringqvist, A. Lindhe and H. Hult, "Variational Auto Encoder Gradient Clustering," (Manuscript).
Senaste synkning med DiVA:
2021-07-25 03:56:05