Denis Belomestny, Frank van der Meulen, and Peter Spreij (2023), Nonparametric Bayesian inference for stochastic processes with piecewise constant priors, Mathematics of Risk 2022 MATRIX Annals, Editors: David R. Wood, Jan de Gier, Cheryl E. Praeger, Terence Tao. MATRIX Book Series, Springer, to appear. [pdf available at the 2021-22 MATRIX Annals page]
Denis Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij (2023), Weak solutions to gamma-driven stochastic differential equations,
Indagationes Mathematicae34(4), 820-829.
Matteo Michielon, Asma Khedher, Peter Spreij (2022), Proxying credit curves via Wasserstein distances,
Annals of Operations Research (online, 17 pages). [pdf]
Denis Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij (2022),
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations, Bernoulli28(4), 2151-2180. [pdf]
Adel Magra, Peter Spreij, Tim Baarslag and Michael Kaisers (2021). Automated Negotiation Under User Preference Uncertainty, In: Proceedings
of the 33rd Benelux Conference on Artificial Intelligence and 30th Belgian-Dutch Conference on Machine Learning, 767-768.
Misha van Beek, Michel Mandjes, Peter Spreij, Erik Winands (2020), Regime switching affine processes with applications to finance, Finance and Stochastics24, 309-333.
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij, E.M.M. Winands (2019), Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment, Methodology and Computing in Applied Probability22, 927-948.
Shota Gugushvili, Frank van der Meulen, Moritz Schauer and Peter Spreij (2019), Bayesian wavelet de-noising with the caravan prior, ESAIM: Probability and Statistics23, 947-978.
Lorenzo Finesso and Peter Spreij (2019), Approximation of nonnegative systems by moving averages of fixed order, Automatica107, 1-8.
Shota Gugushvili, Frank van der Meulen, Moritz Schauer and Peter Spreij (2019), Nonparametric Bayesian volatility estimation, 2017 MATRIX Annals, Editors: David R. Wood, Jan de Gier, Cheryl E. Praeger, Terence Tao. MATRIX Book Series, Volume 2, Springer, 279-302 [pdf].
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij, E.M.M. Winands (2019), An optimization approach to adaptive multi-dimensional capital management, Insurance: Mathematics and Economics84, 87-97.
Michel Mandjes and Peter Spreij (2017), A note on the central limit theorem for the idleness process in a one-sided reflected Ornstein-Uhlenbeck model, Statistica Neerlandica71(3), 225-235.
Michel Mandjes and Peter Spreij (2016), Explicit computations for some Markov modulated counting processes, Advanced Modelling
in Mathematical Finance,
In Honour of Ernst Eberlein, Jan Kallsen and Antonis Papapantoleon Eds., Springer Proceedings in Mathematics & Statistics 189, 63-92.
Shota Gugushvili and Peter Spreij (2016), Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation, ESAIM: Probability and Statistics20, 143-153.
Gang Huang, Michel Mandjes, Peter Spreij (2014), Weak convergence of Markov-modulated diffusion processes with rapid switching, Statistics & Probability Letters86, 74-79.
A.J. van Es, P.J.C. Spreij, J.H. van Zanten (2011),
Nonparametric methods for volatility density estimation, Advanced Mathematical Methods for Finance, Chapter 11, 293-312 (Giulia di Nunno, Bernt Øksendal Eds., Springer).
L. Finesso, A. Grassi, and P. Spreij (2010),
Two-step nonnegative matrix factorization algorithm for the approximate realization of hidden Markov models,
Proceedings of the 19th International Symposium on
Mathematical Theory of Networks and Systems - MTNS 2010,
5-9 July, 2010, Budapest (A. Edelmayer ed.), 369-374.
André Klein and Peter Spreij (2009), Matrix differential
calculus applied to multiple stationary time series and an
extended Whittle formula for information matrices, Linear
Algebra and its Applications430(2-3), 674-691.
Matthijs van Veelen and Peter Spreij (2009), Evolution in games with a continuous action space, Economic Theory39, 355-376.
A. Lucas, P. Klaassen, P.J.C. Spreij and S. Straetmans (2003),
Tail behaviour of credit loss distributions for general latent
factor models, Applied Mathematical Finance10 (4),
337-357.
A. Klein and P.J.C. Spreij (2001),
On Stein's equation,
Vandermonde matrices and Fisher's information matrix of time
series processes. Part I: The autoregressive moving average
process, Linear Algebra and its Applications329(1-3),
9-47.
K. Dzhaparidze. P.J.C. Spreij and J.H. van Zanten (2000), Some
aspects of modeling and statistical inference for financial
models, Statistica Neerlandica54, 265-292.
P. Klaassen, A. Lucas, P. Spreij, S. Straetmans. (1999):
On the Distribution of Credit Losses of Corporate Bond and Loan Portfolios,
in: Financiering en Belegging 1999 (deel 22), Rotterdam, Erasmus Universiteit, 172-188.
P.J.C. Spreij (1996), A crash course in stochastic calculus with
applications to mathematical finance, CWI Quarterly
9, 357-388.
P.J.C. Spreij (1996), On Markov chains and filtrations (no wine
nor bottles), in `Frontiers in pure and applied probability
II', A.N. Shiryaev et al. eds, TVP Science Publishers, Moscow,
187-194.
K. Dzhaparidze and P.J.C. Spreij (1996), On optimality for
regular projective estimators for semimartingale models, part
III: One step improvements, Stochastics and Stochastics
Reports56, 63-74.
K. Dzhaparidze and P.J.C. Spreij (1994),
Spectral
characterization of the optional quadratic variation process,
Stoch. Proc. Applic.54, 165-174.
K. Dzhaparidze and P.J.C. Spreij (1994), On optimality of
regular projective estimators for semimartingale models, part II:
asymptotically linear estimators, Stochastics and Stochastics
Reports47, 247-268.
Denis Belomestny, Frank van der Meulen, Peter Spreij (2023),
Nonparametric Bayesian inference for stochastic processes with piecewise constant priors, arXiv:2305.07432.
Lorenzo Finesso, Peter Spreij (2023),
Synchronous Deautoconvolution of Positive Signals, arXiv:2302.12644.
Lorenzo Finesso, Peter Spreij (2021),
The inverse problem of positive autoconvolution, arXiv:2111.14430.
Chenyu Zhao, Misha van Beek, Peter Spreij, Makhtar Ba (2021),
Polynomial Approximation of Discounted Moments, arXiv:2111.00274.
Denis Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij (2021),
Weak solutions to gamma-driven stochastic differential equations, arXiv:2108.11891.
Shota Gugushvili, Peter Spreij (2013), A note on non-parametric Bayesian estimation for Poisson point processes,
Mathematics arXiv 1304.7353.
Peter Spreij, Enno Veerman (2010), The affine transform formula for affine diffusions with convex state space, Mathematics arXiv 1005.1099.
Peter Spreij, Enno Veerman (2008), Negative volatility for a 2-dimensional square root SDE, Mathematics arXiv 0807.1224.