Papers and preprints

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Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control
Denis Belomestny, Leonid Iosipoi, Quentin Paris, and Nikita Zhivotovskiy
Bernoulli, 28:2, 1382–1407, 2022
[pdf], [arXiv]

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Fourier transform MCMC, heavy tailed distributions and geometric ergodicity
Denis Belomestny and Leonid Iosipoi
Mathematics and Computers in Simulation, 181, 351–363, 2021
[pdf], [arXiv]

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Variance reduction for dependent sequences with applications to Stochastic Gradient MCMC
Denis Belomestny, Leonid Iosipoi, Eric Moulines, Alexey Naumov, and Sergey Samsonov
SIAM/ASA Journal on Uncertainty Quantification, 9:2, 507–535, 2021
[pdf], [arXiv]

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Variance reduction for Markov chains with application to MCMC
Denis Belomestny, Leonid Iosipoi, Eric Moulines, Alexey Naumov, and Sergey Samsonov
Statistics and Computing, 30:4, 973–997, 2020
[pdf], [arXiv]

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Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization
Denis Belomestny, Leonid Iosipoi, and Nikita Zhivotovskiy
Doklady Mathematics, 98:2, 494–497, 2018
[Springer]

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