搜索结果: 1-15 共查到“Diffusion processes”相关记录28条 . 查询时间(0.125 秒)
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
Asymptotic expansion Asymptotic normality Consistency Dis- crete time observation Maximum likelihood estimation
2016/1/19
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A...
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Central Limit Theorems Large Deviations Additive Functionals Reflecting Diffusion Processes
2015/7/6
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting disions in which the functional may include a term associated with t...
Approximation of epidemic models by diffusion processes and their statistical inference
Approximation epidemic models diffusion processes their statistical inference
2013/6/14
Among various mathematical frameworks, multidimensional continuous-time Markov jump processes $(Z_t)$ on $\N^d$ form a natural set-up for modeling $SIR$-like epidemics. In this study we extend the res...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
We discuss utility based pricing and hedging of jump di usion pro-
cesses with emphasis on the practical applicability of the framework. We
point out two diculties that seem to limit this applicabi...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
2011/7/25
Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hi...
Non-additive disorder problems for some diffusion processes
parabolic-type free-boundary problem a change-of-variable formula with local time on surfaces
2010/10/19
We study the Bayesian problem of detecting a change in the drift rate of an observable diffusion process with certain non-additive detection delay penalty criterions. We express the Bayesian risk func...
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
High dimension high frequency integrated covariance matrix
2010/10/20
We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data. We start by studying the most commonly used estimator, the realized ...
Adaptive LASSO-type estimation for ergodic diffusion processes
discretely observed diffusion processes model selection oracle proper-ties random fields stochastic differential equations
2010/3/10
The LASSO is a widely used statistical methodology for simultaneous estimation
and variable selection. In the last years, many authors analyzed this technique from
a theoretical and applied point of...
Harnack's inequalities for Dirichlet forms and their applications to diffusion processes
Harnack's inequalities Dirichlet forms applications to diffusion processes
2009/9/24
Harnack's inequalities for Dirichlet forms and their applications to diffusion processes。
On some properties of one-dimensional diffusion processes on an interval
some properties one-dimensional diffusion processes interval
2009/9/22
Some equations are obtained for the moments of the
first passage time of a one-dimensional time-homogeneous diffusion
process, through each of two accessible boundaries cr and fl, given that
the pr...
On first-passage times for one-dimensional jump-diffusion processes
Jump-diffusion process exit probability first-crossing time
2009/9/22
Some problems of first-crossing times over two time-
-dependent boundaries lor one-dimensional jump-difiusion processes
are considered. The moments of the first-crossing times over each
boundary ar...