Search Results - subject:"drift and diffusion coefficients"

Analysis of price fluctuations in futures exchange markets

Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2823-2830

the Fokker–Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these …

Persistent link: https://www.econbiz.de/10010872528

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokoiny, Vladimir G. - 1998

We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the...

Persistent link: https://www.econbiz.de/10010309898

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 1998

Persistent link: https://www.econbiz.de/10010956607

A Langevin equation for the rates of currency exchange based on the Markov analysis

Farahpour, F.; Eskandari, Z.; Bahraminasab, A.; Jafari, G.R. - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 2, pp. 601-608

fluctuations in the rates. The equation contains two quantities, D(1) and D(2), representing the drift and diffusion coefficients …

Persistent link: https://www.econbiz.de/10010591556

On Estimating a Dynamic Function of a Stochastic System with Averaging

Liptser, R.; Spokoiny, V. - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 225-249

Persistent link: https://www.econbiz.de/10005391507