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Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581671
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Unbiased Monte Carlo Simulation of Diffusion Processes
Paulot, Louis - 2016
Monte Carlo scheme which converges to the exact value. We manage to keep the simulation variance finite in all cases, so … that the strong law of large numbers guarantees the convergence. Moreover, the simulation noise is a decreasing function of …
Persistent link: https://www.econbiz.de/10012992773
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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Seemingly unrelated regression equation systems under diffuse stochastic prior information : a recursive analytical approach
Steel, Mark F. J. - 1988
Persistent link: https://www.econbiz.de/10000782853
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Diffusions, Markov processes, and martingales
Rogers, Leonard C. G.; Williams, David - 1979
Persistent link: https://www.econbiz.de/10000342900
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Testing the parametric specification of the diffusion function in a diffusion process
Li, Fuchun - In: Econometric theory 23 (2007) 2, pp. 221-250
Persistent link: https://www.econbiz.de/10003429710
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Some diffusion processes associated with two parameter Poisson-Dirichlet distribution and Dirichlet process
Feng, Shui; Sun, Wei - In: Probability theory and related fields 148 (2010) 3/4, pp. 501-525
Persistent link: https://www.econbiz.de/10008649938
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Testing diffusion processes for non-stationarity
Hamrick, Jeff; Taqqu, Murad S. - In: Mathematical methods of operations research 69 (2009) 3, pp. 509-551
Persistent link: https://www.econbiz.de/10003858276
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A stochastic approach to diffusion model with asymmetric influence
Suzuki, Naomichi; Tanaka, Masatoshi; Kasai, Kazuhiro; … - In: International journal of manufacturing technology and … 22 (2011) 1, pp. 78-92
Persistent link: https://www.econbiz.de/10008987177
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Knowledge diffusion processes : theoretical and empirical considerations
Klarl, Torben - 2011
Persistent link: https://www.econbiz.de/10008990348