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Simulation and inference for stochastic differential equations : with R examples

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Option pricing and estimation of financial models with R

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Statistic analysis of stochastic resonance with ergodic diffusion noise

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Statistical analysis of the inhomogeneous telegrapher's process

Iacus, Stefano Maria - 2001

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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations

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Ifsm Representation of Brownian Motion with Applications to Simulation

Iacus, Stefano Maria - 2006

Several methods are currently available to simulate paths of the Brownian motion. In particular, paths of the BM can be simulated using the properties of the increments of the process like in the Euler scheme, or as the limit of a random walk or via L2 decomposition like the...

Persistent link: https://www.econbiz.de/10012734697