The problem of reconstructing the drift of a diffusion in , d[greater-or-equal, slanted]2, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of parabolic partial differential equations. This...

For purposes of Value-at-Risk estimation, we consider three multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different tail thickness. After a discussion of...