Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes (Q2475266): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Monte Carlo simulation of security prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood Inference for Discretely Observed Nonlinear Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations* / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm / rank
 
Normal rank

Latest revision as of 18:49, 27 June 2024

scientific article
Language Label Description Also known as
English
Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
scientific article

    Statements

    Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes (English)
    0 references
    0 references
    0 references
    11 March 2008
    0 references
    0 references
    diffusion process
    0 references
    transition density
    0 references
    Monte Carlo
    0 references
    0 references