Pages that link to "Item:Q1203351"
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The following pages link to Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (Q1203351):
Displayed 50 items.
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations (Q261826) (← links)
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations (Q307401) (← links)
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (Q391568) (← links)
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises (Q466985) (← links)
- Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
- Least squares estimators for stochastic differential equations driven by small Lévy noises (Q529425) (← links)
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (Q731952) (← links)
- Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417) (← links)
- Heat trace asymptotics on equiregular sub-Riemannian manifolds (Q826462) (← links)
- A formula of small time expansion for Young SDE driven by fractional Brownian motion (Q893911) (← links)
- Contrast-based information criterion for ergodic diffusion processes from discrete observations (Q904080) (← links)
- Approximate martingale estimating functions for stochastic differential equations with small noises (Q947158) (← links)
- More higher-order efficiency: Concentration probability (Q1275420) (← links)
- On validity of the asymptotic expansion approach in contingent claim analysis (Q1425481) (← links)
- Statistical inference for stochastic differential equations with small noises (Q1724191) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- On penalized estimation for dynamical systems with small noise (Q1753155) (← links)
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property (Q1768100) (← links)
- Hybrid estimators for small diffusion processes based on reduced data (Q1785794) (← links)
- Partial mixing and Edgeworth expansion (Q1885365) (← links)
- Non asymptotic expansions of the MME in the case of Poisson observations (Q2082565) (← links)
- Momentum-space approach to asymptotic expansion for stochastic filtering (Q2434137) (← links)
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
- Conditional expansions and their applications. (Q2574589) (← links)
- Small time chaos approximations for heat kernels of multidimensional diffusions (Q2684440) (← links)
- Asymptotic expansion and estimates of Wiener functionals (Q2685905) (← links)
- NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME (Q2853382) (← links)
- Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
- ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (Q3067762) (← links)
- A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus (Q3194571) (← links)
- Improved local approximation for multidimensional diffusions: The G-rates (Q3386926) (← links)
- Hypotheses testing for a multidimensional parameter of inhomogeneous Poisson processes (Q3396457) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
- General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (Q4585895) (← links)
- A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD (Q4649507) (← links)
- On Threshold Choice in Hypothesis Testing for Dynamical Systems with Small Noise (Q4921640) (← links)
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
- (Q5011456) (← links)
- Parameter estimation of stochastic differential equation driven by small fractional noise (Q5095847) (← links)
- A chaos expansion approach under hybrid volatility models (Q5247273) (← links)
- SHORT TIME FULL ASYMPTOTIC EXPANSION OF HYPOELLIPTIC HEAT KERNEL AT THE CUT LOCUS (Q5280254) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- Estimation of intrinsic growth factors in a class of stochastic population model (Q5378410) (← links)
- Malliavin calculus and martingale expansion (Q5956288) (← links)
- High order asymptotic expansion for Wiener functionals (Q6048984) (← links)
- Total variation bound for Milstein scheme without iterated integrals (Q6073726) (← links)
