Online kernel estimation of stationary stochastic diffusion models

DOI10.1080/14697688.2016.1262054MaRDI QIDQ4555126zbMATH OpenOpenAlexFDO

Authors Xin Wang

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1262054

zbMATH Keywords

online kernel estimationstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

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• Nonparametric Pricing of Interest Rate Derivative Securities
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Cited in

(2)

• Online Nonlinear Estimation via Iterative <inline-formula> <tex-math notation="LaTeX">$L^2$</tex-math> </inline-formula>-Space Projections: Reproducing Kernel of Subspace
• Online Covariance Matrix Estimation in Stochastic Gradient Descent

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