Predicting integrals of diffusion processes with unknown diffusion parameters

DOI10.1080/17442500008834242MaRDI QIDQ4955495zbMATH OpenOpenAlexFDO

Authors Montserrat Fuentes

Publication date 2000

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500008834242

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Rate of convergence, degree of approximation (41A25)

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Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 3376602 (Why is no real title available?)
• An error analysis for the numerical calculation of certain random integrals. I
• Asymptotic properties of centered systematic sampling for predicting integrals of spatial processes
• Average-case analysis of numerical problems
• Change of support for diffusion-type random functions
• Designs for Regression Problems with Correlated Errors
• Efficient Monte Carlo simulation of security prices
• Estimation of the coefficients of a diffusion from discrete observations
• On estimating the diffusion coefficient
• On estimating the diffusion coefficient from discrete observations
• Predicting integrals of stochastic processes
• Spectral Analysis for Physical Applications
• Spline smoothing: The equivalent variable kernel method

Cited in

(2)

• Predicting integrals of diffusion processes
• Inference for Observations of Integrated Diffusion Processes

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• sapa

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