Spectral methods for identifying scalar diffusions

DOI10.1016/S0304-4076(97)00107-3zbMath0962.62094MaRDI QIDQ1298435

Nizar Touzi, Lars Peter Hansen, José Alexandre Scheinkman

Publication date: 19 June 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

identification; diffusion; spectral decomposition; embeddability; finance; continuous-time models

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M99: Inference from stochastic processes

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

62G99: Nonparametric inference

47N30: Applications of operator theory in probability theory and statistics

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Cites Work

• Semigroups of linear operators and applications to partial differential equations
• Spectral theory of ordinary differential operators
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• Nonparametric Pricing of Interest Rate Derivative Securities
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