Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
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Publication:2174174
DOI10.1007/s10436-019-00355-yzbMath1437.91441arXiv1911.08412OpenAlexW3100756721MaRDI QIDQ2174174
Publication date: 20 April 2020
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.08412
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (4)
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters ⋮ Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging ⋮ Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection ⋮ Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
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