Parameter estimation for forward Kolmogorov equation with application to nonlinear exchange rate dynamics

DOI10.1002/pamm.200510347zbMath1391.35375OpenAlexW2035962345MaRDI QIDQ3177104

Simon Jäger, Ekaterina Kostina

Publication date: 26 July 2018

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200510347

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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