A necessary characteristic equation of diffusion processes having Gaussian marginals
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Publication:417176
DOI10.1155/2012/598590zbMATH Open1241.60039OpenAlexW2150424771WikidataQ58695652 ScholiaQ58695652MaRDI QIDQ417176FDOQ417176
Authors: Syeda Rabab Mudakkar 
Publication date: 14 May 2012
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/598590
Recommendations
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Simplified estimating functions for diffusion models with a high-dimensional parameter
- Diffusion-type models with given marginal distribution and autocorrelation function
- Title not available (Why is that?)
- Making Markov martingales meet marginals: With explicit constructions
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- Nonparametric Pricing of Interest Rate Derivative Securities
- A family of non-Gaussian martingales with Gaussian marginals
Cited In (5)
- Construction of peculiar diffusion process having Gaussian marginals
- On Dupire formula and diffusion with given marginals
- A diffusion equation for the density of the ratio of two jointly distributed Gaussian variables and the exponential analysis problem
- Multivariate partial differential equation describing the evolution of a Gaussian process
- Title not available (Why is that?)
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