scientific article; zbMATH DE number 2069491

MaRDI QIDQ4463427zbMATH OpenFDO

Authors Jaime A. Londoño

Publication date 27 May 2004

Full work available at URL https://arxiv.org/abs/math/0305273

zbMATH Keywords

asymptotic normalityinterest rate modelsdiffusionsstochastic algorithmsdiscrete time samplingcontinuous time Markov processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(7)

• Parameters estimation using the first passage times method in a jump-diffusion model
• Generators of Feller semigroups with coefficients depending on parameters and optimal estimators
• Estimators for exit distributions of diffusion processes
• The least squares estimate of unknown parameters in recurrent procedures describing financial flows in a bank
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• A pathwise inference method for the parameters of diffusion terms
• scientific article; zbMATH DE number 3980296 (Why is no real title available?)

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