scientific article; zbMATH DE number 1546925
From MaRDI portal
Publication:4522401
Cited in
(only showing first 100 items - show all)- A simulation approach to optimal stopping under partial information
- Modèles de Markov triplet et filtrage de Kalman (Triplet Markov models and Kalman filtering)
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
- Classical and restricted impulse control for the exchange rate under a stochastic trend model
- Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
- Existence of linear strategy equilibrium in insider trading with partial observations
- Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- A common value experimentation with multiarmed bandits
- Stable and efficient cubature rules by metaheuristic optimization with application to Kalman filtering
- On the consistent filtering of convergent semimartingales
- Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Market selection with learning and catching up with the Joneses
- Small ball probabilities for the infinite-dimensional Ornstein-Uhlenbeck process in Sobolev spaces
- Dynamic portfolio selection with mispricing and model ambiguity
- Simultaneous testing of change-point location and of a regular parameter by Poisson observations
- Optimal control for a linear quadratic problem with a stochastic time scale
- EM algorithm for stochastic hybrid systems
- How to test that a given process is an Ornstein-Uhlenbeck process
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Insider trading with a random deadline under partial observations: maximal principle method
- Asset pricing under smooth ambiguity in continuous time
- Recovering the Eulerian energy spectrum from noisy Lagrangian tracers
- Linear Bayesian equilibrium in insider trading with a random time under partial observations
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
- Stabilization and tracking of the trajectory of a linear system with jump drift
- Asset allocation for a DC pension plan with learning about stock return predictability
- The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
- Optimal linear and quadratic estimators for tracking from distance measurements
- No arbitrage in continuous financial markets
- Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- On smooth change-point location estimation for Poisson processes
- Least squares estimation for path-distribution dependent stochastic differential equations
- Macroscopic limit of a bipartite Curie-Weiss model: a dynamical approach
- Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- On the stability of matrix-valued Riccati diffusions
- Drift estimation for stochastic reaction-diffusion systems
- On approximation of BSDE and multi-step MLE-processes
- Sequential fixed accuracy estimation for nonstationary autoregressive processes
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
- Noisy Lagrangian tracers for filtering random rotating compressible flows
- Bayesian prediction for stochastic processes: theory and applications
- Estimation of the evolution of a random set
- Parameter estimation for multiscale diffusions
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- Predicting the cloud patterns for the boreal summer intraseasonal oscillation through a low-order stochastic model
- The Borell-Ehrhard game
- On conditional least squares estimation for affine diffusions based on continuous time observations
- Convergence of densities of some functionals of Gaussian processes
- Large deviations for optimal filtering with fractional Brownian motion
- On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
- Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
- Parameter estimation for a subcritical affine two factor model
- A note on the CIR process and the existence of equivalent martingale measures
- The standard Poisson disorder problem revisited
- Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
- Consumption and asset allocation with information learning and capital gains tax
- State distributions and minimum relative entropy noise sequences in uncertain stochastic systems: the discrete-time case
- From empirical observations to tree models for stochastic optimization: convergence properties
- Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- Change detection in the Cox-Ingersoll-Ross model
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Estimation in threshold autoregressive models with correlated innovations
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- First passage densities and boundary crossing probabilities for diffusion processes
- Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- Conditional default probability and density
- On the pricing of perpetual American compound options
- Pricing of volume-weighted average options: analytical approximations and numerical results
- A phase-space formulation and Gaussian approximation of the filtering equations for nonlinear quantum stochastic systems
- On the minimax optimality of the CUSUM statistic in disorder problems for Brownian motion
- On some functionals of the first passage times in models with switching stochastic volatility
- Kyle-Back equilibrium models and linear conditional mean-field SDEs
- Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions
- Asymptotic analysis for affine point processes with large initial intensity
- Bayesian sequential testing problem for a Brownian bridge
- Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process
- A note on chaotic and predictable representations for Itô-Markov additive processes
- Stochastic differential equations with generalized stochastic volatility and statistical estimators
- Optimal estimation via nonanticipative rate distortion function and applications to time-varying Gauss-Markov processes
- Hidden persistent disasters and asset prices
- Portfolio management with stochastic interest rates and inflation ambiguity
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4522401)
