scientific article; zbMATH DE number 1924297

MaRDI QIDQ4706967zbMATH OpenFDO

Authors Markus Reiß

Publication date 4 June 2003

Full work available at URL http://dochost.rz.hu-berlin.de/dissertationen/reiss-markus-2002-02-13/

zbMATH Keywords

Galerkin projectionill-posed inverse problemsstochastic delay differential equationswavelets

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

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Cited in

(15)

• Maximum likelihood inference for univariate delay differential equation models with multiple delays
• Stochastic systems with memory and jumps
• Adaptive estimation for affine stochastic delay differential equations
• Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations
• Equilibrium pairs trading under delayed cointegration
• A simple estimator for discrete-time samples from affine stochastic delay differential equations
• Parameter estimation for the stochastic SIS epidemic model
• On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations
• Pairs trading under delayed cointegration
• Robust portfolio choice with sticky wages
• Optimal portfolio choice with path dependent labor income: the infinite horizon case
• A pricing formula for delayed claims: appreciating the past to value the future
• Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
• Wage rigidity and retirement in optimal portfolio choice
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay

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