scientific article; zbMATH DE number 3226563

From MaRDI portal
Publication:5514887

zbMath0139.34406MaRDI QIDQ5514887

Eugene Wong

Publication date: 1964


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Classical ergodicity and modern portfolio theoryMultivariate Jacobi process with application to smooth transitionsAnalytical approximation to the multidimensional Fokker–Planck equation with steady stateNonlinearity and temporal dependenceLong- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processesAnalysis of reflected diffusions via an exponential time-based transformationContrast estimation for noisy observations of diffusion processes via closed-form density expansionsCorrelation structure of fractional Pearson diffusionsThe moments of a diffusion processPolynomial diffusions and applications in financeLong-run growth rate in a random multiplicative modelAnalytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an intervalHeavy-tailed fractional Pearson diffusionsExplicit Expressions of the Hua--Pickrell SemigroupA transformation approach to modelling multi-modal diffusionsDiscretely monitored first passage problems and barrier options: an eigenfunction expansion approachMatrix calculations for moments of Markov processesOn the Kemeny time for continuous-time reversible and irreversible Markov processes with applications to stochastic resetting and to conditioning towards forever-survivalHigh-order approximation of Pearson diffusion processesExact solution of interacting particle systems related to random matricesOn a time-inhomogeneous diffusion process with discontinuous driftEfficiency of institutional spending and investment rulesPolynomial Jump-Diffusion ModelsPrediction-based estimating functions: review and new developmentsDensity approximations for multivariate affine jump-diffusion processesFractional Pearson diffusionsA Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-LineOn the transition densities for reflected diffusionsDiscrete Models for Scattering PopulationsPolynomial diffusions on compact quadric setsON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODELAn option pricing formula for the GARCH diffusion modelAnalytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an intervalPseudo-maximum likelihood estimation in two classes of semiparametric diffusion modelsPricing vulnerable claims in a Lévy-driven modelMarket sharing dynamics between two service providersA model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedbackNumerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficientsFirst order autoregressive Markov processesTime-non-local Pearson diffusionsLarge deviations for statistics of the Jacobi processSemi-nonparametric estimation and misspecification testing of diffusion modelsClosed-form formulas for conditional moments of inhomogeneous Pearson diffusion processesTime-dependent probability density function for general stochastic logistic population model with harvesting effortAsymptotics for the discrete-time average of the geometric Brownian motion and Asian optionsStochastic processes with orthogonal polynomial eigenfunctionsStatistical inference for reciprocal gamma diffusion processNonlinear principal components and long-run implications of multivariate diffusionsApproximating payoffs and pricing formulasSpectral methods for identifying scalar diffusionsSchur expansion of random-matrix reproducing kernelsBootstrap specification tests for diffusion processesMaximum likelihood estimation of time-inhomogeneous diffusions.