Some notes about inference for the lognormal diffusion process with exogenous factors

DOI10.3390/MATH6050085zbMATH Open1524.62393OpenAlexW2803461219MaRDI QIDQ6161972FDOQ6161972

Authors: P. Román-Román, J. J. Serrano-Pérez, F. Torres-Ruiz 

Publication date: 15 June 2023

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/math6050085

Recommendations

• Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors
• A new inhomogeneous lognormal diffusion process with exogenous factors in the diffusion coefficient
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• scientific article; zbMATH DE number 2112230
• APPROXIMATING THE NONHOMOGENEOUS LOGNORMAL DIFFUSION PROCESS VIA POLYNOMIAL EXOGENOUS FACTORS

zbMATH Keywords

maximum likelihood estimationasymptotic distributiongrowth curvesexogenous factorslognormal diffusion process

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25) Diffusion processes (60J60)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The pricing of options and corporate liabilities
• Option pricing when underlying stock returns are discontinuous
• A new Gompertz-type diffusion process with application to random growth
• Estimating the parameters of a Gompertz-type diffusion process by means of simulated annealing
• Financial Derivatives in Theory and Practice
• A diffusion process to model generalized von Bertalanffy growth patterns: fitting to real data
• A stochastic model related to the Richards-type growth curve. Estimation by means of simulated annealing and variable neighborhood search
• Title not available (Why is that?)
• A non-autonomous stochastic predator-prey model
• SOME TIME RANDOM VARIABLES RELATED TO A GOMPERTZ-TYPE DIFFUSION PROCESS
• Inference for Diffusion Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors
• On two diffusion neuronal models with multiplicative noise: the mean first-passage time properties
• The Hubbert diffusion process: Estimation via simulated annealing and variable neighborhood search procedures—application to forecasting peak oil production
• APPROXIMATING THE NONHOMOGENEOUS LOGNORMAL DIFFUSION PROCESS VIA POLYNOMIAL EXOGENOUS FACTORS

Cited In (8)

• Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics
• Comparative analysis of phenomenological growth models applied to epidemic outbreaks
• A Bertalanffy-Richards growth model perturbed by a time-dependent pattern, statistical analysis and applications
• Hyperbolastic type-III diffusion process: obtaining from the generalized Weibull diffusion process
• Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean
• Title not available (Why is that?)
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process

This page was built for publication: Some notes about inference for the lognormal diffusion process with exogenous factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6161972)