Nadaraya-Watson estimators for reflected stochastic processes
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Cites work
- A diffusion approximation for a GI/GI/1 queue with balking or reneging
- A diffusion approximation for a Markovian queue with reneging
- Brownian models of performance and control
- Drift parameter estimation for a reflected fractional Brownian motion based on its local time
- Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
- Euler scheme for reflected stochastic differential equations
- First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
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- scientific article; zbMATH DE number 3222478 (Why is no real title available?)
- Level set and drift estimation from a reflected Brownian motion with drift
- Long time asymptotics for constrained diffusions in polyhedral domains
- Markov chains and stochastic stability
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- Multi-dimensional reflected backward stochastic differential equations and the comparison theorem
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Nonparametric estimation in fractional SDE
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
- Nonparametric inference for fractional diffusion
- On the conditional default probability in a regulated market: a structural approach
- On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
- Optimal pricing barriers in a regulated market using reflected diffusion processes
- Parameter estimation for generalized diffusion processes with reflected boundary
- Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
- Properties of the reflected Ornstein-Uhlenbeck process
- Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- Some integral functionals of reflected SDEs and their applications in finance
- Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
- Stochastic differential equations with reflecting boundary conditions
- Stochastic-Process Limits
- Variable bandwidth and local linear regression smoothers
Cited in
(4)- Local linear estimators for reflected diffusions
- Parameter estimation for Cox-Ingersoll-Ross process with two-sided reflections
- Nonlinear least squares estimator for generalized diffusion processes with reflecting barriers
- Parameters estimation of continuous-time bilinear processes with a reflected boundary
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