Cited in
(98)- On a family of test statistics for discretely observed diffusion processes
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
- Clustering of discretely observed diffusion processes
- Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
- A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
- Adaptive test for ergodic diffusions plus noise
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- The effect of demographic and environmental variability on disease outbreak for a dengue model with a seasonally varying vector population
- Chaotic systems with asymmetric heavy-tailed noise: application to 3D attractors
- Markovian embedding procedures for non-Markovian stochastic Schrödinger equations
- Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
- More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package
- Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
- A robust nonparametric framework for reconstruction of stochastic differential equation models
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
- Parameter estimation for the stochastic SIS epidemic model
- scientific article; zbMATH DE number 6444916 (Why is no real title available?)
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Stochastic functional linear models and Malliavin calculus
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Nonparametric inference for diffusion processes in systems with smooth evolution
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Generalized moment estimation of stochastic differential equations
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- fptdApprox
- MATLAB Financial Toolbox
- fds
- RQuantLib
- YUIMA
- PSM
- bcp
- ftsa
- DiffProc
- DNAcopy
- Sim.DiffProc
- sos
- stochastic
- xSPDE
- nsROC
- dfoptim
- repeated
- rFUNTA
- dse
- HSROC
- timeROC
- MsdeParEst
- cusp
- sspir
- MULTIFAN-CL
- DDRK6N
- DDVSS6
- mixedsde
- fbroc
- SDE-MATH
- BayesEstDiffusion.jl
- Bridge.jl
- yuimaGUI
- wwntests
- Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
- Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
- Epidemic modeling: diffusion approximation vs. stochastic differential equations allowing reflection
- Statistical inference for dynamical systems: a review
- Variation-based tests for volatility misspecification
- Randomised mixture models for pricing kernels
- Creation and preservation of shocks in Linnik conservation laws
- A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
- Parametric estimation for planar random flights
- Stochastic modeling of stratospheric temperature
- Langevin diffusions on the torus: estimation and applications
- An angle-based multivariate functional pseudo-depth for shape outlier detection
- Estimation for the change point of volatility in a stochastic differential equation
- Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
- Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
- The wild bootstrap for multivariate Nelson-Aalen estimators
- Parameter estimation for non-stationary Fisher-Snedecor diffusion
- A note on convergence rate of a linearization method for the discretization of stochastic differential equations
- Local linear suppression for wireless sensor network data
- Stochasticity and cooperative hunting in predator-prey interactions
- pymle
- First order strong approximations of scalar SDEs defined in a domain
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Proportional stochastic generalized Lotka-Volterra model with an application to learning microbial community structures
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- A hybrid epidemic model to explore stochasticity in COVID-19 dynamics
- Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
- Parameter Estimation for Macroscopic Pedestrian Dynamics Models from Microscopic Data
- Stochastic cusp catastrophe model and its Bayesian computations
- Fast and precise inference on diffusivity in interacting particle systems
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