Pages that link to "Item:Q4188539"

The following pages link to The joint density of the maximum and its location for a Wiener process with drift (Q4188539):

Displaying 49 items.

• The effect of long-range dependence on change-point estimators (Q135915) (← links)
• Change-point model selection via AIC (Q498057) (← links)
• Adaptive approximation of the minimum of Brownian motion (Q511112) (← links)
• A factorisation of diffusion measure and finite sample path constructions (Q937166) (← links)
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes (Q1002156) (← links)
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives (Q1007505) (← links)
• A discrete analogue and elementary derivation of 'Levy's equivalence' for Brownian motion (Q1051993) (← links)
• Alternative growth versus security in continuous dynamic trading (Q1127199) (← links)
• A model of sequential investment (Q1128530) (← links)
• A conditional limit law result on the location of the maximum of Brownian motion (Q1185545) (← links)
• Optimal trading of stock options under alternative strategy (Q1206118) (← links)
• A note on portfolio optimization with path-dependent utility (Q1313142) (← links)
• An algorithm for evaluating the number of controls in trigger--target models (Q1351918) (← links)
• Annuities with controlled random interest rates. (Q1413394) (← links)
• Limit theorems for kernel-type estimators for the time of change (Q1582358) (← links)
• Location of the path supremum for self-similar processes with stationary increments (Q1633929) (← links)
• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion (Q1643756) (← links)
• Information criterion for Gaussian change-point model (Q1779681) (← links)
• The likelihood ratio method for testing changes in the parameters of double exponential observations (Q1869130) (← links)
• Lower bound on complexity of optimization of continuous functions (Q1888381) (← links)
• Euler scheme for reflected stochastic differential equations (Q1897665) (← links)
• Time and place of the maximum for one-dimensional diffusion bridges and meanders (Q2039761) (← links)
• The value of the high, low and close in the estimation of Brownian motion (Q2040943) (← links)
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\) (Q2082686) (← links)
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression (Q2135277) (← links)
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process (Q2136630) (← links)
• On capital allocation for a risk measure derived from ruin theory (Q2138618) (← links)
• On a first hit distribution of the running maximum of Brownian motion (Q2145826) (← links)
• On a Poissonian change-point model with variable jump size (Q2350911) (← links)
• Consistency of a myopic Bayesian algorithm for one-dimensional global optimization (Q2366971) (← links)
• A lower bound on complexity of optimization on the Wiener space (Q2383590) (← links)
• Invasion and adaptive evolution for individual-based spatially structured populations (Q2460416) (← links)
• A note on the asymptotic distribution of the maximum likelihood estimator in a non-regular case (Q2467716) (← links)
• A general class of cumulative damage models for materials failure (Q2500640) (← links)
• Simulation of extremes of diffusions (Q3086525) (← links)
• Stochastic Methods for Global Optimization (Q3220103) (← links)
• Exponential models, brownian motion, and independence (Q3833411) (← links)
• Estimators for the Time of Change in Linear Models (Q4344164) (← links)
• A factorization of a Lévy process over a phase-type horizon (Q4634188) (← links)
• A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data (Q4647284) (← links)
• Generating stochastic trajectories with global dynamical constraints (Q5020017) (← links)
• Generating constrained run-and-tumble trajectories (Q5877831) (← links)
• A stationary model of non-intersecting directed polymers (Q5879200) (← links)
• Time-to-build and capacity choice (Q5958788) (← links)
• Lower bound for the expected supremum of fractional brownian motion using coupling (Q6148873) (← links)
• Elastic drifted Brownian motions and non-local boundary conditions (Q6186386) (← links)
• New penalty in information criteria for the ARCH sequence with structural changes (Q6548868) (← links)
• Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
• Joint distribution of the supremum and the moment of its attainment by a Poisson process with linear drift (Q6633333) (← links)