搜索结果: 1-15 共查到“diffusions”相关记录48条 . 查询时间(0.078 秒)
Strong law of large number of a class of super-diffusions
Spatial autoregression Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima
2016/1/19
Strong law of large number of a class of super-diffusions.
Probability on Groups: Random Walks and Invariant Diffusions
Invariant Diffusions Random Walks
2015/8/26
What do card shuffling, volume
growth, and Harnack inequalities
have to do with each other? They all
arise in the study of random walks
on groups. Probability on groups is
concerned with probabil...
EXIT TIMES OF DIFFUSIONS WITH INCOMPRESSIBLE DRIFTS
EXIT TIMES DIFFUSIONS INCOMPRESSIBLE DRIFTS
2015/7/14
Let Ω ⊂ Rn be a bounded domain and for x ∈ Ω let τ(x) be the expected exit time from Ω of a diffusing particle starting at x and advected by an incompressible flow u. We are in...
Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions
Global optimization average-case complexity diffusion processes
2015/7/8
This paper is concerned with the analysis of the average error in approximating the global minimum of a 1-dimensional, time-homogeneous diffusion by non-adaptive methods. We derive the limiting distri...
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Wronskian distribution random time
2012/9/14
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
Minimum contrast estimators low frequency data high frequency data epidemic data
2012/6/21
We consider a multidimensional diffusion X with drift coefficient b({\alpha},X(t)) and diffusion coefficient {\epsilon}{\sigma}({\beta},X(t)). The diffusion is discretely observed at times t_k=k{\Delt...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
class of diffusions distribution random time Probability
2012/6/19
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
Stationarity-based specification tests for diffusions when the process is nonstationary
Stationarity-based specification tests diffusions when the process nonstationary
2014/3/13
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
Importance Sampling for Multiscale Diffusions
importance sampling Monte Carlo homogenization multiscale rough energy landscape
2011/9/21
Abstract: We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these probl...
Branching diffusions in random environment
Branching process random environment diffusion approximation Laplace transform survival probability backbone construction
2011/9/6
Abstract: We consider the diffusion approximation of branching processes in random environment (BPREs). This diffusion approximation is similar to and mathematically more tractable than BPREs. We obta...
Small Noise Asymptotics for Invariant Densities for a Class of Diffusions: A Control Theoretic View (with Erratum)
diffusions invariant density small noise limit Hamilton-Jacobi equation viscosity solution
2011/9/2
Abstract: The uniqueness argument in the proof of Theorem 5, p. 483, of "Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view, J. Math. Anal. and Appl. (...
Trends to equilibrium for a class of relativistic diffusions
Relativisic diffusions Relativistic Ornstein-Uhlenbeck process Equilibrium measure
2011/7/28
Abstract: We address the question of the trends to equilibrium for a large class C of relativistic diffusions. We show the existence of a spectral gap using the Lyapounov method and deduce the exponen...
Markov chain Monte Carlo for exact inference for diffusions
Exact inference Exact simulation Markov chain Monte Carlo Stochastic differential equa-tion Transition density
2011/3/25
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting dist...