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Continuous time finance
6
Control of stochastic systems
4
Continuous time
3
American style derivative securities
2
Applied mathematical finance
2
Continuous time dynamic finance
2
Continuous time random walk
2
Continuous-time Markov chains
2
Option pricing
2
Pricing of derivatives securities
2
1) process
1
Almost sure convergence
1
Applications to credit risk
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Continuous time asymmetric power GARCH(1
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Continuous-time Durbin–Watson statistic
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Crosby, John
2
Bartiromo, Rosario
1
Bercu, Bernard
1
Bladt, Mogens
1
Bretó, Carles
1
Carmona, Rene
1
Carr, Peter
1
Chen, Zhenlong
1
Chiu, Chun Hung
1
Dehay, D.
1
Didi, Sultana
1
El Waled, K.
1
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1
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1
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1
Korolev, V. Yu.
1
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1
Lee, Oesook
1
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1
Louani, Djamal
1
Ludkovski, Michael
1
Marinelli, Carlo
1
Meerschaert, Mark M.
1
Molchanov, Ilya
1
Nane, Erkan
1
Paris, Francesco
1
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1
Platen, Eckhard
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1
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1
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1
Savy, Nicolas
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Sircar, Ronnie
1
SØrensen, Michael
1
Veraart, Luitgard
1
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Quantitative Finance
Statistics & Probability Letters
Physica A: Statistical Mechanics and its Applications
33
CESifo Working Paper
17
European journal of operational research : EJOR
16
Journal of economic dynamics & control
13
MPRA Paper
13
CESifo Working Paper Series
11
Computational Statistics
11
Journal of economic theory
11
Mathematical Methods of Operations Research
11
Working Paper
11
Journal of econometrics
10
Dynamic games and applications : DGA
9
Statistical Inference for Stochastic Processes
9
CESifo working papers
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Insurance / Mathematics & economics
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Cowles Foundation Discussion Papers
7
Economic Theory
7
Finance
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Games and economic behavior
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International Journal of Theoretical and Applied Finance (IJTAF)
7
International journal of theoretical and applied finance
7
Journal of empirical finance
7
Journal of mathematical economics
7
CEPR Discussion Papers
6
CREATES Research Papers
6
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Discussion Paper
6
European Journal of Operational Research
6
IZA Discussion Papers
6
Stochastic Processes and their Applications
6
Annals of finance
5
CIRANO Working Papers
5
International journal of production research
5
Journal of economic behavior & organization : JEBO
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Mathematics and Computers in Simulation (MATCOM)
5
Mathematics of operations research
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RePEc
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1
Multifractional Poisson process, multistable subordinator and related limit theorems
Molchanov, Ilya
;
Ralchenko, Kostiantyn
- In:
Statistics & Probability Letters
96
(
2015
)
C
,
pp. 95-101
establish the convergence of a
continuous-time
random walk to the multifractional Poisson process. …
Persistent link: https://www.econbiz.de/10011115950
Saved in:
2
Generalized
continuous
time
random walks and Hermite processes
Chen, Zhenlong
;
Xu, Lin
;
Zhu, Dongjin
- In:
Statistics & Probability Letters
99
(
2015
)
C
,
pp. 44-53
Generalized
continuous
time
random walks with independent, heavy-tailed random waiting times and long range dependent …
Persistent link: https://www.econbiz.de/10011208330
Saved in:
3
On Ornstein–Uhlenbeck driven by Ornstein–Uhlenbeck processes
Bercu, Bernard
;
Proïa, Frédéric
;
Savy, Nicolas
- In:
Statistics & Probability Letters
85
(
2014
)
C
,
pp. 36-44
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein–Uhlenbeck processes driven by Ornstein–Uhlenbeck processes.
Persistent link: https://www.econbiz.de/10011040019
Saved in:
4
On perturbation bounds for
continuous-time
Markov chains
Zeifman, A.I.
;
Korolev, V. Yu.
- In:
Statistics & Probability Letters
88
(
2014
)
C
,
pp. 66-72
total variation. Two important classes of
continuous-time
Markov chains are considered for which it is possible to obtain …
Persistent link: https://www.econbiz.de/10011040081
Saved in:
5
Fractal dimension results for
continuous
time
random walks
Meerschaert, Mark M.
;
Nane, Erkan
;
Xiao, Yimin
- In:
Statistics & Probability Letters
83
(
2013
)
4
,
pp. 1083-1093
Continuous
time
random walks impose random waiting times between particle jumps. This paper computes the fractal …
Persistent link: https://www.econbiz.de/10010662339
Saved in:
6
Consistency results for the kernel density estimate on
continuous
time
stationary and dependent data
Didi, Sultana
;
Louani, Djamal
- In:
Statistics & Probability Letters
83
(
2013
)
4
,
pp. 1262-1270
The aim of this paper is to study the consistency of the kernel density estimator pertaining to a
continuous
time
…
Persistent link: https://www.econbiz.de/10011039913
Saved in:
7
Nonparametric estimation problem for a time-periodic signal in a periodic noise
Dehay, D.
;
El Waled, K.
- In:
Statistics & Probability Letters
83
(
2013
)
2
,
pp. 608-615
In this paper we construct a kernel estimator of a periodic signal when the observation follows the model dζt=f(t)dt+σ(t)dWt, where f,σ:R→R are continuous periodic and {Wt,t≥0} is a Brownian motion. We state its consistency as well as the asymptotic normality.
Persistent link: https://www.econbiz.de/10011040129
Saved in:
8
V-uniform ergodicity of a
continuous
time
asymmetric power GARCH(1,1) model
Lee, Oesook
- In:
Statistics & Probability Letters
82
(
2012
)
4
,
pp. 812-817
A
continuous
time
asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of …
Persistent link: https://www.econbiz.de/10011039808
Saved in:
9
On the infinitesimal dispersion of multivariate Markov counting systems
Bretó, Carles
- In:
Statistics & Probability Letters
82
(
2012
)
4
,
pp. 720-725
We provide a multivariate extension of a recent result for univariate Markov counting processes: necessity and sufficiency of compoundness for infinitesimal over-dispersion. As an illustration, we show that infinitesimally over-dispersed epidemiological SIR-type compartment models must rely on...
Persistent link: https://www.econbiz.de/10011039903
Saved in:
10
The premium of dynamic trading
Chiu, Chun Hung
;
Zhou, Xun Yu
- In:
Quantitative Finance
11
(
2011
)
1
,
pp. 115-123
paper, it is shown that, in a
continuous-time
market where the risky prices are described by Ito processes and the …
Persistent link: https://www.econbiz.de/10009208312
Saved in:
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