Search Results - subject:"Diffusion-type process"

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks 7 (2019) 3, pp. 1-15

diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before … an independent exponential random time. It is assumed that the coefficients of the diffusion-type process are regular …

Persistent link: https://www.econbiz.de/10013200505

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks : open access journal 7 (2019) 3/87, pp. 1-15

Persistent link: https://www.econbiz.de/10012126486

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yuri A. - 1998

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent...

Persistent link: https://www.econbiz.de/10010309855

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yuri A. - Sonderforschungsbereich 373, Quantifikation und … - 1998

Persistent link: https://www.econbiz.de/10010983577