Search Results - subject:"Random fields"

Credit risk with infinite dimensional Lévy processes

Özkan, Fehmi; Schmidt, Thorsten - In: Statistics & Decisions 23 (2005) 4, pp. 281-299

Summary The forward rate curve is assumed to follow a stochastic differential equation w.r.t. a Lévy process with infinite dimensions. Conditions under which the market is free of arbitrage are provided for both the interest rate case and for the case of credit risk with ratings. A simulation...

Persistent link: https://www.econbiz.de/10014621311

Stochastic games for distributed players on graphs

Chornei, Ruslan K.; Daduna, Hans; Knopov, Pavel S. - In: Mathematical Methods of Operations Research 60 (2004) 2, pp. 279-298

We introduce the concept of locally acting distributed players into sequential stochastic games with general compact state and action spaces. The state transition function for the system is of local structure as well and this results in Markov properties in space and time for the describing...

Persistent link: https://www.econbiz.de/10010949942

Nonparametric Spatial Prediction

Biau, Gérard; Cadre, Benoît - In: Statistical Inference for Stochastic Processes 7 (2004) 3, pp. 327-349

Persistent link: https://www.econbiz.de/10005616069

Stochastic games for distributed players on graphs

Chornei, Ruslan K.; Daduna, Hans; Knopov, Pavel S. - In: Computational Statistics 60 (2004) 2, pp. 279-298

Persistent link: https://www.econbiz.de/10010759146

A Strong Invariance Principle for Associated Random Fields

Balan, R.M. - Départment des sciences administratives, Université … - 2003

rate of convergence in the CLT for associated random fields. …

Persistent link: https://www.econbiz.de/10005773130

Parameter Estimation for Stochastic Parabolic Equations: Asymptotic Properties of a Two-Dimensional Projection-Based Estimator

Lototsky, S. - In: Statistical Inference for Stochastic Processes 6 (2003) 1, pp. 65-87

Persistent link: https://www.econbiz.de/10005184570

Numerical Simulation of the Term Structure of Interest Rates using a Random Field

McDonald, Stuart; Beard, Rodney - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537696

Relative Asymptotic Efficiency of the Maximum Pseudolikelihood Estimate for Gauss–Markov Random Fields

Janžura, Martin; Boček, Pavel - In: Statistical Inference for Stochastic Processes 5 (2002) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10005616022

Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers

Evstigneev, I. V.; Taksar, M. I. - In: Mathematical Methods of Operations Research 54 (2001) 2, pp. 217-237

The paper analyzes stochastic optimization problems involving random fields on infinite directed graphs. The primary …

Persistent link: https://www.econbiz.de/10010999879

Bayesian Semiparametric Regression Analysis of Multicategorical Time-Space Data

Fahrmeir, Ludwig; Lang, Stefan - In: Annals of the Institute of Statistical Mathematics 53 (2001) 1, pp. 11-30

Persistent link: https://www.econbiz.de/10005616256