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  • Search: subject:"Regular density"
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Subject
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Regular density 2 CIR process 1 Deconvolution operator 1 Estimation theory 1 Fourier multiplier theorem 1 Lévy process 1 Malliavin calculus 1 Mean Reversion 1 Mean reversion 1 Non-regular density 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 SPDE 1 Schätztheorie 1 Self-decomposable distribution 1 Sobolev estimate 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Wahrscheinlichkeitsrechnung 1 admissibility 1 boundary condition 1 conditional expectation 1 empirical limit 1 empirical measure 1 entropy loss 1 fast mean-reversion 1 fast mean-reverting asymptotics 1 generalized Bayes estimate 1 half-space 1 large portfolio limit 1 mean-reverting 1 ornstein-uhlenbeck 1 partial Malliavin calculus 1
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
Language
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Undetermined 2 English 1
Author
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Farsipour, N. 1 Kolliopoulos, Nikolaos 1 Trabs, Mathias 1
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Statistical Papers / Springer 1 Statistics & Probability Letters 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Kolliopoulos, Nikolaos - 2018
Persistent link: https://www.econbiz.de/10012386950
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On infinitely divisible distributions with polynomially decaying characteristic functions
Trabs, Mathias - In: Statistics & Probability Letters 94 (2014) C, pp. 56-62
We provide necessary and sufficient conditions on the characteristics of an infinitely divisible distribution under which its characteristic function φ decays polynomially. Under a mild regularity condition this polynomial decay is equivalent to 1/φ being a Fourier multiplier on Besov spaces.
Persistent link: https://www.econbiz.de/10011039933
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Admissibility of estimators in the non-regular family under entropy loss function
Farsipour, N. - In: Statistical Papers 44 (2003) 2, pp. 249-256
Persistent link: https://www.econbiz.de/10004970890
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