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  • Search: subject:"Small noise asymptotics"
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Subject
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Small noise asymptotics 2 Stochastic process 2 Stochastischer Prozess 2 Asymptotic robustness of Jump-Test 1 Bayesian estimator 1 Börsenkurs 1 Constrained diffusions 1 Continuous-time processes 1 Coupling 1 Electronic trading 1 Elektronisches Handelssystem 1 Estimation theory 1 Exit time 1 Exponential leveling 1 Financial econometrics 1 Financial market 1 Finanzmarkt 1 Finanzmarktökonometrie 1 High-frequency financial data 1 Intermittency 1 Invariant measures 1 Jumps 1 Langevin equation on sphere 1 Laplace method 1 Large deviations 1 Lyapunov functions 1 Mean exit time 1 Metastable states 1 Micro-market noise 1 Noise Trading 1 Noise trading 1 Polyhedral domains 1 Pseudo-atom 1 Quasi-potential 1 Quasi-stationary distributions 1 Schock 1 Schätztheorie 1 Share price 1 Shock 1 Skorokhod problem 1
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Article 4
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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Avrachenkov, Konstantin 1 Biswas, Anup 1 Borkar, Vivek S. 1 Budhiraja, Amarjit 1 Gland, François Le 1 Joannides, Marc 1 Kunitomo, Naoto 1 Kurisu, Daisuke 1
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Published in...
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Asia-Pacific financial markets 1 Dynamic games and applications : DGA 1 Statistical Inference for Stochastic Processes 1 Stochastic Processes and their Applications 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Metastability in stochastic replicator dynamics
Avrachenkov, Konstantin; Borkar, Vivek S. - In: Dynamic games and applications : DGA 9 (2019) 2, pp. 366-390
Persistent link: https://www.econbiz.de/10012225431
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Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto; Kurisu, Daisuke - In: Asia-Pacific financial markets 24 (2017) 1, pp. 39-73
Persistent link: https://www.econbiz.de/10011742284
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Exit time and invariant measure asymptotics for small noise constrained diffusions
Biswas, Anup; Budhiraja, Amarjit - In: Stochastic Processes and their Applications 121 (2011) 5, pp. 899-924
Constrained diffusions, with diffusion matrix scaled by small ϵ0, in a convex polyhedral cone G⊂Rk, are considered. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are studied. Let B⊂G be a bounded domain. Under...
Persistent link: https://www.econbiz.de/10011065124
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Small Noise Asymptotics of the Bayesian Estimator in Nonidentifiable Models
Joannides, Marc; Gland, François Le - In: Statistical Inference for Stochastic Processes 5 (2002) 1, pp. 95-130
Persistent link: https://www.econbiz.de/10005616043
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