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Search: subject:"branching diffusion"
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Branching diffusion
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Maximum likelihood estimators
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branching diffusion
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credit valuation adjustment
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mixed local-nonlocal partial differential equations (PDFs)
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nonlinear jumps
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Belak, Christoph
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Fujii, Masaaki
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Asia-Pacific financial markets
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Statistical Inference for Stochastic Processes
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The journal of computational finance
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ECONIS (ZBW)
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Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
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2
Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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3
Asymptotic behavior of maximum likelihood estimators in a
branching
diffusion
model
Hernandez, Janko
;
Olivares, Pablo
;
Escobar, Marcos
- In:
Statistical Inference for Stochastic Processes
12
(
2009
)
2
,
pp. 115-137
Persistent link: https://www.econbiz.de/10005004377
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