Search Results - subject:"diffusions"

On a class of singular stochastic control problems for reflected diffusions

Ferrari, Giorgio - 2017

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology … techniques employed are those of stochastic control and of the theory of linear diffusions. …

Persistent link: https://www.econbiz.de/10012042131

Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions

Choi, Seungmoon - School of Economics, University of Adelaide - 2011

-inhomogeneous diffusions in closed form. There are many empirical evidences supporting that the data generating process governing dynamics of …

Persistent link: https://www.econbiz.de/10009195423

Efficient estimation and filtering for multivariate jump-diffusions

Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10012619970

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Managing surges in online demand using bandwidth throttling : an optimal strategy amid the COVID-19 pandemic

Gupta, Varun; Perera, Sandun - In: Transportation research / E : an international journal 151 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012585834

Change of drift in one-dimensional diffusions

Desmettre, Sascha; Leobacher, Gunther; Rogers, Leonard C. G. - In: Finance and stochastics 25 (2021) 2, pp. 359-381

Persistent link: https://www.econbiz.de/10012499738

Controlled switching diffusions under ambiguity : the average criterion

Escobedo-Trujillo, Beatris A.; Higuera-Chan, Carmen G.; … - In: International game theory review 23 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013175830

Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions

Choi, Seungmoon - School of Economics, University of Adelaide - 2010

-inhomogeneous diffusions in closed form. There are many empirical evidences that the underlying data generating processes for many economic … multivariate time-homogeneous diffusions have been obtained by Ait-Sahalia (2008). This research is built on his work and extends …

Persistent link: https://www.econbiz.de/10008462903

SDEs with uniform distributions : peacocks, conic martingales and mean reverting uniform diffusions

Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric - 2016 - This version: December 9, 2016

Persistent link: https://www.econbiz.de/10011894452

Determinants of agricultural technology adoption under partial population awareness: the case of pigeonpea in Malawi

Simtowe, Franklin; Asfawd, Solomon; Abate, Tsedeke - In: Agricultural and Food Economics : AFE 4 (2016) 7, pp. 1-21

There is exhaustive literature on technology adoption rates and the relationship between technology adoption and relevant socioeconomic and policy variables. Yet adoption estimates derived from the application of standard techniques such as the probit and tobit yield biased estimates. This paper...

Persistent link: https://www.econbiz.de/10011455106