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Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

Persistent link: https://www.econbiz.de/10000992277

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent...

Persistent link: https://www.econbiz.de/10009578018

Estimation par la distance minimale pour un processus de type diffusion avec retards

Kutoyants, Yu. A. - In: Publications de l'Institut de Statistique de … 38 (1994) 2, pp. 3-18

Persistent link: https://www.econbiz.de/10001165298

Minimum distance estimation for diffusion random fields

Kutoyants, Yu. A. - In: Publications de l'Institut de Statistique de … 39 (1995) 3, pp. 3-20

Persistent link: https://www.econbiz.de/10001196440

Markovian short rates in a forward rate model with a general class of Lévy processes

Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919022

On integrals with respect to Lévy processes

Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919126

Strong discrete time approximation of stochastic differential equations with time delay

Küchler, Uwe; Platen, Eckhard - 1999

Persistent link: https://www.econbiz.de/10001404962

Coherent risk measures, valuation bounds, and (m, r)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

Persistent link: https://www.econbiz.de/10001425817

On stationary solutions of delay differential equations driven by a Lévy process

Gushchin, Alexander A.; Küchler, Uwe - 1998

Persistent link: https://www.econbiz.de/10000998087

On sequential parameter estimation for some linear stochastic diffential equations with time delay

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 1998

Persistent link: https://www.econbiz.de/10000998119

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