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Estimating the stationary distribution of a Markov chain

Athreya, Krishna B.; Majumdar, Mukul - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 729-742

Persistent link: https://www.econbiz.de/10001732965

Change of time and change of measure

Barndorff-Nielsen, Ole E.; Širjaev, Alʹbert N. - 2010

Persistent link: https://www.econbiz.de/10009237173

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

Diffusions, Markov processes, and martingales

Rogers, Leonard C. G.; Williams, David - 1979

Persistent link: https://www.econbiz.de/10000342900

New majorization theory in economics and martingale convergence results in econometrics

Ibragimov, Rustam - 2005

Persistent link: https://www.econbiz.de/10003553406

Testing the parametric specification of the diffusion function in a diffusion process

Li, Fuchun - 2005

Persistent link: https://www.econbiz.de/10003205504

Testing the parametric specification of the diffusion function in a diffusion process

Li, Fuchun - In: Econometric theory 23 (2007) 2, pp. 221-250

Persistent link: https://www.econbiz.de/10003429710

Some diffusion processes associated with two parameter Poisson-Dirichlet distribution and Dirichlet process

Feng, Shui; Sun, Wei - In: Probability theory and related fields : continuation of … 148 (2010) 3/4, pp. 501-525

Persistent link: https://www.econbiz.de/10008649938

Stationary distributions for diffusions with inert drift

Bass, Richard F.; Burdzy, Krzysztof; Chen, Zhen-qing; … - In: Probability theory and related fields : continuation of … 146 (2010) 1/2, pp. 1-47

Persistent link: https://www.econbiz.de/10003933881

Stochastic Areas of Diffusions and Applications in Risk Theory

Cui, Zhenyu - 2013

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...

Persistent link: https://www.econbiz.de/10013072263