On local linear approximations to diffusion processes

On local linear approximations to diffusion processes

Diffusion models have been used extensively in many applications. These models, such as those used in the financial engineering, usually contain unknown parameters which we wish to determine. One way is to use the maximum likelihood method with discrete samplings to devise statistics for unknown par...

Descripció completa

Dades bibliogràfiques
Autors principals:	Duan, X, Qian, Z, Zheng, W
Format:	Journal article
Idioma:	English
Publicat:	2011

Ítems similars

On Local Linear Approximations to Diffusion Processes
per: X. L. Duan, et al.
Publicat: (2011-01-01)

Stability and Approximations of Symmetric Diffusion Semigroups and Kernels
per: Chen, Z, et al.
Publicat: (1998)

PHOTOGRAMMETRIC PROCESSING OF PLANETARY LINEAR PUSHBROOM IMAGES BASED ON APPROXIMATE ORTHOPHOTOS
per: X. Geng, et al.
Publicat: (2018-04-01)

Local Linear Approximation Algorithm for Neural Network
per: Mudong Zeng, et al.
Publicat: (2022-02-01)

Phase diffusion and the small-noise approximation in linear amplifiers: Limitations and beyond
per: Andy Chia, et al.
Publicat: (2019-11-01)

Automating approximate Bayesian computation by local linear regression
per: Thornton Kevin R
Publicat: (2009-07-01)

The non-locality of Markov chain approximations to two-dimensional diffusions
per: Reisinger, C
Publicat: (2016)

Linear operators and approximation = Lineare operatoren und approximation : proceedings /
per: Conference on Linear Operators and Approximation (1971 : Black Forest), et al.
Publicat: (1972)

Measurable functions approach for approximate solutions of Linear space-time-fractional diffusion problems
per: S. Soradi Zeid, et al.
Publicat: (2018-10-01)

Linear Approximate Groups
per: Breuillard, E, et al.
Publicat: (2010)

Approximate inverse preconditioners for linear systems arising from spatial balanced fractional diffusion equations
per: Xiaofeng Guo, et al.
Publicat: (2023-05-01)

Approximation process of a positive linear operator of hypergeometric type
per: Karsli Harun
Publicat: (2024-08-01)

Local approximation techniques in signal and image processing /
per: Katkovnik, V. IA. (Vladimir IAkovlevich), et al.
Publicat: (2006)

An approximate diffusion process for environmental stochasticity in infectious disease transmission modelling.
per: Sanmitra Ghosh, et al.
Publicat: (2023-05-01)

Stable linear approximations to dynamic programming for stochastic control problems with local transitions
Publicat: (2003)

A local stabilized approach for approximating the modified time-fractional diffusion problem arising in heat and mass transfer
per: O. Nikan, et al.
Publicat: (2021-09-01)

Approximate sparse linear regression
per: Har-Peled, S, et al.
Publicat: (2021)

Approximation by positive linear operators
per: Ioan Gavrea
Publicat: (1995-08-01)

Approximation by positive linear operators
per: Ioan Gavrea
Publicat: (1995-08-01)

Approximate subgroups of linear groups
per: Breuillard, E, et al.
Publicat: (2010)

Linear response for approximate inference
per: Welling, M, et al.
Publicat: (2004)

Approximate linear algebraic equations /
per: 317418 Kuperman, I. B.
Publicat: (1971)

Numerical linear approximation in C /
per: 406271 Abdelmalek, Nabih, et al.
Publicat: (2008)

Generalized inverses of linear operators : Representation and approximation /
per: 427468 Groetsch, C. W.
Publicat: (1977)

Convergence of linearized and adjoint approximations for discontinuous solutions of conservation laws. Part 1: Linearized approximations and linearized output functionals
per: Giles, M, et al.
Publicat: (2010)

Convergence of linearized and adjoint approximations for discontinuous solutions of conservation laws. Part 1: linearized approximations and linearized output functionals
per: Giles, M, et al.
Publicat: (2010)

Some Non-Local Population Models with Non-Linear Diffusion
per: Francisco Julio S.A. Corrêa, et al.
Publicat: (2010-06-01)

The Rough Linear Approximate Space and Soft Linear Space
per: Ma Yingcang, et al.
Publicat: (2016-04-01)

Correcting mean-field approximations for spatially-dependent advection-diffusion-reaction processes
per: Simpson, M, et al.
Publicat: (2011)

Nonlocal approximation of nonlinear diffusion equations
per: Carrillo, JA, et al.
Publicat: (2024)

Nonlocal approximation of nonlinear diffusion equations
per: Carrillo, JA, et al.
Publicat: (2024)

Diffusion approximation of neuronal models revisited
per: Jakub Cupera
Publicat: (2013-08-01)

Extending the diffusion approximation to the boundary using an integrated diffusion model
per: Chen Chen, et al.
Publicat: (2015-06-01)

APPROXIMATE FILTER FOR JUMP-DIFFUSION MODELS
per: K. A. Rybakov
Publicat: (2016-11-01)

Approximating the First Passage Time Density of Diffusion Processes with State-Dependent Jumps
per: Giuseppe D’Onofrio, et al.
Publicat: (2022-12-01)

Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
per: Yuliya Mishura
Publicat: (2015-01-01)

Approximations to precisely localized supports of solutions for non-linear parabolic p-Laplacian problems
per: Jeli Roqia Abdullah
Publicat: (2024-12-01)

A class of generalized best approximation problems in locally convex linear topological spaces
per: Hora Krishna Samanta
Publicat: (1997-01-01)

Approximate Solutions for Local Fractional Linear Transport Equations Arising in Fractal Porous Media
per: Meng Li, et al.
Publicat: (2014-01-01)

Local approximation properties of certain class of linear positive operators via I—convergence
per: Özarslan Mehmet, et al.
Publicat: (2008-06-01)