搜索结果: 1-14 共查到“管理学 drift”相关记录14条 . 查询时间(0.049 秒)
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
The maximum likelihood drift estimator for mixed fractional Brownian motion
mixed fractional Brownian motion maximum likelihood estimator large sample asymptotic
2012/9/18
The paper is concerned with the maximum likelihood estimator (MLE) of the unknown drift parameterθ∈Rin the continuous-time regression model Xt =θt+Bt +BHt,t ∈[0, T] whereBt is the Brownian motion and ...
A Random Walk with Drift: Interview with Peter J. Bickel
Random Walk Interview Peter J. Bickel
2011/7/5
I met Peter J. Bickel for the first time in 1981. He came to Jerusalem for a year; I had just started working on my Ph.D. studies.
Random walks with random indices and negative drift conditioned to stay positive
Random walks with random indices negative drift stay positive
2009/9/24
Random walks with random indices and negative drift conditioned to stay positive。
First hitting times and positions of concentric spheres for testing the drift of a diffusion process
First hitting times positions of concentric spheres a diffusion process
2009/9/23
First hitting times and positions of concentric spheres for testing the drift of a diffusion process。
Pursuing the earlier work of Emery [I], Meyer [2], [3]
and the author [4] it is shown that Akma martingales starting from
a varying initial point on the line constitute an Evans-Hudson flow in
the ...
BACKWARD STOCHASTIC NONLINEAR VOILTERRA INTEGRAL EQUATIONS WITH LOCAL LTPSCHITZ DRIFT
Backward stochastic differential equation Volterra integral equation adapted proms
2009/9/18
In this paper, we study backward stochastic nonlinear
Volterra integral equations. Under a local Lipschitz continuity condition
on the drift, we prove the existence and uniqueness result. We
also e...
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Ornstein-Uhlenbeck processes stable process drift coefficient matrix estimation consistency asymptotic efficiency
2009/9/16
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the c...
Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Gaussian random walk maximum Riemann zeta function Euler-Maclaurin summation equidistant sampling of Brownian motion finite horizon
2009/4/29
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its s...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariantmeasures stochastic evolution equationsin Hilbert spaces
2009/4/22
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form
dU(t) = (AU(t) + f) dt + B dWH(t),
governed by the generator A of...
Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Brownian motion finite horizon
2009/4/22
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its s...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariant measures stochastic problems existence
2009/4/1
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form dU(t) = (AU(t) + f) dt + B dWH(t),governed by the generator A of an asympto...
Dynamical properties and characterization of gradient drift diffusions
Dynamical properties gradient drift diffusions
2009/3/31
We study the dynamical properties of the Brownian diffusions having σ Id as diffusion coefficient matrix and b=∇U as drift vector. We characterize this class through the equality D+2=D-2, where ...
A relation between dimension of the harmonic measure，entropy and drift for a random walk on a hyperbolic space
harmonic measure entropy drift hyperbolic space
2009/3/19
We establish in this paper an exact formula which links the dimension of the harmonic measure, the asymptotic entropy and the rate of escape for a random walk on a discrete subgroup of the isometry gr...