搜索结果: 1-11 共查到“Ornstein-Uhlenbeck processes”相关记录11条 . 查询时间(0.076 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...
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Time-Changed Ornstein-Uhlenbeck Processes Commodity Derivative Models Pricing of Securities
2012/4/28
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-...
Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions
stability common quadratic Lyapunov function Lyapunov function piecewise OU process multi-server queues customer abandonment
2011/9/8
Abstract: We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion...
Fractional Lévy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
fractional integral equation fractional Levy process fractional Levy–Ornstein–Uhlenbeck process long-range dependence p-variation Riemann–Stieltjes integration stationary solution to a fractional SDE stochastic diff erential equation
2011/3/18
Using Riemann-Stieltjes methods for integrators of bounded $p$-variation we define a pathwise integral driven by a fractional L\'{e}vy process (FLP). To explicitly solve general fractional stochastic ...
Well-balanced Levy Driven Ornstein-Uhlenbeck Processes
semimartingale Ornstein-Uhlenbeck process Levy process in nitely divisible distribution
2011/1/18
In this paper we introduce the well-balanced Levy driven Ornstein-Uhlenbeck process as a moving average process of the form Xt = R exp(jtuj)dLu.
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
continuous-time GARCH process extreme value theory generalizedOrnstein–Uhlenbeck process integrated generalized Ornstein–Uhlenbeck process
2010/3/10
We consider a positive stationary generalized Ornstein–Uhlenbeck process
Vt = e−tZ t0es− ds + V0 for t 0,and the increments of the integrated generalized Ornstein–Uhlenbeck process...
Equivalence of distrubutions of some Ornstein-Uhlenbeck processes taking values in Hilbert space
Equivalence of distrubutions some Ornstein-Uhlenbeck processes Hilbert space
2009/9/23
Sufficient conditions for equivalence of distributions in
LZ(O,T , H) of two Ornstein-Uhlenbeck processes taking values in
a Hilbert space H are given. The Girsanov theorem and some facts in
the th...
RoSINSKI EASURES FOR TEMPERED STABLE AND RELATED ORNSTEIN-UHLENBECK PROCESSES
Tempered stable distributions Ornstein-Uhlenbeck and Ltvy processes Truncated Lbvy Flights
2009/9/18
Several concrete parametric classes of tempered stable
distributions are discussed in terms of explicit calculations of their
Rosihki measures. The hope is that they will provide a family of
concre...
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...
Parameter estimation for fractional Ornstein-Uhlenbeck processes
Parameter estimation fractional Ornstein-Uhlenbeck processes
2010/3/17
We study a least squares estimator bT for the Ornstein-Uhlenbeck
process, dXt = Xtdt+dBHt , driven by fractional Brownian motion BH
with Hurst parameter H 12 . We prove the strong consistence o...
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
utility function optimal investment strategy self-financing complete market risk-neutral measure Brownian motion Ornstein-Uhlenbeck
2010/10/29
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the ...