搜索结果: 1-9 共查到“数理统计学 Diffusion”相关记录9条 . 查询时间(0.051 秒)
Closed-form expansions of discretely monitored asian options in diffusion models
discretely monitored Asian options the CEV model the CIR process the Black-Scholes model the Brennan and Schwartz process small-time expansion
2016/1/20
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...
ASYMPTOTIC EQUIVALENCE OF ESTIMATING A POISSON INTENSITY AND A POSITIVE DIFFUSION DRIFT
ASYMPTOTIC EQUIVALENCE ESTIMATING A POISSON INTENSITY POSITIVE DIFFUSION DRIFT
2015/8/25
We consider a diffusion model of small variance type with positive drift density varying in a nonparametric set. We investigate Gaussian and Poisson approximations to this model in the sense of asympt...
Nonparametric Bayesian methods for one-dimensional diffusion models: an overview of recent developments
Nonparametric Bayesian methods one-dimensional diffusion models overview of recent developments
2012/11/23
In this paper we review recently developed methods for nonparametric Bayesian inference for one-dimensional diffusion models. We discuss different possible prior distributions, computational issues, a...
Kernel density estimation via diffusion and the complex exponentials approximation problem
condensed density random matrices parabolic PDE
2012/6/21
A kernel method is proposed to estimate the condensed density of the generalized eigenvalues of pencils of Hankel matrices whose elements have a joint noncentral Gaussian distribution with nonidentica...
Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
Minimum contrast estimators low frequency data high frequency data epidemic data
2012/6/21
We consider a multidimensional diffusion X with drift coefficient b({\alpha},X(t)) and diffusion coefficient {\epsilon}{\sigma}({\beta},X(t)). The diffusion is discretely observed at times t_k=k{\Delt...
Methods of exploring energy diffusion in lattices with finite temperature
lattices energy diffusion finite temperature
2011/7/7
We discuss two methods for exploring energy diffusion in lattices with finite temperature in this paper. The first one is the energy-kick (EK) method. To apply this method, one adds an external energy...
Lyapunov and diffusion timescales in the Solar neighborhood
Lyapunov times di usion times stellar dynamics
2010/12/28
We estimate the Lyapunov times (characteristic times of predictabil-ity of motion) in Quillen's (2003) set of models for the dynamics in the Solar neighborhood.
Reduction operators of variable coefficient semilinear diffusion equations with an exponential source
Exactly Solvable and Integrable Systems (nlin.SI) Mathematical Physics (math-ph)
2010/11/10
Reduction operators (called also nonclassical or $Q$-conditional symmetries) of variable coefficient semilinear reaction-diffusion equations with exponential source $f(x)u_t=(g(x)u_x)_x+h(x)e^{mu}$ ar...
Nonlinear diffusion model for Rayleigh-Taylor mixing
Nonlinear diffusion Rayleigh-Taylor mixing temperature profile numerical simulations
2010/4/1
The complex evolution of turbulent mixing in Rayleigh-Taylor convection is studied in terms of eddy diffusiviy models for the mean temperature profile. It is found that a non-linear model, derived wit...