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Estimating discontinuous periodic signals in a non-time homogeneous diffusion process
diffusions inhomogeneity in time discontinuous signal periodicity limit theorems likelihood ratio processes
2010/3/19
We consider a diffusion (t)t0 with some T -periodic time dependent input term contained in the drift: under an unknown parameter # 2 , some discontinuity – an additional periodic signal – occurs at...
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。
SOME REMARKS ON THE MAXIMUM OF A ONE-DIMENSIONAL DIFFUSION PROCESS
Diffusion process Brownian motion firstcrossing time random time-change
2009/9/18
For a certain class of one-dimensional diffusions X(t); we
study the distribution of maxt2[0;T ] X(t) and the distribution of the first instant
at whichX(t) attains the maximum by reducingX(t) to Br...