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We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
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 ...
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A...
Among various mathematical frameworks, multidimensional continuous-time Markov jump processes $(Z_t)$ on $\N^d$ form a natural set-up for modeling $SIR$-like epidemics. In this study we extend the res...
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
The recently introduced two-parameter infinitely-many neutral alleles model extends the celebrated one-parameter version, related to Kingman's distribution, to diffusive two-parameter Poisson-Dirichle...
Robust visual tracking for long video sequences is a research area that has many important applications. The main challenges include how the target image can be modeled and how this model can be updat...
Epidemic diffusion on a graph is a dynamic process that transitions simultaneously to all of a node's neighbors, in contrast to a random walk, which selects only a single neighbor. Epidemic diffusion ...
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalit...
Pitman-Yor Diffusion Trees     Pitman-Yor  Diffusion Trees       2011/7/5
We introduce the Pitman Yor Diffusion Tree (PYDT) for hierarchical clustering, a generalization of the Dirichlet Diffusion Tree (Neal, 2001) which removes the restriction to binary branching structure...
It is shown that the density of the ratio of two Gaussian random variables with the same variance satisfies a non stationary diffusion equation. Implications of this result for kernel density estimati...

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