Found 75 Documents (Results 1–75)
Nearly unstable integer-valued ARCH process and unit root testing. (English) Zbl 07819235
MSC:
62-XX
Approximating inverse cumulative distribution functions to produce approximate random variables. (English) Zbl 07910041
MSC:
65-XX
Sticky Feller diffusions. (English) Zbl 1517.60101
Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes. (English) Zbl 1543.60072
Reviewer: Martin Ondreját (Praha)
Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations. (English) Zbl 07585023
MSC:
62-XX
Fast maximum likelihood estimation of parameters for square root and Bessel processes. (English) Zbl 07679730
Exact inference for a class of hidden Markov models on general state spaces. (English) Zbl 1471.62449
Reviewer: Mikhail P. Moklyachuk (Kyïv)
Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations. (English) Zbl 1467.62162
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (English) Zbl 1461.91326
MSC:
91G30
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. (English) Zbl 1508.91554
Optimising dividends and consumption under an exponential CIR as a discount factor. (English) Zbl 1454.91180
Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process. (English) Zbl 1452.62204
Theory Probab. Appl. 65, No. 3, 454-469 (2020) and Teor. Veroyatn. Primen. 65, No. 3, 583-601 (2020).
An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility. (English) Zbl 1448.91308
Reviewer: George Stoica (Saint John)
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (English) Zbl 1440.62316
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. (English) Zbl 1425.91401
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Fractional Cox-Ingersoll-Ross process with small Hurst indices. (English) Zbl 1454.60053
Reviewer: David Nualart (Lawrence)
Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. (English. Ukrainian original) Zbl 1409.60061
Theory Probab. Math. Stat. 97, 167-182 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 157-170 (2017).
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (English) Zbl 1433.60074
Jump-diffusion Cox-Ingersoll-Ross model. (Chinese. English summary) Zbl 1413.91117
MSC:
91G30
60J75
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. (English) Zbl 1390.60307
Strong convergence rates for Cox-Ingersoll-Ross processes – full parameter range. (English) Zbl 1388.60117
Optimal strong approximation of the one-dimensional squared Bessel process. (English) Zbl 1453.65018
Strong approximation of a Cox-Ingersoll-Ross process via approximation of the minimum of Brownian motion. (English) Zbl 1378.60006
Berichte aus der Mathematik. Aachen: Shaker Verlag; Kaiserslautern: TU Kaiserslautern, Fachbereich Mathematik (Diss.) (ISBN 978-3-8440-5243-5/pbk). vi, 114 p. (2017).
Reviewer: Oleg K. Zakusilo (Kyïv)
Uniform approximation of the Cox-Ingersoll-Ross process via exact simulation at random times. (English) Zbl 1362.65016
Reviewer: Melvin D. Lax (Long Beach)
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process. (English) Zbl 1354.60078
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (English) Zbl 1351.60046
Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. (English) Zbl 1352.60050
A stable Cox-Ingersoll-Ross model with restart. (English) Zbl 1355.60113
Reviewer: Valery V. Karachik (Chelyabinsk)
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals. (English) Zbl 1357.60086
Uniform approximation of the Cox-Ingersoll-Ross process. (English) Zbl 1335.65011
Reviewer: Melvin D. Lax (Long Beach)
Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002
Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015).
Reviewer: Heinrich Hering (Rockenberg)
Time-changed CIR default intensities with two-sided mean-reverting jumps. (English) Zbl 1291.91225
Reviewer: Pavel Stoynov (Sofia)
Exact and high-order discretization schemes for Wishart processes and their affine extensions. (English) Zbl 1269.65003
Reviewer: Grigori N. Milstein (Yekaterinburg)
Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims. (English) Zbl 1311.60100
Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies. (English) Zbl 1259.91057
MSC:
91B30
60H30
Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae. (English) Zbl 1262.60076
Reviewer: Wolfgang Freudenberg (Cottbus)
Practical estimation of high dimensional stochastic differential mixed-effects models. (English) Zbl 1328.65014
Convergence of reward functionals in a reselling model for a European option. (English. Russian original) Zbl 1252.60064
Theory Probab. Math. Stat. 83, 135-148 (2011); translation from Teor. Jmovirn. Mat. Stat. 83, 113-124 (2010).
Reviewer: Nikita E. Ratanov (Bogotá)
Asymptotic behavior of unstable INAR(\(p\)) processes. (English) Zbl 1241.62122
Reviewer: Mikhail P. Moklyachuk (Kyïv)
On the Heston model with stochastic interest rates. (English) Zbl 1229.91338
Reviewer: Krzysztof Piasecki (Poznań)
Modeling the term structure of interest rates: a review of the literature. (English) Zbl 1214.91001
Reviewer: C. L. Parihar (Indore)
Exact simulation of Bessel diffusions. (English) Zbl 1206.65026
MSC:
65C50
High order discretization schemes for the CIR process: application to affine term structure and heston models. (English) Zbl 1198.60030
Approximation of SEDs by population-size-dependent Galton-Watson processes. (English) Zbl 1190.60048
Reviewer: Nicolas Perkowski (Berlin)
Malliavin differentiability of the Heston volatility and applications to option pricing. (English) Zbl 1137.91422
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes. (English) Zbl 1119.60031
Reviewer: Zdzisław Rychlik (Lublin)
On the discretization schemes for the CIR (and Bessel squared) processes. (English) Zbl 1100.65007
Reviewer: Vigirdas Mackevičius (Vilnius)
Concentration of the Brownian bridge on Cartan-Hadamard manifolds with pinched negative sectional curvature. (English) Zbl 1075.58019
Reviewer: Jacques Franchi (Strasbourg)
Inference for observations on integrated diffusion processes. (English) Zbl 1062.62157
Reviewer: R. E. Maiboroda (Kyïv)
Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process. (English) Zbl 1059.62013
Reviewer: Neculai Curteanu (Iaşi)
Modeling private equity funds and private equity collateralised fund obligations. (English) Zbl 1107.91349
MSC:
91B28
Maximal inequalities for CIR processes. (English) Zbl 1056.60080
Reviewer: Pavel Gapeev (Moskva)
Simulated likelihood approximation for stochastic volatility models. (English) Zbl 1053.62090
Reviewer: N. M. Zinchenko (Kyïv)
Squared Bessel processes and their applications to the square root interest rate model. (English) Zbl 1034.60074
Reviewer: Yuliya S. Mishura (Kyïv)
Optimality and small \(\Delta\)-optimality of martingale estimating functions. (English) Zbl 1007.62069
Simplified estimating functions for diffusion models with a high-dimensional parameter. (English) Zbl 0973.60071
Reviewer: A.V.Swishchuk (Kyïv)
Simple and explicit estimating functions for a discretely observed diffusion process. (English) Zbl 0940.62074
Reviewer: R.E.Maiboroda (Kyïv)
Extremal behavior of diffusion models in finance. (English) Zbl 0931.60036
Reviewer: A.V.Swishchuk (Kyïv)
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