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Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations
12 references·1 citing·45 second hop
Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations (2014)Parameter estimation for reflected Ornste…Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations (2013)Parameter Estimation for Frac…Some integral functionals of reflected SDEs and their applications in finance (2010)Some integral functionals of …On the conditional default probability in a regulated market: a structural approach (2010)On the conditional default pr…Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (2010)Maximum likelihood estimation…Long time asymptotics for constrained diffusions in polyhedral domains (2006)Long time asymptotics for con…On the transition densities for reflected diffusions (2005)On the transition densities f…A Diffusion Approximation for a GI/GI/1 Queue with Balking or Reneging (2005)A Diffusion Approximation for…Properties of the Reflected Ornstein–Uhlenbeck Process (2003)Properties of the Reflected O…A Diffusion Approximation for a Markovian Queue with Reneging (2003)A Diffusion Approximation for…Euler scheme for reflected stochastic differential equations (1995)Euler scheme for reflected st…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes (2017)Asymptotic Behaviour of the T…Stochastic Modeling and the Theory of Queues (1989)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Efficiency-Driven Heavy-Traffic Approximations for Many-Server Queues with Abandonments (2004)Staffing a Call Center with Uncertain Arrival Rate and Absenteeism (2006)Optimal Leadtime Differentiation via Diffusion Approximations (2004)Brownian Motion and Stochastic Calculus (2007)Asymptotic analysis of queueing systems with reneging: A survey of results for FIFO, single class models (2011)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)The Malliavin Calculus and Related Topics (2006)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processes (2013)Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2016)Optimal rates for parameter estimation of stationary Gaussian processes (2018)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (2006)Numerical solution of stochastic differential equations (2016)Statistical Analysis of a Telephone Call Center (2005)Asymptotically Optimal Admission Control of a Queue with Impatient Customers (2008)Data-stories about (im)patient customers in tele-queues (2013)Journal of Industrial Engineering (2017)A Theory of the Term Structure of Interest Rates (1985)Handbook of Brownian Motion — Facts and Formulae (1996)A Random Walk on Rectangles Algorithm (2006)The calculation of expectations for classes of diffusion processes by Lie symmetry methods (2009)The Dynamics of Inequality (2016)Reflected Brownian Motion on an Orthant (1981)Open Queueing Networks in Heavy Traffic (1984)Stochastic Integration and Differential Equations (2005)Convergence rates for rank-based models with applications to portfolio theory (2012)Diffusion models and steady-state approximations for exponentially ergodic Markovian queues (2014)Triple and simultaneous collisions of competing Brownian particles (2015)Continuous Martingales and Brownian Motion (1991)Target Zones and Exchange Rate Dynamics (1991)Sequential maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (2011)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)
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References

  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 2003A Diffusion Approximation for a Markovian Queue with Reneging166 cited
  • 2005On the transition densities for reflected diffusions122 cited
  • 2005A Diffusion Approximation for a GI/GI/1 Queue with Balking or Reneging121 cited
  • 2003Properties of the Reflected Ornstein–Uhlenbeck Process117 cited
  • 1995Euler scheme for reflected stochastic differential equations89 cited
  • 2013Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations53 cited
  • 2010Some integral functionals of reflected SDEs and their applications in finance52 cited
  • 2006Long time asymptotics for constrained diffusions in polyhedral domains50 cited
  • 2010On the conditional default probability in a regulated market: a structural approach42 cited
  • 2010Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes35 cited

Cited by

  • 2017Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes28 cited

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