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Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes
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Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes (2012)Sequential maximum likelihood estimation …Sequential maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (2011)Sequential maximum likelihood…Some integral functionals of reflected SDEs and their applications in finance (2010)Some integral functionals of …Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (2010)Maximum likelihood estimation…On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…Loss Rates for Lévy Processes with Two Reflecting Barriers (2007)Loss Rates for Lévy Processes…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Drift rate control of a Brownian processing system (2005)Drift rate control of a Brown…Drift rate control of a Brownian processing system (2005)Drift rate control of a Brown…Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Exit problems for spectrally …Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Statistical inference for diffusion type processes (1999)Statistical inference for dif…Euler scheme for reflected stochastic differential equations (1995)Euler scheme for reflected st…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes (2016)On drift parameter estimation…Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein–Uhlenbeck processes (2016)Asymptotic behaviour of param…Stochastic Differential Equations and Applications (1976)Semimartingales (1982)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling and Forecasting Realized Volatility (2003)Stochastic Differential Equations (2006)Stochastic differential equations with reflecting boundary conditions (1984)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Stochastic Integration and Differential Equations : A New Approach (2014)An introduction to mathematical risk theory (1979)Applied Probability and Queues (1987)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Some solvable stochastic control problemst† (1980)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Dynamic Control of a Queue with Adjustable Service Rate (2001)Dynamic Volunteer Staffing in Multicrop Gleaning Operations (2019)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Portfolio Selection with Transaction Costs (1990)Zipf's Law for Cities: An Explanation (1999)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A Benchmark Approach to Quantitative Finance (2006)Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Statistical aspects of the fractional stochastic calculus (2007)
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  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
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  • 1995Euler scheme for reflected stochastic differential equations89 cited
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  • 2010Some integral functionals of reflected SDEs and their applications in finance52 cited
  • 2010Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes35 cited
  • 2011Sequential maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes29 cited

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Cited by

  • 2016On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes15 cited
  • 2016Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein–Uhlenbeck processes15 cited