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Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein–Uhlenbeck processes
16 references·0 citing·36 second hop
Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein–Uhlenbeck processes (2016)Asymptotic behaviour of parametric estima…Stochastic differential equations and applications (2008)Stochastic differential equat…Parameter Estimation in Stochastic Differential Equations (2007)Parameter Estimation in Stoch…On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…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…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…A Diffusion Approximation for a Markovian Queue with Reneging (2003)A Diffusion Approximation for…Statistical inference for diffusion type processes (1999)Statistical inference for dif…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…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)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Portfolio Selection with Transaction Costs (1990)Optimal Investment and Consumption with Transaction Costs (1994)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)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Zipf's Law for Cities: An Explanation (1999)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)No Single Currency Regime is Right for All Countries or At All Times (1999)The Economics of Exchange Rates (2003)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)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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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2008Stochastic differential equations and applications4,653 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,098 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1984Stochastic differential equations with reflecting boundary conditions819 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 1999Statistical inference for diffusion type processes307 cited
  • 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
  • 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options264 cited
  • 2007Parameter Estimation in Stochastic Differential Equations247 cited
  • 2003A Diffusion Approximation for a Markovian Queue with Reneging166 cited
  • 2005On the transition densities for reflected diffusions122 cited
  • 2005

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A Diffusion Approximation for a GI/GI/1 Queue with Balking or Reneging
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