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Parameter estimation for semilinear SPDEs from local measurements
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Parameter estimation for semilinear SPDEs from local measurements (2023)Parameter estimation for semilinear SPDEs…Nonparametric estimation for linear SPDEs from local measurements (2021)Nonparametric estimation for …High-frequency analysis of parabolic stochastic PDEs (2020)High-frequency analysis of pa…Drift estimation for discretely sampled SPDEs (2020)Drift estimation for discrete…Volatility estimation for stochastic PDEs using high-frequency observations (2019)Volatility estimation for sto…A note on parameter estimation for discretely sampled SPDEs (2019)A note on parameter estimatio…Statistical inference for SPDEs: an overview (2018)Statistical inference for SPD…Stochastic Partial Differential Equations: An Introduction (2015)Stochastic Partial Differenti…An Introduction to Computational Stochastic PDEs (2014)An Introduction to Computatio…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH (2005)MODELING TERM STRUCTURE DYNAM…Theory of Martingales (1989)Theory of MartingalesA continuous time approach to the pricing of bonds (1979)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Towards a general theory of bond markets (1997)A characterization of hedging portfolios for interest rate contingent claims (2004)Exponential moments for HJM models with jumps (2007)An introduction to stochastic partial differential equations (2006)Discretization of Processes (2011)Parameter estimation for SPDEs based on discrete observations in time and space (2021)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Stochastic Partial Differential Equations (2007)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)The Malliavin Calculus and Related Topics (1995)On Central Limit Theorems for Power Variations of the Solution to the Stochastic Heat Equation (2019)Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)Parameter Estimation in Stochastic Differential Equations (2007)Parametric estimation for a parabolic linear SPDE model based on discrete observations (2020)Digital simulation of random processes and its applications (1972)Stochastic Finite Elements: A Spectral Approach (1991)The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)A Fast Polynomial Chaos Expansion for Uncertainty Quantification in Stochastic Electromagnetic Problems (2019)Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields (2019)The statistical finite element method (statFEM) for coherent synthesis of observation data and model predictions (2020)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions (2020)Strong convergence order for slow–fast McKean–Vlasov stochastic differential equations (2021)Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs (2022)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1989Theory of Martingales956 cited
  • 2014An Introduction to Computational Stochastic PDEs544 cited
  • 2015Stochastic Partial Differential Equations: An Introduction541 cited
  • 2005MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH86 cited
  • 2018Statistical inference for SPDEs: an overview79 cited
  • 2019A note on parameter estimation for discretely sampled SPDEs50 cited
  • 2019Volatility estimation for stochastic PDEs using high-frequency observations48 cited
  • 2020High-frequency analysis of parabolic stochastic PDEs47 cited
  • 2020Drift estimation for discretely sampled SPDEs35 cited
  • 2021Nonparametric estimation for linear SPDEs from local measurements32 cited

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