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Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals
Method of moments parameter estimation Markov process
2015/7/6
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymp...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Wronskian distribution random time
2012/9/14
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
class of diffusions distribution random time Probability
2012/6/19
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion...
Reflected generalized BSDEs with random time and applications
BSDEs random time applications
2010/11/19
In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consi...
Horizontal visibility graphs: exact results for random time series
Horizontal visibility graphs random time series
2010/4/2
The visibility algorithm has been recently introduced as a mapping between time series and complex networks. This procedure allows to apply methods of complex network theory for characterizing time se...
Y, where X and Y are non-negative random variables. We establish a number of stochastic comparison properties for XY under various assumptions of X and Y. Under the assump.