Academic literature on the topic 'Ergodic Diffusion Processe'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Ergodic Diffusion Processe.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Ergodic Diffusion Processe"

1

Corradi, Valentina. "Comovements Between Diffusion Processes." Econometric Theory 13, no. 5 (1997): 646–66. http://dx.doi.org/10.1017/s0266466600006113.

Full text
Abstract:
The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if X = (X1,,X2,;t ≥ 0) is a nonergodic diffusion in R2, but there exists a linear combination, say, γ′X, that is instead ergodic in R, then we say there exists a linear stochastic comovement between the components of X. Linear diffusions exhibiting stochastic comovements admit an error correction representation. Estimation of γ and hypothesis testing, under different sampling schemes, are considered.
APA, Harvard, Vancouver, ISO, and other styles
2

Kamarianakis, Yiannis. "Ergodic control of diffusion processes." Journal of Applied Statistics 40, no. 4 (2013): 921–22. http://dx.doi.org/10.1080/02664763.2012.750440.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Wong, Bernard. "On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications." Journal of Applied Mathematics and Stochastic Analysis 2009 (September 23, 2009): 1–16. http://dx.doi.org/10.1155/2009/215817.

Full text
Abstract:
We investigate the arbitrage-free property of stock price models where the local martingale component is based on an ergodic diffusion with a specified stationary distribution. These models are particularly useful for long horizon asset-liability management as they allow the modelling of long term stock returns with heavy tail ergodic diffusions, with tractable, time homogeneous dynamics, and which moreover admit a complete financial market, leading to unique pricing and hedging strategies. Unfortunately the standard specifications of these models in literature admit arbitrage opportunities. W
APA, Harvard, Vancouver, ISO, and other styles
4

Swishchuk, Anatoliy, and M. Shafiqul Islam. "Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas." International Journal of Stochastic Analysis 2010 (December 19, 2010): 1–21. http://dx.doi.org/10.1155/2010/347105.

Full text
Abstract:
We consider the geometric Markov renewal processes as a model for a security market and study this processes in a diffusion approximation scheme. Weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in diffusion scheme are presented. We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometric Markov renewal processes.
APA, Harvard, Vancouver, ISO, and other styles
5

Kutoyants, Yury A., and Nakahiro Yoshida. "Moment estimation for ergodic diffusion processes." Bernoulli 13, no. 4 (2007): 933–51. http://dx.doi.org/10.3150/07-bej1040.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Kiessler, Peter C. "Statistical Inference for Ergodic Diffusion Processes." Journal of the American Statistical Association 101, no. 474 (2006): 846. http://dx.doi.org/10.1198/jasa.2006.s98.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Chen, Mu Fa. "Ergodic theorems for reaction-diffusion processes." Journal of Statistical Physics 58, no. 5-6 (1990): 939–66. http://dx.doi.org/10.1007/bf01026558.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Magdziarz, Marcin, and Aleksander Weron. "Ergodic properties of anomalous diffusion processes." Annals of Physics 326, no. 9 (2011): 2431–43. http://dx.doi.org/10.1016/j.aop.2011.04.015.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Bel, Golan, and Ilya Nemenman. "Ergodic and non-ergodic anomalous diffusion in coupled stochastic processes." New Journal of Physics 11, no. 8 (2009): 083009. http://dx.doi.org/10.1088/1367-2630/11/8/083009.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Di Masp, G. B., and Ł. Stettner. "Bayesian ergodic adaptive control of diffusion processes." Stochastics and Stochastic Reports 60, no. 3-4 (1997): 155–83. http://dx.doi.org/10.1080/17442509708834104.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Ergodic Diffusion Processe"

1

Wasielak, Aramian. "Various Limiting Criteria for Multidimensional Diffusion Processes." Diss., The University of Arizona, 2009. http://hdl.handle.net/10150/195115.

Full text
Abstract:
In this dissertation we consider several limiting criteria forn-dimensional diffusion processes defined as solutions of stochasticdifferential equations. Our main interest is in criteria for polynomialand exponential rates of convergence to the steady state distributionin the total variation norm. Resulting criteria should place assumptionsonly on the coefficients of the elliptic differentialoperator governing the diffusion.Coupling of Harris chains is one of the main methods employed in thisdissertation.
APA, Harvard, Vancouver, ISO, and other styles
2

Maillet, Raphaël. "Analyse statistique et probabiliste de systèmes diffusifs en présence de bruit." Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD025.

Full text
Abstract:
Cette thèse traite du comportement en temps long des équations stochastiques de Fokker-Planck en présence d’un bruit commun additif et présente des méthodes statistiques pour estimer la mesure invariante des processus de diffusion ergodiques multidimensionnels à partir de données bruitées. Dans la première partie, nous analysons les équations différentielles partielles stochastiques de type Fokker-Planck non linéaires, obtenues comme la limite du champ moyen de systèmes de particules en interaction dirigés par des bruits browniens idiosyncrasiques et en présence de bruit commun. Nous établisso
APA, Harvard, Vancouver, ISO, and other styles
3

Aeckerle-Willems, Cathrine [Verfasser], and Claudia [Akademischer Betreuer] Strauch. "Nonparametric statistics for scalar ergodic diffusion processes / Cathrine Aeckerle-Willems ; Betreuer: Claudia Strauch." Mannheim : Universitätsbibliothek Mannheim, 2019. http://d-nb.info/1202012035/34.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Sera, Toru. "Functional limit theorem for occupation time processes of intermittent maps." Kyoto University, 2020. http://hdl.handle.net/2433/259719.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Mélykúti, Bence. "Theoretical advances in the modelling and interrogation of biochemical reaction systems : alternative formulations of the chemical Langevin equation and optimal experiment design for model discrimination." Thesis, University of Oxford, 2010. http://ora.ox.ac.uk/objects/uuid:d368c04c-b611-41b2-8866-cde16b283b0d.

Full text
Abstract:
This thesis is concerned with methodologies for the accurate quantitative modelling of molecular biological systems. The first part is devoted to the chemical Langevin equation (CLE), a stochastic differential equation driven by a multidimensional Wiener process. The CLE is an approximation to the standard discrete Markov jump process model of chemical reaction kinetics. It is valid in the regime where molecular populations are abundant enough to assume their concentrations change continuously, but stochastic fluctuations still play a major role. We observe that the CLE is not a single equatio
APA, Harvard, Vancouver, ISO, and other styles
6

Kadlec, Karel. "Optimální řízení stochastických rovnic s Lévyho procesy v Hilbertových proctorech." Doctoral thesis, 2020. http://www.nusl.cz/ntk/nusl-437018.

Full text
Abstract:
Controlled linear stochastic evolution equations driven by Lévy processes are studied in the Hilbert space setting. The control operator may be unbounded which makes the results obtained in the abstract setting applicable to parabolic SPDEs with boundary or point control. The first part contains some preliminary technical results, notably a version of Itô formula which is applicable to weak/mild solutions of controlled equations. In the second part, the ergodic control problem is solved: The feedback form of the optimal control and the formula for the optimal cost are found. The control proble
APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Ergodic Diffusion Processe"

1

S, Borkar Vivek, and Ghosh Mrinal K. 1956-, eds. Ergodic control of diffusion processes. Cambridge University Press, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
2

Kutoyants, Yury A. Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Herrmann, Samuel. Stochastic resonance: A mathematical approach in the small noise limit. American Mathematical Society, 2014.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

Borkar, Vivek S., Ari Arapostathis, and Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Borkar, Vivek S., Ari Arapostathis, and Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Borkar, Vivek S., Ari Arapostathis, and Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2013.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

Borkar, Vivek S., Ari Arapostathis, and Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

Kutoyants, Yury A. Statistical Inference for Ergodic Diffusion Processes. Springer London, Limited, 2013.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

Statistical Inference for Ergodic Diffusion Processes. Springer, 2003.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Kutoyants, Yury A. Statistical Inference for Ergodic Diffusion Proces. Springer London, 2010.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Ergodic Diffusion Processe"

1

Kutoyants, Yury A. "Diffusion Processes and Statistical Problems." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Kutoyants, Yury A. "Introduction." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_1.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Kutoyants, Yury A. "Parameter Estimation." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Kutoyants, Yury A. "Special Models." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Kutoyants, Yury A. "Nonparametric Estimation." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Kutoyants, Yury A. "Hypotheses Testing." In Statistical Inference for Ergodic Diffusion Processes. Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Arnold, Ludwig, and Hans Crauel. "Iterated Function Systems and Multiplicative Ergodic Theory." In Diffusion Processes and Related Problems in Analysis, Volume II. Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_13.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Kutoyants, Yury A., and Li Zhou. "Asymptotically Parameter-Free Tests for Ergodic Diffusion Processes." In Statistical Models and Methods for Reliability and Survival Analysis. John Wiley & Sons, Inc., 2014. http://dx.doi.org/10.1002/9781118826805.ch11.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Frisardi, Dario, Alessandro De Gregorio, Francesco Iafrate, and Stefano M. Iacus. "Adaptive Elastic-Net Estimation for Ergodic Diffusion Processes." In Italian Statistical Society Series on Advances in Statistics. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-64447-4_8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Colonius, Fritz, and Wolfgang Kliemann. "Remarks on Ergodic Theory of Stochastic Flows and Control Flows." In Diffusion Processes and Related Problems in Analysis, Volume II. Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_9.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Ergodic Diffusion Processe"

1

Piera, Francisco J., and Ravi R. Mazumdar. "An ergodic result for queue length processes of state-dependent queueing networks in the heavy-traffic diffusion limit." In 2008 46th Annual Allerton Conference on Communication, Control, and Computing. IEEE, 2008. http://dx.doi.org/10.1109/allerton.2008.4797600.

Full text
APA, Harvard, Vancouver, ISO, and other styles
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!