Bibliografías temáticas / Ergodic Diffusion Processe

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Literatura académica sobre el tema "Ergodic Diffusion Processe"

Autor: Grafiati
Publicado: 14 de diciembre de 2024
Última modificación: 31 de julio de 2025

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Artículos de revistas sobre el tema "Ergodic Diffusion Processe"

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

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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.
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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.

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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.

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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
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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.

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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.
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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.

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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.

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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.

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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.

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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.

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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.

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Tesis sobre el tema "Ergodic Diffusion Processe"

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

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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.
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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.

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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
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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.

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

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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.

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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
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6

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

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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
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Libros sobre el tema "Ergodic Diffusion Processe"

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

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

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

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4

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

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

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

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

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

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9

Statistical Inference for Ergodic Diffusion Processes. Springer, 2003.

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

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Capítulos de libros sobre el tema "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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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Actas de conferencias sobre el tema "Ergodic Diffusion Processe"

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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.

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