Statistical estimation of the oscillating Brownian motion
From MaRDI portal
Publication:1750094
DOI10.3150/17-BEJ969zbMath1415.62008arXiv1701.02129MaRDI QIDQ1750094
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.02129
Gaussian mixturelocal timeoccupation timeskew Brownian motionarcsine distributionoscillating Brownian motion
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Brownian motion (60J65)
Related Items (15)
Two consistent estimators for the skew Brownian motion ⋮ Bayesian inference for fractional oscillating Brownian motion ⋮ Multilayer heat equations and their solutions via oscillating integral transforms ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ Functional convergence to the local time of a sticky diffusion ⋮ HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Statistical estimation of the oscillating Brownian motion ⋮ Optimal stopping of oscillating Brownian motion ⋮ Extreme at-the-money skew in a local volatility model ⋮ Oscillating Gaussian processes ⋮ On occupation times of one-dimensional diffusions ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
Cites Work
- Simulation of a stochastic process in a discontinuous layered medium
- Asymptotic statistics. With a view to stochastic processes
- Threshold models in non-linear time series analysis
- Occupation and local times for skew Brownian motion with applications to dispersion across an interface
- Discretization of processes.
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- On the constructions of the skew Brownian motion
- On skew Brownian motion
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Rates of convergence to the local time of a diffusion
- Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
- Statistical estimation of the oscillating Brownian motion
- On a generalized arc-sine law for one-dimensional diffusion processes
- On the local time of the Brownian motion
- On the discrete approximation of occupation time of diffusion processes
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- A density formula for the law of time spent on the positive side of one-dimensional diffusion processes
- Limit theorems for random walks, birth and death processes, and diffusion processes
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Oscillating Brownian motion
- On estimating the diffusion coefficient from discrete observations
- Limit theorems for null recurrent Markov processes
- On a continuous time stock price model with regime switching, delay, and threshold
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
- Is a Brownian Motion Skew?
- An Occupation Time Theorem for A Class of Stochastic Processes
- Advection-dispersion across interfaces
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Statistical estimation of the oscillating Brownian motion
