Construction of peculiar diffusion process having Gaussian marginals

DOI10.1080/03610926.2014.922984zbMath1346.60129OpenAlexW2266316399MaRDI QIDQ2816434

Syeda Rabab Mudakkar

Publication date: 22 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.922984

zbMATH Keywords

truncationdiffusion processGaussian marginalsFoster-Lyapunov criterion

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Martingales and classical analysis (60G46)

Cites Work

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• Nonparametric Pricing of Interest Rate Derivative Securities