Sequential testing of hypotheses about drift for Gaussian diffusions
From MaRDI portal
Publication:670162
DOI10.1016/j.stamet.2016.07.002zbMath1487.62103OpenAlexW2496718787MaRDI QIDQ670162
Publication date: 18 March 2019
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2016.07.002
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- Modeling event times with multiple outcomes using the Wiener process with drift
- Sequential analysis. Tests and confidence intervals
- The consistency of a nonlinear least squares estimator from diffusion processes
- Tests with parabolic boundary for the drift of a Wiener process
- The Russian option: Reduced regret
- Arbitrage pricing of Russian options and perpetual lookback options
- Sequential variational testing hypotheses on the Wiener process under delayed observations
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- Parameter estimation in stochastic differential equations.
- Sequential maximum likelihood estimation for the hyperbolic diffusion process
- Sequential estimation of the parameters of diffusion processes
- A Theory of the Term Structure of Interest Rates
- Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
- Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
- A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
- On the Russian option: The expected waiting time
- Testing of Two Simple Hypotheses in the Presence of Delayed Observations
- Inference for the diffusion branching process
- The Wiener Sequential Testing Problem with Finite Horizon
- Parameter identification for the discretely observed geometric fractional Brownian motion
- An equilibrium characterization of the term structure
- Radon-Nikodym Derivatives of Gaussian Measures
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Sequential testing of hypotheses about drift for Gaussian diffusions
