The estimation of parameters in the Ornstein Uhlenbeck process /

The estimation of parameters in the Ornstein Uhlenbeck process /

Bibliographic Details
Main Author:	Hoy, Walter Wilson
Language:	English
Published:	The Ohio State University / OhioLINK 1953
Subjects:	Mathematics Probabilities
Online Access:	http://rave.ohiolink.edu/etdc/view?acc_num=osu1486471132852517

Similar Items

On the estimation of parameters of the Ornstein-Uhlenbeck and related stochastic processes /
by: Moranda, Paul Benjamin
Published: (1953)

Geometric Asian option: Geometric Ornstein-Uhlenbeck process
by: Zhou, Sen Lin
Published: (2016)

Comparing Information Metrics for a Coupled Ornstein–Uhlenbeck Process
by: James Heseltine, et al.
Published: (2019-08-01)

Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
by: Guangjun Shen, et al.
Published: (2018-12-01)

Parameter estimation in a generalized bivariate Ornstein-Uhlenbeck model
by: Krämer, Romy, et al.
Published: (2005)

Parameter estimation in a generalized bivariate Ornstein-Uhlenbeck model
by: Krämer, Romy, et al.
Published: (2005)

Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
by: Dmytro Marushkevych
Published: (2016-06-01)

The Local Time of the Fractional Ornstein-Uhlenbeck Process
by: Guangjun Shen, et al.
Published: (2013-01-01)

Pointwise Approximation of Coupled Ornstein-Uhlenbeck Processes
by: Henkel, Daniel
Published: (2012)

Fractionally integrated processes of Ornstein-Uhlenbeck type
by: Valdivieso Serrano, Luis Hilmar
Published: (2014)

Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes
by: Pavel Kříž, et al.
Published: (2020-05-01)

Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
by: Panhong Cheng, et al.
Published: (2017-11-01)

An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
by: Nattiya Chaiyapo, et al.
Published: (2017-06-01)

Exploring Finite-Sized Scale Invariance in Stochastic Variability with Toy Models: The Ornstein–Uhlenbeck Model
by: Nachiketa Chakraborty
Published: (2020-11-01)

Statistical Inference for Lévy-Driven Ornstein-Uhlenbeck Processes
by: Abdelrazeq, Ibrahim
Published: (2014)

Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters
by: Abdulaziz Alsenafi, et al.
Published: (2021-09-01)

Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications
by: Morlanes, José Igor
Published: (2017)

Heat Kernel for Extended Ornstein-Uhlenbeck Operators
by: Wang, Po-Cheng, et al.
Published: (2014)

Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
by: P. Vatiwutipong, et al.
Published: (2019-07-01)

Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process
by: Sergey Obukhov, et al.
Published: (2021-09-01)

Invariant Solutions of Black–Scholes Equation with Ornstein–Uhlenbeck Process
by: Maba Boniface Matadi, et al.
Published: (2021-05-01)

Residual Useful Life Estimation Based on a Time-Dependent Ornstein-Uhlenbeck Process
by: Y. Deng, et al.
Published: (2013-07-01)

Sharp frequency bounds for eigenfunctions of the Ornstein-Uhlenbeck operator
by: Colding, Tobias H, et al.
Published: (2021)

Derivatives pricing and Ornstein-Uhlenbeck type stochastic volatility
by: Venardos, Emmanouil
Published: (2002)

Heat Kernel for a Generalized Ornstein-Uhlenbeck operator
by: Huang, Yu Rei, et al.
Published: (2014)

Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes
by: I.V. Burtnyak, et al.
Published: (2018-12-01)

A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
by: Chunhao Cai, et al.
Published: (2021-04-01)

Convergence rate of CLT for the drift estimation of sub-fractional Ornstein–Uhlenbeck process of second kind
by: Maoudo Faramba Baldé, et al.
Published: (2021-05-01)

Investigation of the Standard Deviation of Ornstein - Uhlenbeck Noise in the DDPG Algorithm
by: Mustafa Can BINGOL
Published: (2021-06-01)

PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
by: Amam Taufiq Hidayat, et al.
Published: (2020-06-01)

Radial selfsimilar solutions of a nonlinear Ornstein-Uhlenbeck equation
by: Arij Bouzelmate, et al.
Published: (2007-05-01)

A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets
by: Krämer, Romy, et al.
Published: (2008)

The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
by: Dan Zhu, et al.
Published: (2013-01-01)

A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets
by: Krämer, Romy, et al.
Published: (2008)

Stochastic volatility modeling of the Ornstein Uhlenbeck type : pricing and calibration
by: Marshall, Jean-Pierre
Published: (2010)

Modeling temperature and pricing weather derivatives based on subordinate Ornstein-Uhlenbeck processes
by: Kevin Z. Tong, et al.
Published: (2020-08-01)

A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process
by: Kittisak Chumpong, et al.
Published: (2020-08-01)

Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
by: Yuliya Mishura
Published: (2015-01-01)

First Hitting Place Probabilities for a Discrete Version of the Ornstein-Uhlenbeck Process
by: Mario Lefebvre, et al.
Published: (2009-01-01)

Option pricing in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Simulation
by: Sergii Kuchuk-Iatsenko, et al.
Published: (2015-12-01)