Browsing FAS Scholarly Articles by Keyword "Autocorrelation, Data augmentation, Euler discretization, Extrapolation, Missing data, Stochastic differential equation"

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    • A Multiresolution Method for Parameter Estimation of Diffusion Processes 

      Kou, Samuel Samuel; Olding, Benjamin P.; Lysy, Martin; Liu, Jun (Informa UK Limited, 2012)
      Diffusion process models are widely used in science, engineering, and finance. Most diffusion processes are described by stochastic differential equations in continuous time. In practice, however, data are typically observed ...