Results 71 to 80 of about 53,922 (203)
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
A Non‐Parametric Framework for Correlation Functions on Product Metric Spaces
International Statistical Review, EarlyView.Summary We propose a non‐parametric framework for analysing data defined over products of metric spaces, a versatile class encountered in various fields. This framework accommodates non‐stationarity and seasonality and is applicable to both local and global domains, such as the Earth's surface, as well as domains evolving over linear time or time ...
Pier Giovanni Bissiri +3 more
wiley +1 more source
Neutral stochastic partial functional integro-differential equations driven by G-Brownian motion
Electronic Journal of Differential Equations, 2019 In this article, we define the Hilbert-valued stochastic calculus with respect to G-Brownian motion in G-framework. On that basis, we prove the existence and uniqueness of mild solution for a class of neutral stochastic partial functional integro ...
Bingjun Wang, Hongjun Gao
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On SDE systems with non-Lipschitz diffusion coefficients
, 2020 This thesis is a compilation of two papers. In the first paper we investigate a class of two dimensional stochastic differential equations related to susceptible-infected-susceptible epidemic models with demographic stochasticity. While preserving the key features of the model considered in \cite{Mao}, where an \emph{ad hoc} approach has been utilized
openaire +2 more sources
From gateway to value ladder—The curious case of online mutual aid in China
Journal of Risk and Insurance, EarlyView.Abstract This study examines how InsurTech‐enabled information provision, specifically the disclosure of claimant information previously unavailable in conventional insurance, influences individuals' insurance uptake. We leverage Mutual Aid (MA) platforms as a natural context to examine how socially framed loss information, peer influence, and salience
Ze Chen +3 more
wiley +1 more source
AxiomsIn this paper, we investigate the Malliavin differentiability and density smoothness of solutions to stochastic differential equations (SDEs) with non-Lipschitz coefficients.
Zhaoen Qu, Yinuo Sun, Lei Zhang
doaj +1 more source
Detecting Relevant Deviations From the White Noise Assumption for Non‐Stationary Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the problem of detecting deviations from a white noise assumption in time series. Our approach differs from the numerous methods proposed for this purpose with respect to two aspects. First, we allow for non‐stationary time series. Second, we address the problem that a white noise test is usually not performed because one believes ...
Patrick Bastian
wiley +1 more source
Adaptive Estimation for Weakly Dependent Functional Times Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro +2 more
wiley +1 more source
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
A semilinear control problem involving homogenization
Electronic Journal of Differential Equations, 2001 We consider a control problem involving a semilinear elliptic equation with a uniformly Lipschitz non-linearity and rapidly oscillating coefficients in a bounded domain of $mathbb{R}^N$.
Carlos Conca +2 more
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