Results 11 to 20 of about 867 (169)
Is a Brownian Motion Skew? [PDF]
Scandinavian Journal of Statistics, 2013 ABSTRACTWe study the asymptotic behaviour of the maximum likelihood estimator corresponding to the observation of a trajectory of a skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting distribution when the step size goes to zero, which in this case are non‐classical, under the null ...
Lejay, Antoine +2 more
openaire +7 more sources
Skew brownian motion and complexity of the alps algorithm [PDF]
Journal of Applied Probability, 2022 AbstractSimulated tempering is a popular method of allowing Markov chain Monte Carlo algorithms to move between modes of a multimodal target density $\pi$ . Tawn, Moores and Roberts (2021) introduces the Annealed Leap-Point Sampler (ALPS) to allow for rapid movement between modes.
Gareth O. Roberts +2 more
openaire +4 more sources
Two consistent estimators for the skew Brownian motion [PDF]
ESAIM: Probability and Statistics, 2019 The skew Brownian motion (SBm) is of primary importance in modeling diffusion in media with interfaces which arise in many domains ranging from population ecology to geophysics and finance. We show that the maximum likelihood procedure estimates consistently the parameter of an SBm observed at discrete times. The difficulties arise because the observed
Lejay, Antoine +2 more
openaire +5 more sources
Coalescence of Skew Brownian Motions [PDF]
, 2001 We prove that two skew Brownian motions with the same skewness parameter (different from 0) and driven by the same Brownian motion coalesce a.s.
Burdzy, Krzysztof +3 more
openaire +4 more sources
DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE [PDF]
Mathematical Finance, 2016 AbstractWe derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrained volatility.
Alexander Gairat, Vadim Shcherbakov
openaire +5 more sources
Variably Skewed Brownian Motion
Electronic Communications in Probability, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Burdzy, Krzysztof +3 more
openaire +3 more sources
Maximum likelihood estimator for skew Brownian motion: The convergence rate
Scandinavian Journal of Statistics, 2023 AbstractWe give a thorough description of the asymptotic property of the maximum likelihood estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to recent results on the Central Limit Theorem of the rate of convergence of estimators for the SBM, we prove a conjecture left open that the MLE has asymptotically a mixed normal ...
Lejay, Antoine, Mazzonetto, Sara
openaire +5 more sources
A dual skew symmetry for transient reflected Brownian motion in an orthant
Queueing Systems, 2022 14 ...
Sandro Franceschi, Kilian Raschel
openaire +4 more sources
Rates of convergence to the local time of oscillating and skew Brownian motion
BernoulliIn this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional limit theorem. Oscillating and skew Brownian motion are solutions to stochastic differential equations with singular ...
Mazzonetto, Sara
openaire +4 more sources
Bouncing Skew Brownian Motions [PDF]
Journal of Theoretical Probability, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gloter, Arnaud, Martinez, Miguel
openaire +1 more source