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Estimating functions for diffusion-type processes
"... In this chapter we consider parametric inference based on discrete time observations X0, Xt1,...,Xtn from a d-dimensional stochastic process. In most of the chapter the statistical model for the data will be a diffusion model given by a stochastic differential equation. We shall, however, also consi ..."
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Cited by 7 (4 self)
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In this chapter we consider parametric inference based on discrete time observations X0, Xt1,...,Xtn from a d-dimensional stochastic process. In most of the chapter the statistical model for the data will be a diffusion model given by a stochastic differential equation. We shall, however, also
MARKOV DILATION OF DIFFUSION TYPE PROCESSES AND ITS APPLICATION TO THE FINANCIAL
"... Abstract. The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of ..."
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Abstract. The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction
MODERATE DEVIATIONS FOR A DIFFUSION TYPE PROCESS IN RANDOM ENVIRONMENT
, 2007
"... Abstract. Let σ(u), u ∈ R be an ergodic stationary Markov chain, taking a finite number of values a1,..., am, and b(u) = g(σ(u)), where g is a bounded and measurable function. We consider the diffusion type process dX ε t = b(X ε t /ε)dt + ε κ σ ` X ε t /ε ´ dBt, t ≤ T subject to X ε 0 = x0, where ..."
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Cited by 1 (0 self)
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Abstract. Let σ(u), u ∈ R be an ergodic stationary Markov chain, taking a finite number of values a1,..., am, and b(u) = g(σ(u)), where g is a bounded and measurable function. We consider the diffusion type process dX ε t = b(X ε t /ε)dt + ε κ σ ` X ε t /ε ´ dBt, t ≤ T subject to X ε 0 = x0, where
Implicit Fairing of Irregular Meshes using Diffusion and Curvature Flow
, 1999
"... In this paper, we develop methods to rapidly remove rough features from irregularly triangulated data intended to portray a smooth surface. The main task is to remove undesirable noise and uneven edges while retaining desirable geometric features. The problem arises mainly when creating high-fidelit ..."
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Cited by 542 (23 self)
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-fidelity computer graphics objects using imperfectly-measured data from the real world. Our approach contains three novel features: an implicit integration method to achieve efficiency, stability, and large time-steps; a scale-dependent Laplacian operator to improve the diffusion process; and finally, a robust
Directed Diffusion for Wireless Sensor Networking
- IEEE/ACM Transactions on Networking
, 2003
"... Advances in processor, memory and radio technology will enable small and cheap nodes capable of sensing, communication and computation. Networks of such nodes can coordinate to perform distributed sensing of environmental phenomena. In this paper, we explore the directed diffusion paradigm for such ..."
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Cited by 675 (9 self)
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for such coordination. Directed diffusion is datacentric in that all communication is for named data. All nodes in a directed diffusion-based network are application-aware. This enables diffusion to achieve energy savings by selecting empirically good paths and by caching and processing data in-network (e.g., data
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
- Econometrica
, 2000
"... In the setting of ‘‘affine’ ’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applicat ..."
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Cited by 710 (38 self)
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In the setting of ‘‘affine’ ’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example
Scale-space and edge detection using anisotropic diffusion
- IEEE Transactions on Pattern Analysis and Machine Intelligence
, 1990
"... Abstract-The scale-space technique introduced by Witkin involves generating coarser resolution images by convolving the original image with a Gaussian kernel. This approach has a major drawback: it is difficult to obtain accurately the locations of the “semantically mean-ingful ” edges at coarse sca ..."
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Cited by 1887 (1 self)
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scales. In this paper we suggest a new definition of scale-space, and introduce a class of algorithms that realize it using a diffusion process. The diffusion coefficient is chosen to vary spatially in such a way as to encourage intraregion smoothing in preference to interregion smoothing. It is shown
Distinct types of diffuse large B-cell lymphoma identified by gene expression profiling.
- Nature
, 2000
"... ..."
The Valuation of Options for Alternative Stochastic Processes
- Journal of Financial Economics
, 1976
"... This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas, ..."
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Cited by 679 (5 self)
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This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas
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