Displaying similar documents to “Linear diffusion with stationary switching regime”

Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient

Arnaud Gloter (2010)

ESAIM: Probability and Statistics

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Let () be a diffusion on the interval and a sequence of positive numbers tending to zero. We define as the integral between and of . We give an approximation of the law of by means of a Euler scheme expansion for the process (). In some special cases, an approximation by an explicit Gaussian ARMA(1,1) process is obtained. When we deduce from this expansion estimators of the diffusion coefficient of based on (). These estimators are shown to...

Time-homogeneous diffusions with a given marginal at a random time

Alexander M.G. Cox, David Hobson, Jan Obłój (2011)

ESAIM: Probability and Statistics

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We solve explicitly the following problem: for a given probability measure , we specify a generalised martingale diffusion () which, stopped at an independent exponential time , is distributed according to . The process ( ) is specified its speed measure . We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, (1992) 538–548.] to the Skorokhod embedding problem....

Survival probabilities of autoregressive processes

Christoph Baumgarten (2014)

ESAIM: Probability and Statistics

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Given an autoregressive process of order (  =   + ··· +   +  where the random variables , ,... are i.i.d.), we study the asymptotic behaviour of the probability that the process does not exceed a constant barrier up to time (survival or persistence probability). Depending on the coefficients ,...,...