Displaying similar documents to “Time-homogeneous diffusions with a given marginal at a random time”

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, 20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give a...

Linear diffusion with stationary switching regime

Xavier Guyon, Serge Iovleff, Jian-Feng Yao (2010)

ESAIM: Probability and Statistics

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Let be a Ornstein–Uhlenbeck diffusion governed by a stationary and ergodic process : ddd. We establish that under the condition with the stationary distribution of the regime process , the diffusion is ergodic. We also consider conditions for the existence of moments for the invariant law of when is a Markov jump process having a finite number of states. Using results on random difference equations on one hand and the fact that conditionally to , is Gaussian on the other...

Central limit theorems for linear spectral statistics of large dimensional F-matrices

Shurong Zheng (2012)

Annales de l'I.H.P. Probabilités et statistiques

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In many applications, one needs to make statistical inference on the parameters defined by the limiting spectral distribution of an matrix, the product of a sample covariance matrix from the independent variable array ( )×1 and the inverse of another covariance matrix from the independent variable array ( )×2. Here, the two variable arrays are assumed to either both real or both complex. It helps to find the asymptotic distribution of the relevant parameter...