Displaying similar documents to “Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion”

Diffusions with measurement errors. I. Local Asymptotic Normality

Arnaud Gloter, Jean Jacod (2010)

ESAIM: Probability and Statistics

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We consider a diffusion process which is observed at times for = 0,1,...,, each observation being subject to a measurement error. All errors are independent and centered Gaussian with known variance . There is an unknown parameter within the diffusion coefficient, to be estimated. In this first paper the case when is indeed a Gaussian martingale is examined: we can prove that the LAN property holds under quite weak smoothness assumptions, with an explicit limiting Fisher information....

Stabilité sous condition CFL non linéaire

Erwan Deriaz, Dmitry Kolomenskiy (2012)

ESAIM: Proceedings

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We present a basic althought little known numerical stability condition: for convection equations, the von Neumann stability constraint ∥ ∥ ≤ (1 +    Δ) ∥ ∥ drives to the stability condition Δ ≤ Δ with α = p ( 2 q − 1 ) q ( 2 p − 1 ) where is an integer linked to the stability domain of the time scheme and  ≥  an integer linked to the upwind property of the space discretization...