Displaying similar documents to “On the Two Parameter Ito Equations”

A note on stochastic ordering of estimators of exponential reliability

Piotr Nowak (2011)

Applicationes Mathematicae

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Recently Balakrishnan and Iliopoulos [Ann. Inst. Statist. Math. 61 (2009)] gave sufficient conditions under which the maximum likelihood estimator (MLE) is stochastically increasing. In this paper we study test plans which are not considered there and we prove that the MLEs for those plans are also stochastically ordered. We also give some applications to the estimation of reliability.

A martingale control variate method for option pricing with stochastic volatility

Jean-Pierre Fouque, Chuan-Hsiang Han (2007)

ESAIM: Probability and Statistics

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A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving...