Journal articles on the topic 'Continuous-time stochastic models'
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SÖDERSTROM, TORSTEN. "Computing stochastic continuous-time models from ARMA models." International Journal of Control 53, no. 6 (June 1991): 1311–26. http://dx.doi.org/10.1080/00207179108953677.
Full textComte, F., and E. Renault. "Noncausality in Continuous Time Models." Econometric Theory 12, no. 2 (June 1996): 215–56. http://dx.doi.org/10.1017/s0266466600006575.
Full textCvitanić, Jakša, Xuhu Wan, and Jianfeng Zhang. "Optimal contracts in continuous-time models." Journal of Applied Mathematics and Stochastic Analysis 2006 (July 12, 2006): 1–27. http://dx.doi.org/10.1155/jamsa/2006/95203.
Full textErcolani, Joanne S. "CYCLICAL TRENDS IN CONTINUOUS TIME MODELS." Econometric Theory 25, no. 4 (August 2009): 1112–19. http://dx.doi.org/10.1017/s0266466608090440.
Full textKnopov, P. S. "Some models of continuous-time stochastic approximation." Cybernetics and Systems Analysis 31, no. 6 (November 1995): 863–68. http://dx.doi.org/10.1007/bf02366623.
Full textWälde, Klaus. "Production technologies in stochastic continuous time models." Journal of Economic Dynamics and Control 35, no. 4 (April 2011): 616–22. http://dx.doi.org/10.1016/j.jedc.2010.10.005.
Full textZipkin, Paul. "Stochastic leadtimes in continuous-time inventory models." Naval Research Logistics Quarterly 33, no. 4 (November 1986): 763–74. http://dx.doi.org/10.1002/nav.3800330419.
Full textBergstrom, A. R. "The History of Continuous-Time Econometric Models." Econometric Theory 4, no. 3 (December 1988): 365–83. http://dx.doi.org/10.1017/s0266466600013359.
Full textPollock, D. Stephen G. "Linear Stochastic Models in Discrete and Continuous Time." Econometrics 8, no. 3 (September 4, 2020): 35. http://dx.doi.org/10.3390/econometrics8030035.
Full textComte, Fabienne, and Eric Renault. "Long memory in continuous-time stochastic volatility models." Mathematical Finance 8, no. 4 (October 1998): 291–323. http://dx.doi.org/10.1111/1467-9965.00057.
Full textPatterson, Richard L. "Continuous time stochastic compartmental models of discrete populations." Mathematical and Computer Modelling 11 (1988): 975–78. http://dx.doi.org/10.1016/0895-7177(88)90638-3.
Full textFergusson, Kevin. "Forecasting inflation using univariate continuous‐time stochastic models." Journal of Forecasting 39, no. 1 (July 16, 2019): 37–46. http://dx.doi.org/10.1002/for.2603.
Full textGong, H., and A. Thavaneswaran. "Recursive estimation for continuous time stochastic volatility models." Applied Mathematics Letters 22, no. 11 (November 2009): 1770–74. http://dx.doi.org/10.1016/j.aml.2009.06.014.
Full textHarvey, A. C., and James H. Stock. "Continuous time autoregressive models with common stochastic trends." Journal of Economic Dynamics and Control 12, no. 2-3 (June 1988): 365–84. http://dx.doi.org/10.1016/0165-1889(88)90046-2.
Full textKrishnamurthy, Vikram, Elisabeth Leoff, and Jörn Sass. "Filterbased stochastic volatility in continuous-time hidden Markov models." Econometrics and Statistics 6 (April 2018): 1–21. http://dx.doi.org/10.1016/j.ecosta.2016.10.007.
Full textBean, N. G., R. Elliott, A. Eshragh, and J. V. Ross. "On Binomial Observations of Continuous-Time Markovian Population Models." Journal of Applied Probability 52, no. 2 (June 2015): 457–72. http://dx.doi.org/10.1239/jap/1437658609.
Full textBean, N. G., R. Elliott, A. Eshragh, and J. V. Ross. "On Binomial Observations of Continuous-Time Markovian Population Models." Journal of Applied Probability 52, no. 02 (June 2015): 457–72. http://dx.doi.org/10.1017/s0021900200012572.
Full textNIELSEN, JAN NYGAARD, and MARTIN VESTERGAARD. "ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS." International Journal of Theoretical and Applied Finance 03, no. 02 (April 2000): 279–308. http://dx.doi.org/10.1142/s0219024900000139.
Full textBergstrom, A. R. "Optimal control in wide-sense stationary continuous-time stochastic models." Journal of Economic Dynamics and Control 11, no. 3 (September 1987): 425–43. http://dx.doi.org/10.1016/s0165-1889(87)80016-7.
Full textLin, Liang-Ching, Sangyeol Lee, and Meihui Guo. "The Bickel–Rosenblatt test for continuous time stochastic volatility models." TEST 23, no. 1 (December 15, 2013): 195–218. http://dx.doi.org/10.1007/s11749-013-0347-1.
Full textLegault, Geoffrey, and Brett A. Melbourne. "Accounting for environmental change in continuous-time stochastic population models." Theoretical Ecology 12, no. 1 (July 5, 2018): 31–48. http://dx.doi.org/10.1007/s12080-018-0386-z.
Full textSaario, Vesa. "Comparison of the discrete and continuous- time stochastic selling models." Engineering Costs and Production Economics 12, no. 1-4 (July 1987): 15–20. http://dx.doi.org/10.1016/0167-188x(87)90057-7.
Full textSigman, Karl, and Reade Ryan. "Continuous-time monotone stochastic recursions and duality." Advances in Applied Probability 32, no. 2 (June 2000): 426–45. http://dx.doi.org/10.1239/aap/1013540172.
Full textSigman, Karl, and Reade Ryan. "Continuous-time monotone stochastic recursions and duality." Advances in Applied Probability 32, no. 02 (June 2000): 426–45. http://dx.doi.org/10.1017/s0001867800010016.
Full textMahata, Kaushik, and Minyue Fu. "ON THE RECONSTRUCTION OF CONTINUOUS-TIME MODELS FROM ESTIMATED DISCRETE-TIME MODELS OF STOCHASTIC PROCESSES." IFAC Proceedings Volumes 39, no. 1 (2006): 422–27. http://dx.doi.org/10.3182/20060329-3-au-2901.00063.
Full textChambers, Marcus J. "DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA." Econometric Theory 25, no. 4 (August 2009): 1030–49. http://dx.doi.org/10.1017/s0266466608090397.
Full textHarvey, A. C., and James H. Stock. "The Estimation of Higher-Order Continuous Time Autoregressive Models." Econometric Theory 1, no. 1 (April 1985): 97–117. http://dx.doi.org/10.1017/s0266466600011026.
Full textBigi, S., T. Söderström, and B. Carlsson. "An IV-Scheme for Estimating Continuous-Time Stochastic Models from Discrete-Time Data." IFAC Proceedings Volumes 27, no. 8 (July 1994): 1561–66. http://dx.doi.org/10.1016/s1474-6670(17)47933-x.
Full textJacod, Jean, Claudia Klüppelberg, and Gernot Müller. "Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data." Journal of Applied Probability 49, no. 4 (December 2012): 901–14. http://dx.doi.org/10.1239/jap/1354716647.
Full textJacod, Jean, Claudia Klüppelberg, and Gernot Müller. "Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data." Journal of Applied Probability 49, no. 04 (December 2012): 901–14. http://dx.doi.org/10.1017/s0021900200012778.
Full textLjung, Lennart, and Adrian Wills. "Issues in sampling and estimating continuous-time models with stochastic disturbances." IFAC Proceedings Volumes 41, no. 2 (2008): 14360–65. http://dx.doi.org/10.3182/20080706-5-kr-1001.02433.
Full textNIELSEN, JAN NYGAARD, and MARTIN VESTERGAARD. "ERRATUM: "ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS"." International Journal of Theoretical and Applied Finance 03, no. 04 (October 2000): 731. http://dx.doi.org/10.1142/s0219024900000772.
Full textMenoncin, Francesco, and Stefano Nembrini. "Stochastic continuous time growth models that allow for closed form solutions." Journal of Economics 124, no. 3 (September 12, 2017): 213–41. http://dx.doi.org/10.1007/s00712-017-0567-z.
Full textLjung, Lennart, and Adrian Wills. "Issues in sampling and estimating continuous-time models with stochastic disturbances." Automatica 46, no. 5 (May 2010): 925–31. http://dx.doi.org/10.1016/j.automatica.2010.02.011.
Full textBlevins, Jason R. "IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA." Econometric Theory 33, no. 3 (December 22, 2015): 739–54. http://dx.doi.org/10.1017/s0266466615000353.
Full textGao, Jiti. "Modelling long-range-dependent Gaussian processes with application in continuous-time financial models." Journal of Applied Probability 41, no. 2 (June 2004): 467–82. http://dx.doi.org/10.1239/jap/1082999079.
Full textGao, Jiti. "Modelling long-range-dependent Gaussian processes with application in continuous-time financial models." Journal of Applied Probability 41, no. 02 (June 2004): 467–82. http://dx.doi.org/10.1017/s0021900200014431.
Full textSirignano, Justin, and Konstantinos Spiliopoulos. "Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem." Stochastic Systems 10, no. 2 (June 2020): 124–51. http://dx.doi.org/10.1287/stsy.2019.0050.
Full textLi, Yan, Tianliang Zhang, Xikui Liu, and Xiushan Jiang. "Study onH-Index of Stochastic Linear Continuous-Time Systems." Mathematical Problems in Engineering 2015 (2015): 1–10. http://dx.doi.org/10.1155/2015/837053.
Full textChan, Terence. "Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use." ASTIN Bulletin 28, no. 1 (May 1998): 77–93. http://dx.doi.org/10.2143/ast.28.1.519080.
Full textRobinson, Peter M. "ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS." Econometric Theory 25, no. 4 (August 2009): 985–94. http://dx.doi.org/10.1017/s0266466608090373.
Full textBezborodov, Viktor, Luca Di Persio, Tyll Krueger, Mykola Lebid, and Tomasz Ożański. "Asymptotic shape and the speed of propagation of continuous-time continuous-space birth processes." Advances in Applied Probability 50, no. 01 (March 2018): 74–101. http://dx.doi.org/10.1017/apr.2018.5.
Full textBoffi, Nicholas M., and Jean-Jacques E. Slotine. "A Continuous-Time Analysis of Distributed Stochastic Gradient." Neural Computation 32, no. 1 (January 2020): 36–96. http://dx.doi.org/10.1162/neco_a_01248.
Full textEriksson, B., and M. R. Pistorius. "American Option Valuation under Continuous-Time Markov Chains." Advances in Applied Probability 47, no. 2 (June 2015): 378–401. http://dx.doi.org/10.1239/aap/1435236980.
Full textEriksson, B., and M. R. Pistorius. "American Option Valuation under Continuous-Time Markov Chains." Advances in Applied Probability 47, no. 02 (June 2015): 378–401. http://dx.doi.org/10.1017/s0001867800007904.
Full textKoulis, Theodoro, Alexander Paseka, and Aerambamoorthy Thavaneswaran. "Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation." Journal of Mathematical Finance 03, no. 03 (2013): 357–65. http://dx.doi.org/10.4236/jmf.2013.33036.
Full textWang, Zhengyan, Guanghua Xu, Peibiao Zhao, and Zudi Lu. "The optimal cash holding models for stochastic cash management of continuous time." Journal of Industrial & Management Optimization 14, no. 1 (2018): 1–17. http://dx.doi.org/10.3934/jimo.2017034.
Full textTurnovsky, Stephen J. "Applications of continuous-time stochastic methods to models of endogenous economic growth." Annual Reviews in Control 20 (January 1996): 155–66. http://dx.doi.org/10.1016/s1367-5788(97)00013-8.
Full textvan Elburg, Ronald A. J. "Stochastic continuous time neurite branching models with tree and segment dependent rates." Journal of Theoretical Biology 276, no. 1 (May 2011): 159–73. http://dx.doi.org/10.1016/j.jtbi.2011.01.039.
Full textTurnovsky, S. "Applications of continuous-time stochastic methods to models of endogenous economic growth." Annual Review in Automatic Programming 20 (1996): 155–66. http://dx.doi.org/10.1016/s0066-4138(97)00013-x.
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