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THE DIFFUSION COEFFICIENT FOR PIECEWISE EXPANDING MAPS OF THE INTERVAL WITH METASTABLE STATES
DIFFUSION COEFFICIENT WITH METASTABLE STATES
2015/9/29
Consider a piecewise smooth expanding map of the interval possessing several
invariant subintervals and the same number of ergodic absolutely continuous invariant probability measures (ACIMs).
Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
Minimum contrast estimators low frequency data high frequency data epidemic data
2012/6/21
We consider a multidimensional diffusion X with drift coefficient b({\alpha},X(t)) and diffusion coefficient {\epsilon}{\sigma}({\beta},X(t)). The diffusion is discretely observed at times t_k=k{\Delt...
Anticipative Stochastic Differential Equations with Non-smooth Diffusion Coefficient
Non-smooth and anticipative stochastic differential equations Skorohod integral Malliavin derivative
2007/12/11
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral $$\ \ X_t(\omega )=\eta (\omega )+ \int^t_0 a...