Estimation of the killing rate parameter in a diffusion model

Mathematical Communications

Limić, Nedžad²  Huzak, Miljenko²  Horvat-Bokor, Roža¹ 

[1] OTP Bank Nyrt., Ltd. Risk Management, Budapest, Hungary;Department of Mathematics, University of Zagreb, Zagreb, Croatia

关键词: diffusion with killing;    censored data;    minimum $\chi^2$-estimation;    random search;   

DOI  :  

学科分类：社会科学、人文和艺术（综合）

来源: Sveuciliste Josipa Jurja Strossmayera u Osijeku * Odjel za Matematiku / University of Osijek, Department of Mathematics

【 摘 要 】

Weconsideraparameterestimationproblemforadiffusionwithkilling,startingatapointinanopenandboundedset.Theinfinitesimalkillingratefunctiondependsonacontrolvariableandparameters.Valuesofthecontrolvariable...

【 授权许可】

Unknown