Institut für Mathematik | AG Stochastik | Statistik stochastischer Prozesse


Time inhomogeneous diffusions / Jump diffusions

R. Höpfner, An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps.
Electron. Commun. Probab. 14, 447 - 456 (2009).

R. Höpfner, A time inhomogeneous CIR diffusion with jumps.
Unpublished note 2009. arXiv

R. Höpfner and Yuri Kutoyants, On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion.
Statistics & Decisions 27(4), 309 - 326 (2009). arXiv

R. Höpfner and Yuri Kutoyants, Estimating discontinuous periodic signals in a time inhomogeneous diffusion.
Stat. Inference Stoch. Proc. 13(3), 193 - 230 (2010). arXiv

R. Höpfner and Yuri Kutoyants, Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion.
Mathematical Methods of Statistics 20(1), 58 - 74 (2011). arXiv

R. Höpfner and Yuri Kutoyants, On frequency estimation of periodic ergodic diffusion process.
Probl. Inf. Transm. 48(2), 127 - 141 (2012). arXiv


Institut für Mathematik | AG Stochastik | Statistik stochastischer Prozesse

Last Update: Oct. 30, 2019
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