Concept
Pont brownien
Publications associées (8)
Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective
Victor Panaretos, Neda Mohammadi Jouzdani
We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...
Amsterdam2023Skew-Brownian motion and pricing European exchange options br
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
ELSEVIER SCIENCE INC2022Cramer-Karhunen-Loeve representation and harmonic principal component analysis of functional time series
Victor Panaretos, Shahin Tavakoli
We develop a doubly spectral representation of a stationary functional time series, and study the properties of its empirical version. The representation decomposes the time series into an integral of uncorrelated frequency components (Cramer representatio ...
Elsevier2013Generalized Smoothing Splines and the Optimal Discretization of the Wiener Filter
We introduce an extended class of cardinal LL-splines, where L is a pseudo-differential operator satisfying some admissibility conditions. We show that the LL-spline signal interpolation problem is well posed and that its solution is the unique minimizer ...
IEEE2005