Zobrazeno 1 - 10
of 3 130
pro vyhledávání: '"Rao, A L"'
Autor:
Rao, B. L. S Prakasa
We study the problem of nonparametric estimation of the linear multiplier function $\theta(t)$ for processes satisfying stochastic differential equations of the type $$dX_t= \theta(t)X_t dt+ \epsilon\; \sigma_1(t,X_t)\sigma_2(t,Y_t)dW_t, X_0=x_0, 0 \
Externí odkaz:
http://arxiv.org/abs/2412.00005
Autor:
Rao, B. L. S. Prakasa
We discuss nonparametric estimation of the trend coefficient in models governed by a stochastic differential equation driven by a multiplicative stochastic volatility.
Externí odkaz:
http://arxiv.org/abs/2411.06865
Autor:
Rao, B. L. S. Prakasa
Kotlarski (1978) proved a result on identification of the distributions of independent random variables $X,Y$ and $Z$ from the joint distribution of the bivariate random vector $(U,V)$ where $(U,V)= (\max(X,Z),\max(Y,Z)).$ We extend this result to th
Externí odkaz:
http://arxiv.org/abs/2407.10111
Autor:
Rao, B. L. S. Prakasa
We investigate the valuation of the bid and ask prices for European option under the mixed fractional Brownian motion environment in the presence of superimposed jumps by an independent Poisson process.
Externí odkaz:
http://arxiv.org/abs/2406.16373
Nonparametric estimation of linear multiplier for processes driven by a bifractional Brownian motion
Autor:
Rao, B. L. S. Prakasa
We study the problem of nonparametric estimation of the linear multiplier function $\theta(t)$ for processes satisfying stochastic differential equations of the type $$dX_t=\theta(t)X_tdt+\epsilon dW_t^{H,K}, X_0=x_0,0\leq t \leq T$$ where $\{W_t^{H,
Externí odkaz:
http://arxiv.org/abs/2406.07889
Autor:
Rao, B. L. S. Prakasa
We derive some maximal inequalities for the bifractional Brownian motion using comparison theorems for Gaussian processes.
Externí odkaz:
http://arxiv.org/abs/2406.06944
Autor:
Rao, B. L. S. Prakasa
Most of the characterizations of probability distributions are based on properties of functions of possibly independent random variables. We investigate characterizations of probability distributions through properties of minima or maxima of max-inde
Externí odkaz:
http://arxiv.org/abs/2312.04951
The aim of this work is to obtain discrete versions of stochastic Gronwall inequalities involving demimartingale sequences. The results generalize the respective theorems for martingales provided by Kruse and Scheutzow (2018) and Hendy et al. (2022).
Externí odkaz:
http://arxiv.org/abs/2306.13386
Autor:
Rao, B. L. S. Prakasa
We introduce a generalized mixed fractional Brownian motion (gmfBm) as a linear combination of two independent fractional Brownian motions with possibly different Hurst indices and investigate conditions under which the time-changed gmfBm exhibit lon
Externí odkaz:
http://arxiv.org/abs/2301.02787
Autor:
Rao, B. L. S. Prakasa
We discuss some conditional generalized Borel-Cantelli lemmas and investigate their quantitative versions following the ideas of Arthan and Oliva (arXiv: 2012.09942).
Externí odkaz:
http://arxiv.org/abs/2211.15964