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pro vyhledávání: '"Surya, Budhi Arta"'
Autor:
Surya, Budhi Arta
This paper revisits classical works of Rauch (1963, et al. 1965) and develops a novel method for maximum likelihood (ML) smoothing estimation from incomplete information/data of stochastic state-space systems. Score function and conditional observed
Externí odkaz:
http://arxiv.org/abs/2303.16364
Autor:
Surya, Budhi Arta
This paper revisits the work of Rauch et al. (1965) and develops a novel method for recursive maximum likelihood particle filtering for general state-space models. The new method is based on statistical analysis of incomplete observations of the syst
Externí odkaz:
http://arxiv.org/abs/2211.04631
Autor:
Surya, Budhi Arta
This paper presents some results on the maximum likelihood (ML) estimation from incomplete data. Finite sample properties of conditional observed information matrices are established. They possess positive definiteness and the same Loewner partial or
Externí odkaz:
http://arxiv.org/abs/2108.01243
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and ban
Externí odkaz:
http://arxiv.org/abs/1904.03356
Autor:
Frydman, Halina, Surya, Budhi Arta
Publikováno v:
Canadian Journal of Statistics; Dec2024, Vol. 52 Issue 4, p1-23, 23p
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than the riskles
Externí odkaz:
http://arxiv.org/abs/1501.00026
Autor:
Surya, Budhi Arta, Yamazaki, Kazutoshi
Publikováno v:
Int. J. Theor. Appl. Finan., Volume 17, Issue 02, March 2014
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007).
Externí odkaz:
http://arxiv.org/abs/1109.0897
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