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Statistical estimation and approximation of anomalous diffusion
- Title
- Statistical estimation and approximation of anomalous diffusion
- Funding
- ARC | Discovery Projects
- Contract (GA) number
- DP0345577
- Start Date
- 2003/01/01
- End Date
- 2005/12/31
- Open Access mandate
- no
- Organizations
- -
- More information
- http://purl.org/au-research/grants/arc/DP0345577
-
Linear filtering of systems with memory
Inoue, Akihiko; Nakano, Yumiharu; Anh, Vo (2004)
Projects: ARC | Statistical estimation and approximation of anomalous diffusion (DP0345577)We study the linear filtering problem for systems driven by continuous Gaussian processes with memory described by two parameters. The driving processes have the virtue that they possess stationary increments and simple semimartingale representations simultaneously. It allows for straightforward parameter estimations. After giving the semimartingale representations of the processes by innovation theory, we derive Kalman-Bucy-type filtering equations for the systems. We apply the result to the...Binary market models with memory
Inoue, Akihiko; Nakano, Yumiharu; Anh, Vo (2004)
Projects: ARC | Statistical estimation and approximation of anomalous diffusion (DP0345577)We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity. -
No project research data found
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Scientific Results
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