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Faculty of Science and Tech...
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5
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WU Jianglun
3
WANG Qingguo
2
JIN Peng
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4
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Mean reversion
3
Girsanov transformation
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asymptotic distribution of ...
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consistency of least square...
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discrete observation
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least square estimator (LSE)
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2007 IEEE International Con...
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Volterra square-root process: Stationarity and regularity of the law
Journal article
Annals of Applied Probability,2024, volume: 34, issue: 1 A, pages: 318-356
Authors:
Friesen, Martin
;
Jin, Peng
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View/Download:7/0
  |  
Submit date:2024/03/12
absolute continuity
Affine Volterra processes
limiting distributions
mean-reversion
square-root process
Volterra integral equations
Estimation of intrinsic growth factors in a class of stochastic population model
Journal article
Stochastic Analysis and Applications,2019, volume: 37, issue: 4, pages: 602-619
Authors:
Li, Jingjie
;
Wu, Jianglun
;
Zhang, Guang
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View/Download:1/0
  |  
Submit date:2023/05/30
asymptotic distribution of LSE
consistency of least square estimator
discrete observation
environmental factors
Girsanov transformation
intrinsic rate of growth
least square estimator (LSE)
nonlinear mean-reversion type SDEs
Population growth model
On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
Journal article
Advances in Difference Equations,2016, volume: 2016, issue: 1
Authors:
Li, Jingjie
;
Wu, Jianglun
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View/Download:1/0
  |  
Submit date:2023/05/30
asymptotic distribution of LSE
consistency of least square estimator
discrete observation
Girsanov transformation
least square estimator (LSE)
mean-reversion type SDEs
Pricing CDO tranches in an intensity based model with the mean reversion approach
Journal article
Mathematical and Computer Modelling,2010, volume: 52, issue: 5-6, pages: 814-825
Authors:
Wu, Jianglun
;
Yang, Wei
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View/Download:1/0
  |  
Submit date:2023/05/30
Cashflow CDO
Collateralized debt obligations (CDOs)
Credit risk
Intensity based model
Mean reversion
Synthetic CDO
Investment strategies for stock markets with mean reversion
Conference paper
2007 IEEE International Conference on Control and Automation, Guangzhou, China, 30 May 2007 through 1 June 2007
Authors:
Eng, Minghao
;
Wang, Qingguo
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View/Download:2/0
  |  
Submit date:2021/07/22
Dollar cost averaging
Mean reversion
Value averaging
Modeling of stock markets with mean reversion
Conference paper
2007 IEEE International Conference on Control and Automation, Guangzhou, China, 30 May 2007 through 1 June 2007
Authors:
Eng, Minghao
;
Wang, Qingguo
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View/Download:2/0
  |  
Submit date:2021/07/22
Mean reversion