ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS

Testing Continuous Time Models in Financial Markets

The aim of the thesis is to provide a wide range of statistical methods designed to test parametric assumptions about the evolution of continuous time processes in financial markets. The main focus is on the statistical methodology and the investigation of the properties of the proposed methods when applied to finite samples. The latter aspect is particularly important for empirical application...

Influence Maximization in Continuous Time Diffusion Networks

The problem of finding the optimal set of source nodes in a diffusion network that maximizes the spread of information, influence, and diseases in a limited amount of time depends dramatically on the underlying temporal dynamics of the network. However, this still remains largely unexplored to date. To this end, given a network and its temporal dynamics, we first describe how continuous time Ma...

Continuous-Time Adaptive Delay System

We have developed an adaptive delay system that adjusts the delay of a delay element so that it matches the temporal disparity between the onset of two input signals. The delay is controlled either by an external bias voltage, or by an intrinsic signal derived from an adaptive block. The operation of the adaptive delay system is similar to that of a charge-pump p h e l o c k loop, with an exten...

Testing the Expectations Hypothesis in Continuous-Time

Continuous Models of Diffusion and Vibration

We shall describe the diffusion of heat energy through a long thin rod G with uniform cross section S. As before, we identify G with the open interval (a, b), and we assume the rod is perfectly insulated along its length. Let u(x, t) denote the temperature within the rod at a point x ∈ G and at time t > 0. Our previous experience shows that the heat flux q(x, t) at the point x, i.e., the flow r...