Asymptotic theory for linear diffusions under alternative sampling schemes
نویسندگان
چکیده
منابع مشابه
On the excursion theory for linear diffusions
We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied in detail. Letting the parameter of the exponential time tend to zero it is seen that these results connect to the corresponding results for excursions of stationary diffusions (in stationary state). We characterize al...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2015
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2014.12.015