High-order approximation of Pearson diffusion processes
نویسندگان
چکیده
منابع مشابه
The Pearson diffusions: A class of statistically tractable diffusion processes
The Pearson diffusions is a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. Explicit optimal martingale estimating functions are found, and the corresponding estimators are shown to be consistent and asymptotically normal. The discussion covers GMM, quasi-l...
متن کاملWeak approximation of averaged diffusion processes
We derive expansion results in order to approximate the law of the average of the marginal of diffusion processes. The average is computed w.r.t. a general parameter that is involved in the diffusion dynamics. Our approximation is based on the use of proxys with normal distribution or log-normal distribution, so that the expansion terms are explicit. We provide non asymptotic error bounds, whic...
متن کاملSingle-site approximation for reaction-diffusion processes
We consider the branching and annihilating random walk A → 2A and 2A → 0 with reaction rates σ and λ, respectively, and hopping rate D, and study the phase diagram in the (λ/D, σ/D) plane. According to standard mean-field theory, this system is in an active state for all σ/D > 0, and perturbative renormalization suggests that this mean-field result is valid for d > 2; however, nonperturbative r...
متن کاملA Diffusion Approximation for Markov Renewal Processes
For a Markov renewal process where the time parameter is discrete, we present a novel method for calculating the asymptotic variance. Our approach is based on the key renewal theorem and is applicable even when the state space of the Markov chain is countably infinite.
متن کاملA High Order Approximation of the Two Dimensional Acoustic Wave Equation with Discontinuous Coefficients
This paper concerns with the modeling and construction of a fifth order method for two dimensional acoustic wave equation in heterogenous media. The method is based on a standard discretization of the problem on smooth regions and a nonstandard method for nonsmooth regions. The construction of the nonstandard method is based on the special treatment of the interface using suitable jump conditio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2012
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.01.022