Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 30 September 2020Accepted: 22 June 2021Published online: 26 October 2021Keywordscontinuous-time ARMA processes, transition density, pricing derivativesAMS Subject Headings60G99, 91G60, 91G80Publication DataISSN (online): 1945-497XPublisher: Society for Industrial and Appl...

We introduce a treatment of parametric estimation in which optimality of an estimator is measured in probability rather than in variance (the measure for which the strongest general results are known in statistics). Our motivation is that the quality of an approximation algorithm is measured by the probability that it fails to approximate the desired quantity within a set tolerance. We concentr...