Nonparametric estimation of Levy processes with a view towards mathematical finance
Model selection methods and nonparametric estimation of Levy densities are presented. The estimation relies on the properties of Levy processes for small time spans, on the nature of the jumps of the process, and on methods of estimation for spatial Poisson processes. Given a linear space S of possi...
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| Format: | Others |
| Language: | en_US |
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Georgia Institute of Technology
2005
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| Online Access: | http://hdl.handle.net/1853/5261 |