Nonlinear McKean-Vlasov diffusions under the weak Hormander condition with quantile-dependent coefficients

no code implementations • 11 Jan 2021 • Yaozhong Hu, Michael A. Kouritzin, Jiayu Zheng

The approach relies on the apriori bounds for the density of the solution to time inhomogeneous diffusions.

Probability

Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme

no code implementations • 8 Oct 2020 • Nishant Agrawal, Yaozhong Hu

In this paper, we obtain the existence, uniqueness and positivity of the solution to delayed stochastic differential equations with jumps.

Estimation of all parameters in the reflected Orntein-Uhlenbeck process from discrete observations

no code implementations • 10 Sep 2020 • Yaozhong Hu, Yuejuan Xi

Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem.

Statistics Theory Statistics Theory 62M05, 62F12