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Your search keyword '"time-inhomogeneous model"' showing total 3 results
Start Over Descriptor "time-inhomogeneous model"
3 results on '"time-inhomogeneous model"'

1. A Selective Overview of Nonparametric Methods in Financial Econometrics.

Author

Jianqing Fan

Subjects
ECONOMETRICS, ECONOMETRIC models, MARKET volatility, HEAT equation, PROBABILITY theory, ESTIMATION theory
Abstract

This paper gives a brief overview of the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inference for instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline the main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications. [ABSTRACT FROM AUTHOR]

Published
2005
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2. Rule-Based Modelling and Simulation of Drug-Administration Policies

Author

Bortolussi, L., Krüger, T., Thorsten Lehr, Wolf, V., K. Rupp, W. Thacker, L. T. Watson, M. Sosonkina, Bortolussi, Luca, Kruger, Thilo., Wolf, Verena, and Lehr, Thorsten

Subjects
time-inhomogeneous models, drug design, Rule based modelling, stochastic simulation, time-inhomogeneous model
Abstract

We investigate a model of drug administration in the con- text of a plaque-formation process responsible of Alzheimer’s disease. This is a polymerisation process, best described by a rule-based model to counteract the intrinsic combinatorial explosion of the underlying re- action network. Furthermore, there is the additional complicancy of time- dependent rates, modelling the effect of drugs. In the paper, we provide a novel and efficient rejection-based simulation algorithm that samples exactly the trajectory space and apply it to study the efficacy of different drug administration policies.

Published
2015

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