6 papers
Collision types and times in interacting particle systems
Sergio Andraus, Nicole Hufnagel, Jacek Małecki
We consider a system of stochastic interacting particles with general diffusion coefficient and drift functions and we study the types of collisions that arise in them. In particul…
Monte Carlo on a single sample
Nils Detering, Nicole Hufnagel, Paul Krühner
In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range of model parameters at once. The simulation method tha…
Collision times of multivariate Bessel processes with their Weyl chambers' boundaries and their Hausdorff dimension
Nicole Hufnagel, Sergio Andraus
Multivariate Bessel processes, otherwise known as radial Dunkl processes, are stochastic processes defined in a Weyl chamber that are repelled from the latter's boundary by a singu…
Hausdorff dimension of collision times in one-dimensional log-gases
Nicole Hufnagel, Sergio Andraus
We consider systems of multiple Brownian particles in one dimension that repel mutually via a logarithmic potential on the real line, more specifically the Dyson model. These syste…
Estimation of ergodic square-root diffusion under high-frequency sampling
Yuzhong Cheng, Nicole Hufnagel, Hiroki Masuda
Gaussian quasi-likelihood estimation of the parameter in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbe…
Martingale estimation functions for Bessel processes
Nicole Hufnagel, Jeannette H. C. Woerner
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel p…