5 citations · 5 across the 10 of their papers we have counts for
3 papers · 1 filter
Parameter Estimation for Partially Observed McKean-Vlasov Diffusions
Ajay Jasra, Mohamed Maama, Raul Tempone
In this article we consider likelihood-based estimation of static parameters for a class of partially observed McKean-Vlasov (POMV) diffusion process with discrete-time observation…
Modeling of Measurement Error in Financial Returns Data
Ajay Jasra, Mohamed Maama, Aleksandar Mijatović
In this paper we consider the modeling of measurement error for fund returns data. In particular, given access to a time-series of discretely observed log-returns and the associate…
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…