2 papers
math.ST2024
Filtering and Statistical Properties of Unimodal Maps Perturbed by Heteroscedastic Noises
Fabrizio Lillo, Stefano Marmi, Matteo Tanzi +1
We propose a theory of unimodal maps perturbed by an heteroscedastic Markov chain noise and experiencing another heteroscedastic noise due to uncertain observation. We address and…
math.DS2023
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems
F. Lillo, G. Livieri, S. Marmi +2
We investigate and prove the mathematical properties of a general class of one-dimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate…