4 papers
Estimation error for occupation time functionals of stationary Markov processes
Randolf Altmeyer, Jakub Chorowski
The approximation of integral functionals with respect to a stationary Markov process by a Riemann-sum estimator is studied. Stationarity and the functional calculus of the infinit…
Nonparametric volatility estimation in scalar diffusions: Optimality across observation frequencies
Jakub Chorowski
The nonparametric volatility estimation problem of a scalar diffusion process observed at equidistant time points is addressed. Using the spectral representation of the volatility…
Spectral estimation for diffusions with random sampling times
Jakub Chorowski, Mathias Trabs
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estima…
Hitting half-spaces or spheres by the Ornstein-Uhlenbeck type diffusions
Tomasz Byczkowski, Jakub Chorowski, Piotr Graczyk +1
The purpose of the paper is to provide a general method for computing hitting distributions of some regular subsets D for Ornstein-Uhlenbeck type operators of the form 1/2Δ+ F\cdot…