44 citations · 60 across the 11 of their papers we have counts for
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math.ST2017
Controlled Mean-Reverting Estimation for The AR(1) Model with Stationary Gaussian Noise
Chunhao Cai
This paper deals with the maximum likelihood estimator for the mean-reverting parameter of a first order autoregressive models with exogenous variables, which are stationary Gaussi…
math.PR2017★ 1 cited
Simulation of Integro-Differential Equation and Application in Estimation of Ruin Probability with Mixed Fractional Brownian Motion
Chunhao Cai, Weilin Xiao
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian…