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05/06/2023
Functional diffusion driven stochastic volatility model
We propose a stochastic volatility model for time series of curves. It i...
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11/02/2021
Detecting Whether a Stochastic Process is Finitely Expressed in a Basis
Is it possible to detect if the sample paths of a stochastic process alm...
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10/27/2021
Nonparametric Estimation for SDE with Sparsely Sampled Paths: an FDA Perspective
We consider the problem of nonparametric estimation of the drift and dif...
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02/25/2021