1 Arnold V I. Mathematical Methods of Classical Mechanics. Springer-Verlag, 1978
2 Bellman R. Introduction to Matrix Analysis. McGraw-Hill Book Company, INC. 1960
3 Black F, Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy, 1973,81:
637-654
4 Cambanis S, Hu Y Z. The exact convergence rate of Euler-Maruyama scheme and application to sample
design. Stochastics and Stochastics Report, 1996, in press
5 Clement E. Correction du bias pour l’estimation d’une diffusion fond´ee sur une approximation de la
vraisemblance. C R Acad Sci Paris, 1996, t322: 281-284
6 Duffie D. State-space models of the term structure of interest rate. Preprint, 1996
7 Duffie D. Security markets : stochastic models. Academic Press, 1988
8 Dacunha-Castelle D, Florens D. Estimation of the coefficient of a diffusion from discrete observations.
Stochastics, 1986,19: 263-284
9 Elliott R. Estimating the implicit interest rate of a risky asset. Stochastic Processes Appl, 1994,49: 199-206
10 Fujita T, Kotani S. Onsager-Machlup function for diffusion processes. J Math Kyoto Univ, 1982/83,22:
115-130
11 Goodwin G, Payne R. Dynamic System Identification. Academic Press, 1977
12 Henrici P. Discrete variable methods in ordinary differential equations. New York: Wiley, 1962
13 Hull J C. Options, Futures, and other Derivatives Securities. 2nd edition. Prentice-Hall, INC. 1993
14 Hu Y Z, Øksendal B. Optimal time to invest when the price processes are geometric Brownian motions
(Submitted)
15 Hu Y Z. Strong and weak convergence rate of time discretization schemes. In: Azema J, Emery M, Meyer
P A, Yor M eds. S´eminaire des Prob. XXX. Springer, 1996. 218-227
16 Hu Y,Watanabe S. Donsker delta function and approximation of heat kernel. J Math Kyoto Univ, 1996,36:
499-518
17 Ikeda N, Watanabe S. Stochastic Differential Equations and Diffusion Processes. Second edition. North
Holland, 1989
18 Jean W H. The geometric mean and stochastic dominance. Journal of Finance, 1980,35: 151-158
19 Karatzas I, Shreve S. Brownian Motion and Stochastic Calculus. Springer-Verlag, 1988
20 Latan´e H A. Criteria for choice among risky ventures. Journal of Political Economy, 1959,67: 144-155
21 Kloeden P, Platen E. Numerical Solution of Stochastic Differential Equations. Springer-Verlag, 1992
22 Mayer-Wolf E, Zeitouni O. Onsager-Machlup functionals for non-trace-class SPDEs. Prob Th Rel Fields,
1993,95: 199-216
23 Øksendal B. Stochastic Differential Equations: An Introduction with Applications. Fifth Edition. Springer,
1998
24 Onsager L, Machlup S. Fluctuations and Irreversible processes. I, II, Phys Rev, 1953,91: 1505-1512,
1512-1515
25 Rogers L C G, Satchell S E. Estimating variance from high, low and closing prices. Ann Appl Prob, 1991,1:
504-512
26 Takahashi Y, Watanabe S. The probability functionals (Onsager-Machlup functions) of diffusion processes,
In: Stochastic Integral (Proc Sympos Univ Durham, Durham, 1980). Lect Notes in Math, 1981,851: 433-
463
27 Vander Weide J H, Peterson D W, Maier S F. Strategy which maximizes the geometric mean return on
portfolio investments. Management Science, 1976/77,23: 1117-1123
28 Zeitouni O. On the Onsager-Machlup functional of diffusion processes around non-C2 curves. Ann Prob,
1989, 1037-1054 |