Distinction between continuous time and discrete time
DISCRETE time or CONTINUOUS time. At yp e
... Stochastic Processes and the Basic Term-Structure Equation 1 Stochastic Processes Any variable whose value changes over time in an uncertain way is called a Stochastic Process. Stochastic Processes can be classi ...
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DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
... the continuous time MA component has empirical impact, eliminating the presence of serial correlation in the residuals of the nested (and more common) ARMA(2, 0) ...in continuous time systems, ...
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Continuous Time Modelling Based on an Exact Discrete Time Representation
... of continuous time models in other areas of the social sciences and science more generally, such as ...with continuous time methods in econometrics and contains seven sub- ...exact ...
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Continuous Time Modelling Based on an Exact Discrete Time Representation
... of continuous time models in other areas of the social sciences and science more generally, such as ...with continuous time methods in econometrics and contains seven sub- ...exact ...
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The Duration of Trade Revisited: Continuous-Time vs. Discrete-Time Hazards
... with continuous-time models such as the Cox model, and to propose alternative discrete-time models which are more suitable for ...with discrete-time models there is no problem ...
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Discrete Time or Continuous Time, That is the Question: the Case of Samuelson’s Multiplier Accelerator Model
... of continuous-time or discrete-time in mathematical ...the continuous-time Samuelson’s multiplier-accelerator model and compare this continuous-time model with its ...
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Forecasting volatility: does continuous time do better than discrete time?
... all continuous-time models considered in the literature are stochastic volatility models, ...for continuous-time GARCH-type ...in discrete- time, ranging from Gaussian GARCH to ...
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Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control
... of continuous-time hybrid stochastic differen- tial equations (also known as stochastic differential equations with Markovian switching) by discrete-time feedback ...by ...
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Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models
... a discrete-time presentation of the approach of Fisher and Gilles (1999), treating continuous-time representations as approximations to discrete-time ...exact ...
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Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
... literature between models devised for volatility forecasting, which are commonly specified in discrete time, and volatility modeling in continuous time which is used, among other ...
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ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data
... a continuous-time Markov chain from discrete-time data occurs in a wide range of applications and especially plays an important role in gene sequence data analysis and rating based credit risk ...
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On the robust stability of continuous-time and discrete-time time-invariant uncertain systems with rational dependence on the uncertainty: A non-conservative condition
... geneous parameter-dependent quadratic Lyapunov functions (HPD-QLFs). Moreover, it is shown that this condition is also necessary for establishing either stability or instability by using a sufficiently large degree of ...
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Fault Diagnosis of Discrete-Time Linear Systems Using Continuous Time Delay Petri Nets
... linear continuous variable dynamical system represented by a discrete state-space ...called continuous-time delay Petri net ...correspondence between discrete state-space ...
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Exponential stabilisation of continuous-time periodic stochastic systems by feedback control based on periodic discrete-time observations
... the time-varying observation frequencies have not been considered ...the time-varying property of the system and observe a periodic SDE system at the periodic time-varying ...periodic ...
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Time-Varying Parameters in Continuous and Discrete Time
... the continuous time model we ...the continuous time model, while in the second we let the autoregressive parameter itself follow a continuous time first-order ...resulting ...
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From discrete to continuous time evolutionary finance
... for time periods of arbitrary length and is time-consistent, i.e. time series with dif- ferent frequency of trade are ...[14]. Time-consistency is achieved by defining investment strategies ...
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BIlinear transformations between discrete- and continuouS- time infinite- dimensional linear systems
... a continuous-time linear system to a discrete-time one (and con- ...spondence between the solutions of the discrete- and continuous-time Lyapunov and Riccati ...
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Deterministic Parameter Change Models in Continuous and Discrete Time
... the continuous time autoregressive parameter affects all of the discrete time parameters in ...the discrete time autoregressive ...the continuous time trend ...
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Band-Limited Stochastic Processes in Discrete and Continuous Time
... underlying continuous function can be reconstituted by sinc function or Fourier ...the continuous process at a rate corresponding to the maximum fre- quency of the forcing ...correspondence between ...
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Optimal liquidation in dark pools in discrete and continuous time
... a discrete-time model which describes the stylized facts of both the dark pool and the traditional exchange and allows us to derive qualitative and quan- titative characteristics of the optimal liquidation ...
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