Error Analysis for Perturbed-Density Estimation for Multivariate Time-Changed Diffusion Processes

In this project, we will first look into the concepts of time-changing of diffusion processes, unbiased density estimation and Malliavin calculus, and then proceed to error analysis. The unbiased estimation method we examine invites infinite variance, so we aim to develop error analysis of a perturbed version of the unbiased method (that is, biased with a finite estimator variance) for multivariate time-changed diffusion processes. We may also investigate how the perturbation affects the singularity of the original density function, such as nondifferentiable cusps.

Kenneth Guo

The University of Sydney

Kenneth Guo is a third-year undergraduate student in the University of Sydney. His research focus lies somewhere on the amorphous boundary between applied (financial) mathematics and statistics, with interests in modelling the real world and also estimating certain densities. He has most recently been investigating errors of a multidimensional density estimator.

You may be interested in

Alex Oakley

Alex Oakley

Appraisal of Machine Learning Evaluation Techniques in the Context of Glacier-Generated Events
Jesse Woods

Jesse Woods

A New Weyl Multiplet for 6D N=1 Conformal Supergravity
Paimoe Tapsell

Paimoe Tapsell

Using Dense Correspondence Between 3D Morphable Faces to Determine Expression
Caren Rattray

Caren Rattray

The Perverse Incentives of Strong Enforcement
Contact Us

We're not around right now. But you can send us an email and we'll get back to you, asap.

Not readable? Change text.