Estimation of the regime shifts of the volatility and the trend by a variational method

dc.contributor.author	Dibos, Françoise
dc.contributor.author	Koepfler, Georges
dc.contributor.author	Lopez, Christian
dc.date.accessioned	2011-08-29T10:53:44Z
dc.date.available	2011-08-29T10:53:44Z
dc.date.issued	2000
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/6871
dc.language.iso	en	en
dc.subject	asset allocation	en
dc.subject	risk management	en
dc.subject	constant correlation	en
dc.subject	multidimensional diffusions	en
dc.subject	scalar diffusions	en
dc.subject.ddc	519	en
dc.subject.classificationjel	C6	en
dc.title	Estimation of the regime shifts of the volatility and the trend by a variational method	en
dc.type	Document de travail / Working paper
dc.publisher.name	Université Paris-Dauphine	en
dc.publisher.city	Paris	en
dc.identifier.citationpages	12	en
dc.relation.ispartofseriestitle	Cahiers du CEREMADE	en
dc.relation.ispartofseriesnumber	15	en
dc.description.sponsorshipprivate	oui	en
dc.subject.ddclabel	Probabilités et mathématiques appliquées	en