Infinitesimal robustness for diffusions
ContributorsLa Vecchia, Davide; Trojani, Fabio
MandatorNCCR FINRISK National Centre of Competence in Research - Financial Valuation and Risk Management
Number of pages45
PublisherZürich : NCCR FINRISK National Centre of Competence in Research - Financial Valuation and Risk Management
Publication date2008
Abstract
Keywords
- Diffusion processes
- Eigenexpansion
- Influence function
- Infinitesimal generator
- M-estimators
- Saddle point approximation
Citation (ISO format)
LA VECCHIA, Davide, TROJANI, Fabio. Infinitesimal robustness for diffusions. 2008
Main files (1)
Report
Identifiers
- PID : unige:75159