Approximate Transition Density Estimation of the Stochastic Cusp Model

• Main Author: Voříšek, J. (Jan)
• Format: Conference Object
• Language: English
• Published: 2016
• Subjects: multimodal distributions; stochastic cusp model; approximate transition density; Krona; Iceland
• Online Access: http://hdl.handle.net/11104/0298681

Stochastic cusp model is defined by stochastic differential equation with cubic drift. Its stationary density allows for skewness, different tail shapes and bimodality. There are two stable equilibria in bimodality case and movement from one equilibrium to another is interpreted as a crash. Qualitat...