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- Mátyás Barczy, G. Pap
- 2008

We consider a process (X (α) t )t∈[0,T ) given by the SDE dX (α) t = αb(t)X (α) t dt+σ(t) dBt, t ∈ [0, T ), with initial condition X 0 = 0, where T ∈ (0,∞], α ∈ R, (Bt)t∈[0,T ) is a standard Wiener… (More)

- Mátyás Barczy, G. Pap
- 2008

First we consider a process (X (α) t )t∈[0,T ) given by a SDE dX (α) t = αb(t)X (α) t dt + σ(t) dBt, t ∈ [0, T ), with a parameter α ∈ R, where T ∈ (0,∞] and (Bt)t∈[0,T ) is a standard Wiener… (More)

- Mátyás Barczy, Gyula Pap
- Periodica Mathematica Hungarica
- 2005

First we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we… (More)

- Mátyás Barczy, Peter Kern, G. Pap
- 2014

Dilatively stable processes generalize the class of infinitely divisible self-similar processes. We reformulate and extend the definition of dilative stability introduced by Iglói (2008) using… (More)

- Mátyás Barczy, Peter Kern
- 2010

We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representations (in terms of a… (More)

In this paper the integer-valued autoregressive model of order one, contaminated with additive or innovational outliers is studied in some detail, parameter estimation is also addressed. In… (More)

- Leif Döring, Mátyás Barczy
- 2012

We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti’s transformation via jump type SDEs. As applications, we give direct constructions of pssMps… (More)

- Mátyás Barczy, G. Pap
- 2006

We prove an analogue of the portmanteau theorem on weak convergence of probability measures allowing measures which are unbounded on an underlying metric space but finite on the complement of any… (More)

- Mátyás Barczy, Marton Ispany, G. Pap
- 2009

In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order p (INAR(p)) is described. Under a natural assumption it is proved that the sequence of appropriately… (More)

- Mátyás Barczy, G. Pap, Tamás Szabó
- 2016

where a > 0, b, α, β ∈ R, σ1 > 0, σ2 > 0, ̺ ∈ (−1, 1), and (Wt, Bt)t>0 is a 2-dimensional standard Wiener process, see Heston [7]. We investigate only the so-called subcritical case, i.e., when b >… (More)