Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise

DOI10.1007/S10114-020-9121-YOpenAlexW3015529187MaRDI QIDQ1987558

Guang Jun Shen, Qing Bo Wang, Xiuwei Yin

Publication date: 15 April 2020

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-020-9121-y

zbMATH Keywords

asymptotic distributionconsistencyOrnstein-Uhlenbeck processleast squares estimatorfraction Lévy processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Least squares and related methods for stochastic control systems (93E24) Numerical solutions to stochastic differential and integral equations (65C30)

Uses Software

• YUIMA

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