Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (Q731952)

scientific article

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English	Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises	scientific article

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instance of

scholarly article

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title

Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (English)

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author

Hongwei Long

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published in

Statistics \& Probability Letters

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publication date

9 October 2009

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spl.2009.06.018

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cites work

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Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions

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\(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps

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An asymptotic expansion scheme for optimal investment problems

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Information criteria for small diffusions via the theory of Malliavin-Watanabe

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Asymptotic expansion for small diffusions applied to option pricing

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Conditional expansions and their applications.

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Identifiers

zbMATH Open document ID

1171.62046

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DOI

10.1016/j.spl.2009.06.018

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:731952