On Lasso estimator for the drift function in diffusion models

DOI10.3150/24-BEJ1781MaRDI QIDQ6978635zbMATH OpenFDO

Authors Gabriela Ciołek, Dmytro Marushkevych, Mark Podolskij

Publication date 27 May 2025

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1959.4/105364, https://projecteuclid.org/journals/bernoulli/volume-31/issue-3/On-Lasso-estimator-for-the-drift-function-in-diffusion-models/10.3150/24-BEJ1781.full

zbMATH Keywords

concentration inequalitiesLasso estimatordiffusion modelsdrift function

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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