Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations

DOI10.1504/IJDSDE.2020.109109zbMATH Open1474.60136OpenAlexW4242977870MaRDI QIDQ2019900FDOQ2019900

Authors: Chao Wei 

Publication date: 22 April 2021

Published in: International Journal of Dynamical Systems and Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijdsde.2020.109109

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zbMATH Keywords

parameter estimationsimulationGronwall's inequalityMarkov inequalitydominated convergenceChan-Karoli-Longstaff-Saunders modelsmall dispersion coefficient

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cited In (2)

• Trajectory fitting estimation for a class of SDEs with small Lévy noises
• Least squares estimators for stochastic differential equations driven by small Lévy noises

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