Malliavin calculus approach to statistical inference for Lévy driven SDE's

DOI10.1007/S11009-013-9387-YMaRDI QIDQ2340302zbMATH OpenOpenAlexFDO

Authors D. O. Ivanenko, A. M. Kulik

Publication date 16 April 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.5141

zbMATH Keywords

Cramer-Rao inequalitylikelihood functionLévy driven SDEMalliavin calculusregular statistical experiment

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12)

Abstract: By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation dX_t=a_ heta(X_t)dt + dZ_t with a tempered alpha-stable process Z. Using these representations, regularity of the statistical experiment and the Cramer-Rao inequality are proved.

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Cited in

(12)

• Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
• Terminal-dependent statistical inference for the integral form of FBSDE
• The Malliavin gradient method for the calibration of stochastic dynamical models
• Statistical inference for time-changed Lévy processes via Mellin transform approach
• Statistical inference and Malliavin calculus
• Second derivative of the log-likelihood in the model given by a Lévy driven SDEs
• Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
• LAN property for discretely observed solutions to Lévy driven SDE's
• scientific article; zbMATH DE number 926563 (Why is no real title available?)
• Terminal-Dependent Statistical Inferences for FBSDE
• scientific article; zbMATH DE number 6470865 (Why is no real title available?)
• Parameter estimation in models generated by SDEs with symmetric alpha-stable noise

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