On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
From MaRDI portal
(Redirected from Publication:307401)
Recommendations
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Least squares estimation for path-distribution dependent stochastic differential equations
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
Cites work
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 169644 (Why is no real title available?)
- scientific article; zbMATH DE number 3575446 (Why is no real title available?)
- scientific article; zbMATH DE number 3612338 (Why is no real title available?)
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- scientific article; zbMATH DE number 782641 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- An asymptotic expansion approach to pricing financial contingent claims
- An asymptotic expansion scheme for optimal investment problems
- Asymptotic expansion for small diffusions applied to option pricing
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Asymptotic theory for non-linear least squares estimator for diffusion processes
- Conditional expansions and their applications.
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Some time change representations of stable integrals, via predictable transformations of local martingales
- Statistical inference for ergodic diffusion processes.
- Stochastic differential equations. An introduction with applications.
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- The consistency of a nonlinear least squares estimator from diffusion processes
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
Cited in
(6)- Least squares estimation for path-distribution dependent stochastic differential equations
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Variable bandwidth local maximum likelihood type estimation for diffusion processes
- Least squares estimation for distribution-dependent stochastic differential delay equations
- Estimation of intrinsic growth factors in a class of stochastic population model
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
This page was built for publication: On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q307401)
