Small noise fluctuations of the CIR model driven by -stable noises
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Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
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Cites work
- scientific article; zbMATH DE number 782641 (Why is no real title available?)
- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
- Approximate martingale estimating functions for stochastic differential equations with small noises
- Asymptotic expansion for small diffusions applied to option pricing
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
- Estimation for stochastic differential equations with a small diffusion coefficient
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Maximnm contrast estimation for diffusion processes from discrete observations
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes
- Regularly varying functions
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Stochastic equations of non-negative processes with jumps
- Strong solutions for stochastic differential equations with jumps
Cited in
(11)- Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Hybrid estimators for small diffusion processes based on reduced data
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
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