Least squares estimators for stochastic differential equations driven by small Lévy noises
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- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- A selective overview of nonparametric methods in financial econometrics
- A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
- An asymptotic expansion approach to pricing financial contingent claims
- An asymptotic expansion scheme for optimal investment problems
- Approximate martingale estimating functions for stochastic differential equations with small noises
- Asymptotic Statistics
- 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 properties of estimators in a stable Cox-Ingersoll-Ross model
- Conditional expansions and their applications.
- Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
- Estimation for stochastic differential equations with a small diffusion coefficient
- 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
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Lévy Processes and Stochastic Calculus
- Maximnm contrast estimation for diffusion processes from discrete observations
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- Portfolio Analysis in a Stable Paretian Market
- Quasi-likelihood analysis for the stochastic differential equation with jumps
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Stochastic equations of non-negative processes with jumps
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
Cited in
(34)- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Statistical inference for stochastic differential equations with small noises
- Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises
- Least squares estimation for path-distribution dependent stochastic differential equations
- Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
- Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
- Hybrid estimators for small diffusion processes based on reduced data
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimation for distribution-dependent stochastic differential delay equations
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
- The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- Threshold estimation for jump-diffusions under small noise asymptotics
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
- Threshold estimation for stochastic processes with small noise
- Bias correction estimation for a continuous-time asset return model with jumps
- Estimating functions for jump-diffusions
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Least squares estimators for stochastic differential equations with Markovian switching
- State estimation results for genetic regulatory networks with Lévy-type noise
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
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