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

DOI10.1504/IJDSDE.2020.109109zbMath1474.60136OpenAlexW4242977870MaRDI QIDQ2019900

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

zbMATH Keywords

parameter estimationsimulationMarkov inequalityGronwall's 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)