Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions

DOI10.1016/J.SPL.2021.109259zbMath1478.60220OpenAlexW3202749715MaRDI QIDQ2070623

Xiaoyu Xia, Leyi Shen, Litan Yan

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109259

zbMATH Keywords

asymptotic distributionleast squares estimationself-interacting diffusion\(\alpha\)-stable motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60)

Cites Work

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• An asymptotic result for Brownian polymers
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• Phase transition in reinforced random walk and RWRE on trees
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Asymptotic behavior of Brownian polymers
• Self-interacting diffusions.
• Boundedness and convergence of some self-attracting diffusions
• Self attracting diffusions: Two case studies
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Rate of convergence of some self-attracting diffusions
• The strong law of large numbers for a Brownian polymer
• Lévy Processes and Stochastic Calculus

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