Estimating functions for SDE driven by stable Lévy processes

DOI10.1214/18-AIHP920zbMath1467.60033OpenAlexW2742749529MaRDI QIDQ2337827

Arnaud Gloter, Emmanuelle Clément

Publication date: 20 November 2019

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1569398871

zbMATH Keywords

stochastic differential equationMalliavin calculusLévy processstable processestimating functionsparametric inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52)

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Hellinger and total variation distance in approximating Lévy driven SDEs ⋮ Joint estimation for SDE driven by locally stable Lévy processes ⋮ Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes ⋮ On a projection least squares estimator for jump diffusion processes ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Regularized bridge-type estimation with multiple penalties ⋮ Nonparametric Gaussian inference for stable processes

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