On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations

DOI10.1186/S13662-016-0819-1zbMath1346.60084OpenAlexW2316663932WikidataQ59467833 ScholiaQ59467833MaRDI QIDQ307401

Jingjie Li, Jiang-Lun Wu

Publication date: 1 September 2016

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-016-0819-1

zbMATH Keywords

asymptotic distributionconsistencyBrownian motionstochastic differential equationsleast squares estimatorGirsanov transformationdiscrete observation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (5)

Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ Least squares estimation for path-distribution dependent stochastic differential equations ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Pricing CDO tranches in an intensity based model with the mean reversion approach
• An asymptotic expansion scheme for optimal investment problems
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• An asymptotic expansion approach to pricing financial contingent claims
• The consistency of a nonlinear least squares estimator from diffusion processes
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Statistical inference for ergodic diffusion processes.
• Asymptotic expansion for small diffusions applied to option pricing
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Conditional expansions and their applications.
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Stochastic differential equations. An introduction with applications.

This page was built for publication: On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations