Parameter estimation in models generated by SDEs with symmetric alpha-stable noise

DOI10.1080/00207160.2022.2080499zbMath1524.60002arXiv2103.06979OpenAlexW3138487967MaRDI QIDQ6101968

Unnamed Author, D. O. Ivanenko

Publication date: 20 June 2023

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.06979

zbMATH Keywords

parameter estimationLévy processesnumerical optimizationSDEalpha-stable processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Software, source code, etc. for problems pertaining to probability theory (60-04)

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