PARAMETER ESTIMATION FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY SMALL STABLE NOISES FROM DISCRETE OBSERVATIONS

We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of converge...

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Veröffentlicht in:	Acta mathematica scientia 2010-05, Vol.30 (3), p.645-663
1. Verfasser:	龙红卫
Format:	Artikel
Sprache:	eng
Schlagworte:	60G52 60J75 62F12 62M05 Asymptotic distribution of LSE Asymptotic properties Consistency consistency of LSE Convergence Differential equations discrete observations Least squares method Mathematical analysis Noise parameter estimation small α-stable noises stable distribution stochastic differential equations Stochasticity 参数估计最小二乘估计渐近分布漂移参数离散性稳态噪声随机微分方程驱动方程
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