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07/01/2022
Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
We study maximum-likelihood-type estimation for diffusion processes when...
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09/17/2021
Efficient drift parameter estimation for ergodic solutions of backward SDEs
We derive consistency and asymptotic normality results for quasi-maximum...
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05/01/2021
Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes
We study sufficient conditions for local asymptotic mixed normality. We ...
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05/29/2020
Malliavin calculus techniques for local asymptotic mixed normality and their application to degenerate diffusions
We study sufficient conditions for a local asymptotic mixed normality pr...
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12/26/2019