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03/20/2023
Statistical inference for discretely sampled stochastic functional differential equations with small noise
Estimating parameters of drift and diffusion coefficients for multidimen...
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09/13/2022
Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Lévy Process
We disucss a statistical estimation problem of an optimal dividend barri...
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07/20/2022
Threshold estimation for jump-diffusions under small noise asymptotics
We consider parameter estimation of stochastic differential equations dr...
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06/19/2022
Estimating the finite-time ruin probability of a surplus with a long memory via Malliavin calculus
We consider a surplus process of drifted fractional Brownian motion with...
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01/18/2022
Least squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
We consider stochastic differential equations (SDEs) driven by small Lév...
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01/02/2022
Parameter estimation of stochastic differential equation driven by small fractional noise
We study the problem of parametric estimation for continuously observed ...
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12/23/2021
Asymptotic normality of least squares estimators to stochastic differential equations driven by fractional Brownian motions
We will consider the following stochastic differential equation (SDE): ...
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12/15/2021
M-Estimation based on quasi-processes from discrete samples of Levy processes
We consider M-estimation problems, where the target value is determined ...
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12/14/2021
Confidence intervals of ruin probability under Lévy surplus
The aim of this paper is to construct the confidence interval of the ult...
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05/05/2020
Statistical errors in Monte Carlo-based inference for random elements
Monte Carlo simulation is useful to compute or estimate expected functio...
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09/03/2019