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Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
Stochastics and Dynamics  (IF0.98),  Pub Date : 2021-05-18, DOI: 10.1142/s0219493721500477
Qian Yu, Guangjun Shen, Wentao Xu

In this paper, we consider the problem of parameter estimation for stochastic differential equations with small fractional Lévy noises, based on discrete observations. Under certain regularity conditions on drift function, the consistency of least squares estimation has been established as a small dispersion coefficient $𝜀→0$ and the number of discrete points $n→∞$ simultaneously. We also obtain the asymptotic behavior of the estimator.