3 papers
math.ST2025
Parameters estimation of a Threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
Sara Mazzonetto, Benoît Nieto
We consider a continuous time process that is self-exciting and ergodic, called threshold Chan-Karolyi-Longstaff-Sanders (CKLS) process. This process is a generalization of various…
math.PR2024
On the Itô-Alekseev-Gröbner formula for stochastic differential equations
Anselm Hudde, Martin Hutzenthaler, Arnulf Jentzen +1
In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an Itô process.…
math.ST2024
Beyond the delta method
Antoine Lejay, Sara Mazzonetto
We give an asymptotic development of the maximum likelihood estimator (MLE), or any other estimator defined implicitly, in a way which involves the limiting behavior of the score a…