O. Dehtiar

collaborators

2 papers

math.ST2021

Parameter estimation in CKLS model by continuous observations

Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar

We consider a stochastic differential equation of the form $d r_{t} = (a - b r_{t}) d t + σ r_{t}^{β} d W_{t}$ , where $a$ , $b$ and $σ$ are positive constants, $β \in (\frac{1}{2}, 1)$ . We study the esti…

math.PR2020

Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations

Olena Dehtiar, Yuliya Mishura, Kostiantyn Ralchenko

We consider a stochastic differential equation of the form $d r_{t} = (a - b r_{t}) d t + σ r_{t} d W_{t}$ , where $a$ , $b$ and $σ$ are positive constants. The solution corresponds to the…