O. Dehtiar

activity

20202024

collaborators

3 papers

math.ST2024

Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion

Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar

The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-…

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…