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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 , where , and are positive constants, . We study the esti…