2 papers
math.ST2021
Ergodic Estimators of double exponential Ornstein-Ulenbeck process
Yaozhong Hu, Neha Sharma
The goal of this paper is to construct ergodic estimators for the parameters in the double exponential Ornstein-Uhlenbeck process, observed at discrete time instants with time step…
math.PR2019
Product Formula of Multiple Integrals of Levy Process
Nishant Agrawal, Yaozhong Hu, Neha Sharma
We derive a product formula for the multiple stochastic integrals with respect to Levy process. The idea is to use exponential vectors and the polarization technique which greatly…