2 papers
math.ST2024
Consistency of MLE for partially observed diffusions, with application in market microstructure modeling
Sergey Nadtochiy, Yuan Yin
This paper presents a tractable sufficient condition for the consistency of maximum likelihood estimators (MLEs) in partially observed diffusion models, stated in terms of stationa…
math.AP2024
Cascade equation for the discontinuities in the Stefan problem with surface tension
Yucheng Guo, Sergey Nadtochiy, Mykhaylo Shkolnikov
The Stefan problem with surface tension is well known to exhibit discontinuities in the associated moving aggregate (i.e., in the domain occupied by the solid), whose structure has…