4 papers
LAD estimation of locally stable SDE
Oleksii M. Kulyk, Hiroki Masuda
We prove the asymptotic mixed normality of the least absolute deviation (LAD) estimator for a locally -stable stochastic differential equation (SDE) observed at high frequency,…
How to simulate Lévy flights in a steep potential: An explicit splitting numerical scheme
Ilya Pavlyukevich, Olga Aryasova, Alexei Chechkin +1
We propose an effective explicit numerical scheme for simulating solutions of stochastic differential equations with confining superlinear drift terms, driven by multiplicative hea…
A Tail-Respecting Splitting Numerical Scheme for Lévy-Driven SDEs With Superlinear Drifts
Olga Aryasova, Oleksii Kulyk, Ilya Pavlyukevich
We present an explicit numerical approximation scheme, denoted by , for the effective simulation of solutions to a multivariate stochastic differential equation (SDE)…
Drift reduction method for SDEs driven by inhomogeneous singular L{é}vy noise
Tadeusz Kulczycki, Oleksii Kulyk, Michał Ryznar
We study SDE where , with being indepen…