activity
20222026
most citedLeast squares estimators based on the Adams method for stochastic differential equations with small Lévy noise

2 citations · 3 across the 4 of their papers we have counts for

collaborators
Showing 2022Show all

2 papers · 1 filter

math.ST2022★ 1 cited

Threshold estimation for jump-diffusions under small noise asymptotics

Mitsuki Kobayashi, Yasutaka Shimizu

We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-typ…

math.ST2022★ 2 cited

Least squares estimators based on the Adams method for stochastic differential equations with small Lévy noise

Mitsuki Kobayashi, Yasutaka Shimizu

We consider stochastic differential equations (SDEs) driven by small Lévy noise with some unknown parameters, and propose a new type of least squares estimators based on discrete s…