87 citations · 148 across the 20 of their papers we have counts for
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Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable Lévy process, and we study asymptotic properties of…
Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations
Mohamed Ben Alaya, Ahmed Kebaier, Ngoc Khue Tran
In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at…
Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Benjamin Jourdain, Ahmed Kebaier
In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of s…