3 papers
math.ST2026
Nonparametric estimation of linear multiplier for processes driven by a Hermite process
B. L. S. Prakasa Rao
We study the problem of nonparametric estimation of the linear multiplier function for processes satisfying stochastic differential equations of the type $$dX_t=θ(t) X_tdt…
math.PR2025
Doob-type optional sampling theorems for demimartingales with applications to associated sequences
Milto Hadjikyriakou, B. L. S Prakasa Rao
We establish optional sampling inequalities for demimartingales and demisubmartingales under suitable monotonicity assumptions on the stopping rule. First, we establish comparison…
math.ST2024
Nonparametric estimation of linear multiplier for stochastic differential equations driven by multiplicative stochastic volatility
B. L. S Prakasa Rao
We study the problem of nonparametric estimation of the linear multiplier function for processes satisfying stochastic differential equations of the type $$dX_t= θ(t)X_t d…