K. Ralchenko

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20152022

most citedMaximum likelihood estimation in the non-ergodic fractional Vasicek model

6 citations · 9 across the 8 of their papers we have counts for

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math.ST2021

Parameter estimation in CKLS model by continuous observations

Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar

We consider a stochastic differential equation of the form $d r_{t} = (a - b r_{t}) d t + σ r_{t}^{β} d W_{t}$ , where $a$ , $b$ and $σ$ are positive constants, $β \in (\frac{1}{2}, 1)$ . We study the esti…