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math.PR2025
Efficient estimation of jump parameters for stochastic differential equations driven by L{é}vy processes
Elise Bayraktar, Emmanuelle Clément
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{é}vy process with…
math.PR2024
Estimation of a pure-jump stable Cox-Ingersoll-Ross process
Elise Bayraktar, Emmanuelle Clément
We consider a pure-jump stable Cox-Ingersoll-Ross (-stable CIR) process driven by a non-symmetric stable L{é}vy process with jump activity (1, 2) and we address the…