Efficient estimation for stable-Lévy SDEs with constant scale coefficient.
6 février 2025 @ 09:15 – 10:15 – In this work, the joint parametric estimation of the drift coefficient, the scale coefficient, and the jump activity index in stochastic differential equations driven by a symmetric stable Lévy process is considered based on high-frequency observations. Firstly, the LAMN property for the corresponding Euler-type scheme is proven, and lower bounds for the estimation risk in […]