Generalized Peano problem with Lévy noise
Анотація
We revisit the zero-noise Peano selection problem for Lévy-driven stochastic differential equation considered in [Pilipenko and Proske, Statist. Probab. Lett., 132:62–73, 2018] and show that the selection phenomenon pertains in the multiplicative noise setting and is robust with respect to certain perturbations of the irregular drift and of the small jumps of the noise.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling
Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling
Convergence of skew Brownian motions with local times at several points that are contracted into a single one
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling
Maximum Likelihood Estimation in the Fractional Vasicek Model
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling
Boundary non-crossing probabilities for fractional Brownian motion with trend
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling
Branching measure-valued processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Financial Risk and Volatility Modeling