L<sub>∞</sub>-norm minimum distance estimation for stochastic differential equations driven by small fractional Lévy noise

L<sub>∞</sub>-norm minimum distance estimation for stochastic differential equations driven by small fractional Lévy noise

This paper is concerned with $ L_{\infty} $-norm minimum distance estimation for stochastic differential equations driven by small fractional Lévy noise. By applying the Gronwall-Bellman lemma, Chebyshev's inequality and Taylor's formula, the minimum distance estimator is established and t...

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Bibliographic Details
Main Authors: Huiping Jiao, Xiao Zhang, Chao Wei
Format: Article
Language:English
Published: AIMS Press 2023-01-01
Series:AIMS Mathematics
Subjects:
l<sub>∞</sub>-norm minimum distance estimation
stochastic differential equations
small fractional lévy noise
consistency
asymptotic distribution
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023107?viewType=HTML
Description
Summary:This paper is concerned with $ L_{\infty} $-norm minimum distance estimation for stochastic differential equations driven by small fractional Lévy noise. By applying the Gronwall-Bellman lemma, Chebyshev's inequality and Taylor's formula, the minimum distance estimator is established and the consistency and asymptotic distribution of the estimator are derived when a small dispersion coefficient $ \varepsilon\rightarrow 0 $.
ISSN:2473-6988

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