Online drift estimation for jump-diffusion processes
We show the convergence of an online stochastic gradient descent estimator to obtain the drift parameter of a continuous-time jump-diffusion process. The stochastic gradient descent follows a stochastic path in the gradient direction of a function to find a minimum, which in our case determines the...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Bernoulli Society for Mathematical Statistics and Probability
2021
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