We consider a jump-type Cox–Ingersoll–Ross (CIR) process driven by a standard Wiener
process and a subordinator, and we study asymptotic properties of the maximum likelihood …

This paper deals with the problem of global parameter estimation of affine diffusions in
$\mathbb {R} _+\times\mathbb {R}^ n $ denoted by $ AD (1, n) $ where $ n $ is a positive …

The purpose of the present work is to construct estimators for the random effects in a
fractional diffusion model using a hybrid estimation method where we combine parametric …

This paper deals with the problem of global parameter estimation of AD (1, n) where n is a
positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic, and …

In this paper, we consider a one‐dimensional Cox‐Ingersoll‐Ross (CIR) process whose drift
coefficient depends on unknown parameters. Considering the process discretely observed …

We study asymptotic properties of conditional least squares estimators for the drift
parameters of two-factor affine diffusions based on continuous time observations. We …

We consider a stable Cox–Ingersoll–Ross process driven by a standard Wiener process and
a spectrally positive strictly stable Lévy process, and we study asymptotic properties of the …

Multilevel Monte Carlo methods and statistical inference for financial models Page 1 HAL Id:
tel-01684717 https://theses.hal.science/tel-01684717v2 Submitted on 23 May 2021 HAL is a …

The Existence, Uniqueness and Continuity of a Solution to Mixed Fractional Constant Elasticity
of Variance Model with Double Sto Page 1 Annals of Pure and Applied Mathematics Vol. 25, No …

In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven
by a Brownian motion and a subordinator, whose growth rate is a unknown parameter. The …