We consider the parameter estimation problem for the non-ergodic fractional Ornstein-
Uhlenbeck process defined as $ dX_t=\theta X_tdt+ dB_t,\t\geq0 $, with a parameter $\theta> …

We consider the parameter estimation problem for the sub-fractional Ornstein–Uhlenbeck
process defined as X0= 0, dXt= θXtdt+ dStH, t⩾ 0, with parameter θ> 0, where SH is a sub …

Abstract Let α, T> 0. We study the asymptotic properties of a least squares estimator for the
parameter α of a fractional bridge defined as d X_ t=-α\, X_ t Tt\, d t+ d B_ t, 0≤ t< T, where B …

We study asymptotic properties of maximum-likelihood estimators for Heston models based
on continuous time observations of the log-price process. We distinguish three cases …

This paper is concerned with the estimation problem for incomplete information stochastic
systems from discrete observations. The suboptimal estimation of the state is obtained by …

We consider a process (X t (α)) t∈[0, T) given by the SDE d X t (α)= α b (t) X t (α) d t+ σ (t) d B
t, t∈[0, T), with initial condition X 0 (α)= 0, where T∈(0,∞], α∈ R,(B t) t∈[0, T) is a standard …

We study sample path deviations of the Wiener process from three different representations
of its bridge: anticipative version, integral representation and space–time transform …

This paper studies hypothesis testing in time inhomogeneous diffusion processes. With the
help of large and moderate deviations for the log-likelihood ratio process, we give the …

This paper is concerned with least squares estimation for Ornstein-Uhlenbeck process with
small fractional Lévy noise from discrete observations. The contrast function is given to …

This paper is concerned with parameter estimation problem for squared radial Ornstein-
Uhlenbeck process driven by α-stable noises from discrete observation. Firstly, the existence …