An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2022.126180
Abstract: In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that… read more here.
Keywords: coefficient; drift coefficient; method; evaluations driving ... See more keywords
Bias reduction estimation for drift coefficient in diffusion models with jumps
Sign Up to like & getrecommendations! Published in 2023 at "Statistics"
DOI: 10.1080/02331888.2023.2201504
Abstract: In this paper, we reconstruct the local linear threshold estimator for the drift coefficient of a semimartingale with jumps. Under mild conditions, we provide the asymptotic normality of our estimator in the presence of finite… read more here.
Keywords: bias reduction; drift coefficient; estimation drift; reduction estimation ... See more keywords