Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations
Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations
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DOI：
10.1007/s11203-005-8114-x
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发表时间：
2006-10
影响因子：
0.8
通讯作者：
Y. Shimizu;N. Yoshida
中科院分区：
文献类型：
--
作者：
Y. Shimizu;N. Yoshida
本文考虑一类跳跃项由复合Poisson过程驱动的多维扩散过程。设a(x，θ)为漂移系数，b(x，σ)分别为扩散系数，跳跃项由泊松随机测量驱动。我们假设它的强度度量θ有一个有限的总质量。本文的目的是从一些离散数据中估计参数α=θ，σ。我们可以观察到+1个数据Attin=ihn，.我们假设→0，nHn→∞，nhN 2→0。
In this paper, we consider a multidimensional diffusion process with jumps whose jump term is driven by a compound Poisson process. Leta(x,θ) be a drift coefficient,b(x,σ) be a diffusion coefficient respectively, and the jump term is driven by a Poisson random measurep. We assume that its intensity measureqθhas a finite total mass. The aim of this paper is estimating the parameter α = (θ,σ) from some discrete data. We can observen+ 1 data attin=ihn,. We supposehn→ 0,nhn→ ∞,nhn2→ 0.