Online drift estimation for jump-diffusion processes
نویسندگان
چکیده
We show the convergence of an online stochastic gradient descent estimator to obtain drift parameter a continuous-time jump-diffusion process. The follows path in direction function find minimum, which our case determines estimate unknown parameter. decompose deviation from deterministic into four terms: weak solution non-local Poisson equation, Riemann integral, and covariation term. This decomposition is employed prove we use simulations illustrate performance estimator.
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2021
ISSN: ['1573-9759', '1350-7265']
DOI: https://doi.org/10.3150/20-bej1319