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On a Projection Least Squares Estimator for Jump Diffusion Processes

10/24/2022

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by Hélène Halconruy, et al.

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This paper deals with a projection least squares estimator of the drift function of a jump diffusion process X computed from multiple independent copies of X observed on [0,T]. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.

Hélène Halconruy
2 publications
Nicolas Marie
15 publications

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