由列维过程驱动的随机微分方程模型中对数似然函数的二阶导数
概率论
2014-10-13 v1
摘要
借助 Malliavin 随机变分法，我们针对一个基于对由列维过程驱动的随机微分方程解进行离散时间观测的模型，给出了对数似然函数二阶导数的积分表示。
引用
@article{arxiv.1410.2880,
title = {Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations},
author = {D. O. Ivanenko},
journal= {arXiv preprint arXiv:1410.2880},
year = {2014}
}
备注
arXiv admin note: substantial text overlap with arXiv:1301.5141