We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. U...We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator （LSE） when a small dispersion parameter ε→0 and n →∞ simultaneously. The asymptotic distribution of the LSE in our setting is shown to be stable, which is completely different from the classical cases where asymptotic distributions are normal.展开更多
We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discuss...We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discussed in the singular case （a0, θ0） = （0, 0）. If a0 = 0, then the mean-reverting α-stable motion becomes Ornstein-Uhlenbeck process and is studied in [7] in the ergodic case θ0 〉 0. For the Ornstein-Uhlenbeck process, asymptotics of the least squares estimators for the singular case （θ0 = 0） and for ergodic case （θ0 〉 0） are completely different.展开更多
It is proven that an autonomous system verifying some conditions has at least one stable stationary trajectory and it is also given a lower bound to the number of unstable stationary trajectorlies.
In this paper, we consider Lotka-Volterra predator-prey model between one and three species. Two cases are distinguished. The first is Lotka-Volterra model of one prey-three predators and the second is Lotka-Volterra ...In this paper, we consider Lotka-Volterra predator-prey model between one and three species. Two cases are distinguished. The first is Lotka-Volterra model of one prey-three predators and the second is Lotka-Volterra model of one predator-three preys. The existence conditions of nonnega-tive equilibrium points are established. The local stability analysis of the system is carried out.展开更多
基金supported by FAU Start-up funding at the C. E. Schmidt Collegeof Science
文摘We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator （LSE） when a small dispersion parameter ε→0 and n →∞ simultaneously. The asymptotic distribution of the LSE in our setting is shown to be stable, which is completely different from the classical cases where asymptotic distributions are normal.
基金Hu is supported by the National Science Foundation under Grant No.DMS0504783Long is supported by FAU Start-up funding at the C. E. Schmidt College of Science
文摘We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discussed in the singular case （a0, θ0） = （0, 0）. If a0 = 0, then the mean-reverting α-stable motion becomes Ornstein-Uhlenbeck process and is studied in [7] in the ergodic case θ0 〉 0. For the Ornstein-Uhlenbeck process, asymptotics of the least squares estimators for the singular case （θ0 = 0） and for ergodic case （θ0 〉 0） are completely different.
基金This work is partially supported by D.G.Y.C.T.PB 96-1338-CO 2-01 and the Junta de Andalucía.
文摘It is proven that an autonomous system verifying some conditions has at least one stable stationary trajectory and it is also given a lower bound to the number of unstable stationary trajectorlies.
文摘In this paper, we consider Lotka-Volterra predator-prey model between one and three species. Two cases are distinguished. The first is Lotka-Volterra model of one prey-three predators and the second is Lotka-Volterra model of one predator-three preys. The existence conditions of nonnega-tive equilibrium points are established. The local stability analysis of the system is carried out.
