对称α-运动驱动的Vasicek利率模型的最小二乘估计（英文）  

The least squares estimation on Vasicek interest rate model driven by a symmetric α-stable motion

作　　者：范成念 闫理坦[1] FAN Chengnian;YAN Litan(College of Science,Donghua University,Shanghai 201620,China)

机构地区：[1]东华大学理学院,上海201620

出　　处：《黑龙江大学自然科学学报》2018年第6期639-654,共16页Journal of Natural Science of Heilongjiang University

基　　金：Supported by the National Natural Science Foundation of China(11571071);the Innovation Program of Shanghai Municipal Education Commission(12ZZ063)

摘　　要：考虑如下Vasicek利率模型的参数估计问题:d Xt=(a-bXt) dt+σd Zt,其中Zt是一个对称α-稳定运动(α-稳定Lévy过程),1 <α<2,而a,b> 0是两个未知参数,σ> 0是已知的。基于离散观测,建立a与b的最小二乘估计量,研究其渐近分布,并给出相关的数值分析。Consider the parameter estimation for the Vasicek interest rate model d Xt=( a-bXt) dt + σd Zt,where Ztis a symmetric α-stable Lévy process with 1 < α < 2,a,b > 0 are two unknown parameters,and σ > 0 is known. Under the discrete observations,the least squares estimators of a and b are given,and the asymptotic behaviors and numerical simulations of the two estimators are presented.

关 键 词：VASICEK利率模型 α-稳定运动 最小二乘估计 渐近分布 

分 类 号：O175.13[理学—数学]