Stochastic Analysis Common-Gustavo Schwenkler (Boston University)-Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Mathematics - Colloquium

Wednesday, February 19, 2014
3:00 PM-4:00 PM

Stratton Hall
203

ABSTRACT: This paper develops an unbiased Monte Carlo approximation to the transition density of a jump-diffusion process with state-dependent drift, volatility, jump intensity, and jump magnitude. The approximate density is used to construct a likelihood estimator of the parameters of a jump-diffusion observed at time intervals that need not be short.The estimator is asymptotically unbiased for any sample size. It is consistent and has the same limiting normal distribution as the true but uncomputable likelihood estimator. Numerical results illustrate our approach.

Suggested Audiences: College

E-mail: ma-chair@wpi.edu

Last Modified: February 14, 2014 at 10:35 AM