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arXiv · 1312.4731

Statistical inference for exponential functionals of Lévy processes

Abstract

In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-ξ_s}ds\) of a L{é}vy process \(ξ_s\) and aim to estimate the characteristics of \(ξ_{s}\) from the distribution of \(A_{\infty}\). We present a new approach, which allows to statistically infer on the L{é}vy triplet of \(ξ_{t}\), and study the theoretical properties of the proposed estimators. The suggested algorithms are illustrated with numerical simulations.

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BibTeXRIS

Denis Belomestny, Vladimir Panov. 2013-12-17. Statistical inference for exponential functionals of Lévy processes. https://arxiv.org/abs/1312.4731

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