arXiv subjects

Jingjun Guo

Publications and source records attributed to Jingjun Guo.

3 recordsLinked to original sources

arXiv2020

Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations

We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1/2<H<1 . The studies are as follows: firstly, two unknown parameters in the model are estimated by the least squares method. Secondly, the strong consistency and the asymptotic distribution of the estimators are studied respectively. Finally, our estimators are validated by numerical simulation.

math.ST↗

arXiv2018

Higher-order Derivative Local Time for Fractional Ornstein-Uhlenbeck Processes

In this article, existence of the $k$-th order derivatives of local time $ \widehat{\alpha}^{(k)}(x,t)$ is considered for two d-dimensional fractional Ornstein-Uhlenbeck processes $X^{H_1}_t$ and $\widetilde{X}^{H_2}_s$ with Hurst parameters $H_1$ and $H_2$, respectively. Moreover, H$\hat{o}$lder regularity condition of fractional Ornstein-Uhlenbeck process $X^{H}_t$ of local time $\tilde{\alpha}^{(k)}(x,t)$ is obtained by some techniques using in Guo et al. (2017) and in Lou et al. (2017).

math.PR↗

arXiv2017

Higher-order derivative of intersection local time for two independent fractional Brownian motions

In this article, we obtain sharp conditions for the existence of the high order derivatives ($k$-th order) of intersection local time $ \widehat{\alpha}^{(k)}(0)$ of two independent d-dimensional fractional Brownian motions $B^{H_1}_t$ and $\widetilde{B}^{H_2}_s$ with Hurst parameters $H_1$ and $H_2$, respectively. We also study their exponential integrability.

math.PR↗