Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations

In this paper, we consider the problem of parameter estimation for stochastic differential equations with small fractional Lévy noises, based on discrete observations. Under certain regularity conditions on drift function, the consistency of least squares estimation has been established as a small dispersion coefficient [Formula: see text] and the number of discrete points [Formula: see text] simultaneously. We also obtain the asymptotic behavior of the estimator.