Approximate Maximum Likelihood Estimation for a Two-Threshold Lévy Process: Convergence Assessment and Data Applications
This paper presents an approach to modelling complex dynamical systems using a two-threshold Lévy process, which allows for changes in process properties when crossing critical values. The proposed model combines three key components – drift, diffusion, and jump – which together enable the descripti...
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| Date: | 2025 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Кам'янець-Подільський національний університет імені Івана Огієнка
2025
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| Online Access: | http://mcm-math.kpnu.edu.ua/article/view/338001 |
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| Journal Title: | Mathematical and computer modelling. Series: Physical and mathematical sciences |