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Author

D. Ivanenko

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Open access Oct 2026

Quasi-maximum likelihood estimation for scalar SDEs driven by stable Lévy noise

We develop a computational quasi-maximum likelihood procedure for drift-parameter estimation in discretely observed stochastic differential equations driven by α-stable Lévy noise. The transition density is evaluated numerically through a Malliavin representation and Monte Carlo simulation of the corresponding Poisson-...

R. Pogorielov, D. Ivanenko · 0 citations
Open access Sep 2026

Parameter Estimation in Multidimensional Diffusion Models with Low Regularity Coefficients

This paper studies parameter estimation for discretely observed multidimensional diffusion models with low-regularity coefficients. Since the transition density of such models is typically unavailable in closed form, likelihood-based inference becomes difficult, especially in multidimensional settings. To address this...

D. Ivanenko, R. Pogorielov · 0 citations

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