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- W1744346913 abstract "In this paper, we consider the exponential functional (A_{infty}=int_0^infty e^{-xi_s}ds) of a L{e}vy process (xi_s) and aim to estimate the characteristics of (xi_{s}) from the distribution of (A_{infty}). We present a new approach, which allows to statistically infer on the L{e}vy triplet of (xi_{t}), and study the theoretical properties of the proposed estimators. The suggested algorithms are illustrated with numerical simulations." @default.
- W1744346913 created "2016-06-24" @default.
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- W1744346913 date "2013-12-17" @default.
- W1744346913 modified "2023-09-27" @default.
- W1744346913 title "Statistical inference for exponential functionals of L'evy processes" @default.
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