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<p>In this paper, we consider the parameter estimation for the drift of multidimensional inhomogeneous diffusions. Using the Malliavin calculus, we first show that the local asymptotic quadraticity property holds for the singular drift parameter from high-frequency observations when the observation time tends to infinity. This completes the study on the local asymptotic properties for this class of diffusions. Then, we apply our findings to verify the local asymptotic quadraticity property for some stochastic models.</p>

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LAQ Property for Singular Drift Parameters of Diffusions with Discrete Observations

  • 期刊论文

  • 发表日期：

    2025年4月16日

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  • Vu Thi Hue,
  • Ngoc Khue Tran,
  • Hoang-Long Ngo

摘要

In this paper, we consider the parameter estimation for the drift of multidimensional inhomogeneous diffusions. Using the Malliavin calculus, we first show that the local asymptotic quadraticity property holds for the singular drift parameter from high-frequency observations when the observation time tends to infinity. This completes the study on the local asymptotic properties for this class of diffusions. Then, we apply our findings to verify the local asymptotic quadraticity property for some stochastic models.