Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient

We consider a multidimensional diffusion X$X$ with drift coefficient b(α,_Xt)$b(\alpha ,X_t)$ and diffusion coefficient ?σ(β,_Xt)$?\sigma (\beta ,X_t)$. The diffusion sample path is discretely observed at times _tk=kΔ$t_k=k\Delta$ for k=1…n$k=1\dots n$ on a fixed interval [0,T]$[0,T]$. We study minimum contrast estimators derived from the Gaussian process approximating X$X$ for small ?$?$. We obtain consistent and asymptotically normal estimators of α$\alpha$ for fixed Δ$\Delta$ and ?→0$?\to 0$ and of (α,β)$(\alpha ,\beta )$ for Δ→0$\Delta \to 0$ and ?→0$?\to 0$ without any condition linking ?$?$ and Δ$\Delta$. We compare the estimators obtained with various methods and for various magnitudes of Δ$\Delta$ and ?$?$ based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.     

Unbounded order convergence in dual spaces

A net (_xα)$(x_{\alpha })$ in a vector lattice X   is said to be unbounded order convergent (or uo-convergent, for short) to x∈X$x\in X$ if the net (|_xα−x|∧y)$(|x_{\alpha }-x|\wedge y)$ converges to 0 in order for all y∈_X+$y\in X_{+}$. In this paper, we study unbounded order convergence in dual spaces of Banach lattices. Let X   be a Banach lattice. We prove that every norm bounded uo-convergent net in X^?$X^{?}$ is w^?$w^{?}$-convergent iff X   has order continuous norm, and that every w^?$w^{?}$-convergent net in X^?$X^{?}$ is uo-convergent iff X is atomic with order continuous norm. We also characterize among σ  -order complete Banach lattices the spaces in whose dual space every simultaneously uo- and w^?$w^{?}$-convergent sequence converges weakly/in norm.     

An approximation method for strictly pseudocontractive mappings

Let K$K$ be a closed convex subset of a q$q$-uniformly smooth separable Banach space, T:K→K$T:K\to K$ a strictly pseudocontractive mapping, and f:K→K$f:K\to K$ an L$L$-Lispschitzian strongly pseudocontractive mapping. For any t∈(0,1)$t\in (0,1)$, let _xt$x_t$ be the unique fixed point of tf+(1-t)T$\mathit{tf}+(1-t)T$. We prove that if T$T$ has a fixed point, then {_xt}$\{x_t\}$ converges to a fixed point of T$T$ as t$t$ approaches to 0.     

Abelian theorems for stochastic volatility models with application to the estimation of jump activity

In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X,V)$(X,V)$ where both the state process X$X$ and the volatility process V$V$ may have jumps. Our results relate the asymptotic behavior of the characteristic function of _XΔ$X_{\Delta }$ for some Δ>0$\Delta >0$ in a stationary regime to the Blumenthal–Getoor indexes of the Lévy processes driving the jumps in X$X$ and V$V$. The results obtained are used to construct consistent estimators for the above Blumenthal–Getoor indexes based on low-frequency observations of the state process X$X$. We derive convergence rates for the corresponding estimator and show that these rates cannot be improved in general.     

Iterative approximation of solutions of nonlinear equations of Hammerstein type

Suppose X$X$ is a real q$q$-uniformly smooth Banach space and F,K:X→X$F,K:X\to X$ are Lipschitz ?$?$-strongly accretive maps with D(K)=F(X)=X$D\left(K\right)=F\left(X\right)=X$. Let u^∗$u^{\ast }$ denote the unique solution of the Hammerstein equation u+KFu=0$u+KFu=0$. An iteration process recently introduced by Chidume and Zegeye is shown to converge strongly to u^∗$u^{\ast }$. No invertibility assumption is imposed on K$K$ and the operators K$K$ and F$F$ need not be defined on compact subsets of X$X$. Furthermore, our new technique of proof is of independent interest. Finally, some interesting open questions are included.     

Quasi-Banach spaces of almost universal disposition

We show that for each p∈(0,1]$p\in (0,1]$ there exists a separable p  -Banach space _Gp${\mathbb{G}}_p$ of almost universal disposition, that is, having the following extension property: for each ε>0$\epsilon >0$ and each isometric embedding g:X→Y$g:X\to Y$, where Y is a finite-dimensional p-Banach space and X   is a subspace of _Gp${\mathbb{G}}_p$, there is an ε  -isometry f:Y→_Gp$f:Y\to {\mathbb{G}}_p$ such that x=f(g(x))$x=f(g(x))$ for all x∈X$x\in X$.