Major Papers


Stochastic process, Drift parameters, Affine process, Hestion model


We consider a jump-type two-factor affine diffusion model driven by a subordinator in the context of continuous time observations. We study the asymptotic properties of the maximum likelihood estimator (MLE) for the drift parameters. In particular, we prove the strong consistency and the asymptotic normality of MLE in the subcritical case. We also present some numerical illustrations to confirm the theoretical results. The main difficulty of this major paper consists in proving the ergodicity of the model in the subcritical case and deriving the limiting behavior of the process.

Primary Advisor

Dr. Sévérien Nkurunziza

Program Reader

Dr. Abdul A. Hussein

Degree Name

Master of Science


Mathematics and Statistics

Document Type

Major Research Paper

Convocation Year