Asymptotic properties of Monte Carlo estimators of diffusion processes

DOI10.1016/j.jeconom.2005.06.028zbMath1418.62287MaRDI QIDQ278039

René Garcia, Marcel Rindisbacher, Jérôme B. Detemple

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2003s-11.pdf

zbMATH Keywords

diffusion processes; simulation-based estimation; Doss transformation; Monte Carlo estimators

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

Related Items

Efficient estimation of general dynamic models with a continuum of moment conditions, Monte Carlo methods for derivatives of options with discontinuous payoffs, Alternative models for stock price dynamics.