Approximate martingale estimating functions for stochastic differential equations with small noises

DOI10.1016/j.spa.2007.10.008zbMath1145.62065MaRDI QIDQ947158

Masayuki Uchida

Publication date: 29 September 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.10.008

zbMATH Keywords

eigenfunctions; asymptotic efficiency; discrete time observations; diffusion processes with small dispersion parameters

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

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

60J60: Diffusion processes

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Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises

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