Spectral methods for identifying scalar diffusions

DOI10.1016/S0304-4076(97)00107-3zbMath0962.62094WikidataQ127725618 ScholiaQ127725618MaRDI QIDQ1298435

Nizar Touzi, Lars Peter Hansen, José Alexandre Scheinkman

Publication date: 19 June 2001

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

zbMATH Keywords

identificationdiffusionspectral decompositionembeddabilityfinancecontinuous-time models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Nonparametric inference (62G99) Applications of operator theory in probability theory and statistics (47N30)

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