Generators of Feller semigroups with coefficients depending on parameters and optimal estimators (Q2467062)

This paper follows one Feller's classical boundary theory on the realization of semigroups of one-dimensional elliptic operators to the special operators with diffusion coefficient of power function \(x^{2 \alpha}\) and drift \(a x^{2 \alpha -1}+ \theta x^ \alpha \) on the interval \((0, + \infty)\) under Wentzell's boundary conditions. The most interesting part is for the GMM estimation (Generalized Method of Moments by L.\,P.\thinspace Hansen) of parameters \(\alpha\) and \(\theta\), knowing \(n_T\) values of the diffusion processes at \(n_T\) fixed times, in the special case of \( \alpha = 1/2\), which is connected to financial mathematics. A simulation study of the estimators is performed by discrete approximation of the SDEs and the simulation results obtained are discussed in the paper.