On local linear approximations to diffusion processes

DOI10.1155/2011/906846MaRDI QIDQ642240zbMATHOpenAlexDBLPWikidataFDO

Authors Juan-Miguel Gracia

Publication date 26 October 2011

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2011/906846

Mathematics Subject Classification ID

Point estimation (62F10) Diffusion processes (60J60) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• A representation formula for transition probability densities of diffusions and applications
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Long-time behaviour of heat flow: Global estimates and exact asymptotics
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On conditional diffusion processes
• Smooth Transition Densities for One-Dimensional Diffusions

Cited in

(3)

• Improved local approximation for multidimensional diffusions: The G-rates
• Local Linear Approximations of Jump Diffusion Processes
• Rate of convergence of local linearization schemes for random differential equations

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