Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

DOI10.1007/s00180-006-0001-4zbMath1142.65309OpenAlexW2016480754MaRDI QIDQ2463649

Hermann Singer

Publication date: 16 December 2007

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-006-0001-4

zbMATH Keywords

stochastic differential equationmaximum likelihood estimationnonlinear systemextended Kalman filterHermite expansionmoment equationdiscrete measurement

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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