On effects of discretization on estimators of drift parameters for diffusion processes

DOI10.2307/3214986MaRDI QIDQ3122870zbMATHOpenAlexFDO

Authors Eckhard Platen, Henri Schurz, Michael Sørensen, Peter E. Kloeden

Publication date 4 May 1997

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214986

zbMATH Keywords

maximum likelihood estimationnumerical examplesstochastic differential equationsinference for stochastic processesstochastic Taylor expansionsdiscrete time sampling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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