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

DOI10.2307/3214986MaRDI QIDQ3122870zbMATH OpenOpenAlexFDO

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

discrete time samplinginference for stochastic processesmaximum likelihood estimationnumerical examplesstochastic differential equationsstochastic Taylor expansions

Mathematics Subject Classification ID

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

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