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

DOI10.2307/3214986zbMath0873.65134OpenAlexW2083565518MaRDI QIDQ3122870

Eckhard Platen, Michael Sørensen, Henri Schurz, 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) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99)

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