A new technique for simulating the likelihood of stochastic differential equations

DOI10.1111/1368-423X.t01-1-00075zbMath1006.60049MaRDI QIDQ4551772

João Nicolau

Publication date: 24 February 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; estimation of the transitional density; simulated likelihood method

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C99: Probabilistic methods, stochastic differential equations

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