Stochastic differential equations with generalized stochastic volatility and statistical estimators
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Publication:4686483
DOI10.1090/tpms/1030zbMath1402.60072OpenAlexW2894801565MaRDI QIDQ4686483
Mounir Zili, Kostiantyn Ralchenko, M. Bel Hadj Khlifa, Yuliya S. Mishura, Georgiy M. Shevchenko
Publication date: 10 October 2018
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/tpms/1030
stochastic differential equationstochastic volatilitymaximum likelihood estimatorstrong consistencyweak and strong solutionsdrift parameter estimation
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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