Stochastic differential equations with generalized stochastic volatility and statistical estimators

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

zbMATH Keywords

stochastic differential equationstochastic volatilitymaximum likelihood estimatorstrong consistencyweak and strong solutionsdrift parameter estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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