A new estimating function for discretely sampled diffusions
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Publication:5430546
DOI10.1515/ROSE.2007.005zbMath1164.62035MaRDI QIDQ5430546
Publication date: 16 December 2007
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
discretizationdiffusion processstrong consistencyItô stochastic differential equationapproximate maximum likelihood estimatorBerry-Esseen boundMalliavin covariancea new stochastic integraltruncated-Hausdorff moment problemWALL
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)
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