Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
DOI10.1007/S11464-017-0663-YzbMATH Open1395.65120OpenAlexW2761225051WikidataQ115377926 ScholiaQ115377926MaRDI QIDQ721469FDOQ721469
Authors: Wei Gu, Pei Yan Li 
Publication date: 19 July 2018
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-017-0663-y
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Multivariate distribution of statistics (62H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) KdV equations (Korteweg-de Vries equations) (35Q53) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
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- Closed-form likelihood expansions for multivariate diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Title not available (Why is that?)
- Title not available (Why is that?)
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