Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
compact difference schemetransition probability density functionKolmogorov partial differential equationstransition cumulative distribution function
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)
- Estimating the parameters of stochastic differential equations
- Estimating parameters in diffusion processes using an approximate maximum likelihood approach
- scientific article; zbMATH DE number 1215450
- scientific article; zbMATH DE number 2147956
- The spectral collocation method for stochastic differential equations
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1330163 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- A theory of the term structure of interest rates
- Closed-form likelihood expansions for multivariate diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
This page was built for publication: Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q721469)
