Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
compact difference schemeKolmogorov partial differential equationstransition cumulative distribution functiontransition probability density function
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) Multivariate distribution of statistics (62H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) 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
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- The spectral collocation method for stochastic differential equations
- A theory of the term structure of interest rates
- Closed-form likelihood expansions for multivariate diffusions
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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