Drift estimation with non-Gaussian noise using Malliavin calculus
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Publication:902228
DOI10.1214/15-EJS1101zbMath1335.60124OpenAlexW2232003246MaRDI QIDQ902228
Publication date: 7 January 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1452004957
Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
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