Estimation for stochastic differential equations with a small diffusion coefficient
نویسندگان
چکیده
منابع مشابه
Estimation for stochastic differential equations with a small diffusion coefficient
We consider a multidimensional diffusion X with drift coefficient b(Xt, α) and diffusion coefficient εa(Xt, β) where α and β are two unknown parameters, while ε is known. For a high-frequency sample of observations of the diffusion at the time points k/n, k = 1, . . . , n, we propose a class of contrast functions and thus obtain estimators of (α, β). The estimators are shown to be consistent an...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2009
ISSN: 0304-4149
DOI: 10.1016/j.spa.2008.04.004