On effects of discretization on estimators of drift parameters for diffusion processes

Journal of Applied Probability

Volumn 33, Issue 4, 1996, Pages 1061-1076

  Kloeden, P E ^a   Platen, E ^b   Schurz, H ^c   Sorensen M ^d  

^a DEAKIN UNIVERSITY   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^c Weierstrass Istitute for Applied Analysis and Stochastics   (Germany)

^d AARHUS UNIVERSITY   (Denmark)

Author keywords

Discrete time sampling; Inference for stochastic processes; Maximum likelihood estimation; Numerical methods; Simulation; Stochastic dieffrential equations; Stochastic taylor expansions

Indexed keywords

EID: 0030371835     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200100488     Document Type: Article

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