Estimation for stochastic differential equations with a small diffusion coefficient

DOI10.1016/j.spa.2008.04.004zbMath1157.62055OpenAlexW2011161939MaRDI QIDQ1009661

Arnaud Gloter, Michael Sørensen

Publication date: 2 April 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.04.004

zbMATH Keywords

asymptoticsdiscrete time observationshigh frequency dataCIR modelminimum contrast estimationdiffusion process with small noise

Mathematics Subject Classification ID

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Cites Work

• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Distribution function inequalities for martingales
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Asymptotic expansion for small diffusions applied to option pricing
• Semiparametric hypotheses testing for dynamical systems with small noise
• Semiparametric estimation for dynamical systems with small noise.
• LAN property for ergodic diffusions with discrete observations
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Maximnm contrast estimation for diffusion processes from discrete observations
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