Statistics on crossings of discretized diffusions and local time

DOI10.1016/0304-4149(91)90038-EzbMath0741.60074OpenAlexW1968908828MaRDI QIDQ1180181

D. Florens-Zmirou

Publication date: 27 June 1992

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

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90038-e

zbMATH Keywords

local timeestimatordiscretized diffusion

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (2)

Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph ⋮ Transformation invariant stochastic catastrophe theory

Cites Work

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• Surfaces aléatoires. Mesure géométrique des ensembles de niveau
• Approximation du temps local des processus gaussiens stationnaires par régularisation des trajectoires. (Approximation of local times of stationary Gaussian processes by regularization of trajectories)
• Statistiques de diffusions et temps local. (Statistics of diffusions and local times)
• Level crossings of a stochastic process with absolutely continuous sample paths
• Estimation of the coefficients of a diffusion from discrete observations
• On the average number of real roots of a random algebraic equation
• Mathematical Analysis of Random Noise

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