One dimensional SDE models, low order numerical methods and simulation based estimation: A comparison of alternative estimators

DOI10.1023/A:1008679025757zbMath0936.65007OpenAlexW1516005172MaRDI QIDQ1300639

Publication date: 3 May 2000

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008679025757

zbMATH Keywords

maximum likelihood estimation stochastic differential equations calibration indirect estimation estimation of drift parameters simulation of trajectories

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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