Statistical inference for stochastic differential equations with small noises
From MaRDI portal
Publication:1724191
DOI10.1155/2014/473681zbMath1472.62132OpenAlexW1994161012WikidataQ59038534 ScholiaQ59038534MaRDI QIDQ1724191
Publication date: 14 February 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/473681
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- An asymptotic expansion scheme for optimal investment problems
- Linear stochastic systems with constant coefficients. A statistical approach
- Approximate martingale estimating functions for stochastic differential equations with small noises
- An asymptotic expansion approach to pricing financial contingent claims
- Estimation for stochastic differential equations with a small diffusion coefficient
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Asymptotic expansions of Bayes estimators for small diffusions
- Statistical inference for ergodic diffusion processes.
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Stochastic modelling in physical oceanography
- A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- Conditional expansions and their applications.
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
- Fitting Systems of Linear Differential Equations Using Computer Generated Exact Derivatives
- Maximnm contrast estimation for diffusion processes from discrete observations
