Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors

DOI10.1007/BF02595702zbMath1014.62098MaRDI QIDQ1872843

Yanyan Li

Publication date: 18 May 2003

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatorsuniformly minimum unbiased estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cites Work

• The Pricing of Options and Corporate Liabilities
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• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Uniformly minimum variance unbiased estimation in lognormal and related distributions
• Inference in lognormal multidimensional diffusion processes with exogenous factors: Application to modelling in economics
• First-passage-time densities for time-non-homogeneous diffusion processes
• Estimation in Multivariate Log-Normal Diffusion Processes with Exogenous Factors
• A note on the Volterra integral equation for the first-passage-time probability density
• Option pricing when underlying stock returns are discontinuous
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