Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
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Publication:2475266
DOI10.1007/s11009-006-9006-2zbMath1134.60369OpenAlexW2091373981MaRDI QIDQ2475266
Publication date: 11 March 2008
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-9006-2
Related Items (6)
A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations ⋮ Globally optimal parameter estimates for nonlinear diffusions ⋮ On the approximate maximum likelihood estimation for diffusion processes ⋮ Bayesian inference for nonlinear multivariate diffusion models observed with error ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) ⋮ Bayesian inference for Markov jump processes with informative observations
Cites Work
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- Efficient Monte Carlo simulation of security prices
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- A Theory of the Term Structure of Interest Rates
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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