Non-parametric estimation for partially observed transient diffusion processes

DOI10.1080/17442508608833407zbMath0653.62025OpenAlexW2074856420MaRDI QIDQ3799498

Valentine Genon-Catalot, Catherine Larédo

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833407

zbMATH Keywords

asymptotic propertiespoint processeshitting timesGirsanov formulatransient diffusionprocesses with independent incrementsunknown drift function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (2)

Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model ⋮ An asymptotic sufficiency property of observations related to the first hitting times of a diffusion

Cites Work

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• Radon-Nikodym derivatives with respect to measures induced by discontinuous independent-increment processes
• Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants
• Asymptotic likelihood theory for diffusion processes
• Maximum likelihood estimation for continuous-time stochastic processes
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

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