Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
DOI10.1007/S10436-012-0219-9zbMath1298.91189OpenAlexW2051774156MaRDI QIDQ470658
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/60335
Fokker-Planck equationasset pricingstochastic differential equationsfinite difference schemesnumerical maximum likelihood
Numerical methods (including Monte Carlo methods) (91G60) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10)
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