Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

DOI10.15559/16-VMSTA66zbMath1355.60071arXiv1701.01238WikidataQ115235355 ScholiaQ115235355MaRDI QIDQ502541

Meriem Bel Hadj Khlifa, Kostiantyn Ralchenko, Mounir Zili, Yuliya S. Mishura

Publication date: 5 January 2017

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01238

zbMATH Keywords

stochastic differential equationstochastic volatilitystrong solutionsweak solutionsmaximum likelihood estimatorstrong consistencydrift parameter estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations ⋮ Stochastic differential equations with generalized stochastic volatility and statistical estimators

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