On local linear approximations to diffusion processes

DOI10.1155/2011/906846zbMath1278.60119OpenAlexW2063184277WikidataQ58687980 ScholiaQ58687980MaRDI QIDQ642240

Juan-Miguel Gracia

Publication date: 26 October 2011

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/906846

Mathematics Subject Classification ID

Point estimation (62F10) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

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• Long-time behaviour of heat flow: Global estimates and exact asymptotics
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• A representation formula for transition probability densities of diffusions and applications
• On conditional diffusion processes
• Smooth Transition Densities for One-Dimensional Diffusions
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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