Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach

DOI10.1002/sta4.499MaRDI QIDQ6543989

Faissal El Bouanani, Lahcen Omari, Youness El Ansari, Toufik Chaayra, Mustapha Amrouch

Publication date: 27 May 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstrong law of large numbersmartingalesdiffusion processmaximum-likelihood estimatorstrong consistencyreal interest rateEuler-Maruyama scheme

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
• Gaussian estimation of one-factor mean reversion processes
• Parameter estimation in stochastic differential equations.
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Gaussian estimation for discretely observed Cox–Ingersoll–Ross model
• Inspired by Finance
• A Theory of the Term Structure of Interest Rates
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION
• Advances in Mathematical Inequalities
• An equilibrium characterization of the term structure
• Probability

This page was built for publication: Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach