Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application

DOI10.1007/S11464-017-0663-YzbMath1395.65120OpenAlexW2761225051WikidataQ115377926 ScholiaQ115377926MaRDI QIDQ721469

Wei Gu, Pei Yan Li

Publication date: 19 July 2018

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-017-0663-y

zbMATH Keywords

compact difference schemetransition probability density functionKolmogorov partial differential equationstransition cumulative distribution function

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) KdV equations (Korteweg-de Vries equations) (35Q53) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for boundary value problems involving PDEs (65N06)

Cites Work

• Closed-form likelihood expansions for multivariate diffusions
• A Theory of the Term Structure of Interest Rates
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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