Approximate martingale estimating functions for stochastic differential equations with small noises

DOI10.1016/j.spa.2007.10.008zbMath1145.62065OpenAlexW2036332207MaRDI QIDQ947158

Masayuki Uchida

Publication date: 29 September 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.10.008

zbMATH Keywords

eigenfunctionsasymptotic efficiencydiscrete time observationsdiffusion processes with small dispersion parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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