Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
\(N\) independent stochastic processes (\(X_i(t)\), \(t\in [0,T ]\)), \(i = 1,\dots,N\), defined by a one-dimensional stochastic differential equation, which are continuously observed throughout a time interval \([0,T]\) where \(T\) is fixed, are considered. Nonparametric estimation of the drift function is examined. Upper bounds of risks are defined, the assumptions are discussed and simulation experiments are observed.
scientific article; zbMATH DE number 7315913
scientific article