Items for "It stochastic differential equation"

A new estimating function for discretely sampled diffusions

This paper shows that discretization after the application of Itô formula in the Girsanov likelihood produces estimators of the drift which have faster rates of convergence than the Euler estimator for stationary ergodic diffusions and is free of approximating the stochastic integral...

Keywords: It stochastic differential equation, Diffusion Process, discretization, truncated-Hausdorff moment problem, a new stochastic integral, WALL, Malliavin covariance, approximate maximum likelihood estimator, strong consistency, Berry-Esseen bound