A note on the derivation of sum rules from the equal-time commutation relations for the space components of current densities

A note on asymptotic properties of the e

A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times

✍ Isao Shoji 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 239 KB

In this note we investigate asymptotic properties of an estimator, called the Euler estimator, which is obtained by maximizing the likelihood function of the process discretized by the Euler method. By linking the Euler estimator of the coefficients of the drift function of a stochastic differential