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L[sup p] estimates on a time-inhomogeneous diffusion process

✍ Scribed by Yan, Litan; Lu, Ligang; Xu, Zhiqiang


Book ID
115503536
Publisher
American Institute of Physics
Year
2005
Tongue
English
Weight
486 KB
Volume
46
Category
Article
ISSN
0022-2488

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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