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
โฆ LIBER โฆ
Unstable manifolds for RFDEs under discretization: the Euler method
โ Scribed by G. Farkas
- Book ID
- 104352229
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 866 KB
- Volume
- 42
- Category
- Article
- ISSN
- 0898-1221
No coin nor oath required. For personal study only.
โฆ Synopsis
generalization of the well-known unstable manifold theorem near hyperbolic equilibrium points of functional differential equations is formulated. The result says that the unstable manifold of the functional differential equation is close to its discretized counterpart if the stepsize of the discretization is sufficiently small.
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