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ArticlePropriété LAN pour les diffusions ergodiques avec observations discrètes

Emmanuel Gobet A2002

Article2002

Propriété LAN pour les diffusions ergodiques avec observations discrètes

Emmanuel Gobet A

119 citations·0/0 files stored·Annales de l Institut Henri Poincaré Probabilités et Statistiques

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Markov Chains and Monte Carlo Methods

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References

2007Brownian Motion and Stochastic Calculus 2008Stochastic differential equations and applications 2006The Malliavin Calculus and Related Topics 1997Estimation of an Ergodic Diffusion from Discrete Observations 1992Estimation for diffusion processes from discrete observation 1989Approximate discrete-time schemes for statistics of diffusion processes 1986Estimation of the coefficients of a diffusion from discrete observations 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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2004Nonparametric estimation of scalar diffusions based on low frequency data 2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control 2012Adaptive estimation of an ergodic diffusion process based on sampled data 2012Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package 2003Small-diffusion asymptotics for discretely sampled stochastic differential equations

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Year2002

Typearticle

Published2002-01-01

VenueAnnales de l Institut Henri Poincaré Probabilités et Statistiques

ISSN-L0246-0203

Languagefr

Citations119

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0246-0203(02)01107-x

openalex_workW1568310689

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2008

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