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Estimation of the diffusion coefficient for diffusion processes: random sampling
4 references·5 citing·28 second hop
Estimation of the diffusion coefficient for diffusion processes: random sampling (1994)Estimation of the diffusion coefficient f…On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)On the estimation of the diff…Estimation for diffusion processes from discrete observation (1992)Estimation for diffusion proc…On estimating the diffusion coefficient (1987)On estimating the diffusion c…Estimation of the coefficients of a diffusion from discrete observations (1986)Estimation of the coefficient…Nonparametric estimation for interacting particle systems: McKean–Vlasov models (2021)Nonparametric estimation for …Parametric estimation for a parabolic linear SPDE model based on discrete observations (2020)Parametric estimation for a p…Quasi likelihood analysis of volatility and nondegeneracy of statistical random field (2013)Quasi likelihood analysis of …Inference for Stochastic Processes (2010)Inference for Stochastic Proc…Financial options and statistical prediction intervals (2003)Financial options and statist…Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Coherent Measures of Risk (1999)Chapter 12 Incomplete Markets (2007)Duality for pathwise superhedging in continuous time (2019)Pathwise superhedging on prediction sets (2019)Approximate discrete-time schemes for statistics of diffusion processes (1989)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model (1997)Hyperbolic Processes in Finance (2003)LIMITS OF EXPERIMENTS (1972)Non-parametric estimation of the diffusion coefficient by wavelets methods (1992)Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities (1998)Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach (2001)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Martingale Estimation Functions for Discretely Observed Diffusion Processes (1995)Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean Field Games with Applications II (2018)The LAN property for McKean–Vlasov models in a mean-field regime (2022)Online parameter estimation for the McKean–Vlasov stochastic differential equation (2023)Parameter estimation of discretely observed interacting particle systems (2023)Diffusions with measurement errors. I. Local Asymptotic Normality (2001)
this work references cited by second hop

References

  • 1992Estimation for diffusion processes from discrete observation263 cited
  • 1986Estimation of the coefficients of a diffusion from discrete observations245 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 1987On estimating the diffusion coefficient86 cited

Cited by

  • 2003Financial options and statistical prediction intervals47 cited
  • 2021Nonparametric estimation for interacting particle systems: McKean–Vlasov models38 cited
  • 2013Quasi likelihood analysis of volatility and nondegeneracy of statistical random field33 cited
  • 2020Parametric estimation for a parabolic linear SPDE model based on discrete observations23 cited
  • 2010Inference for Stochastic Processes21 cited

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