Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Small-diffusion asymptotics for discretely sampled stochastic differential equations

16 references·10 citing·24 second hop

FromToDepth

this work references cited by second hop

References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes373 cited
1997Estimation of an Ergodic Diffusion from Discrete Observations370 cited
1995Martingale Estimation Functions for Discretely Observed Diffusion Processes348 cited
1992Estimation for diffusion processes from discrete observation263 cited
1989Approximate discrete-time schemes for statistics of diffusion processes263 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
1999Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process187 cited
1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims141 cited
2001The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims135 cited
1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe123 cited
2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
1990Maximnm contrast estimation for diffusion processes from discrete observations

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

116 cited

2001Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach84 cited

2000Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process84 cited

Cited by

2008Estimation for stochastic differential equations with a small diffusion coefficient59 cited
2012Estimating functions for diffusion-type processes50 cited
2009Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises48 cited
2004Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions45 cited
2004Asymptotic Expansion for Small Diffusions Applied to Option Pricing43 cited
2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises40 cited
2016Least squares estimators for stochastic differential equations driven by small Lévy noises39 cited
2013Quasi likelihood analysis of volatility and nondegeneracy of statistical random field33 cited
2010Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations30 cited
2020Continuous record Laplace-based inference about the break date in structural change models27 cited