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Optimal estimation for semimartingales
6 references·0 citing·23 second hop
Optimal estimation for semimartingales (1986)Optimal estimation for semimartingalesSTOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…Semimartingales (1982)SemimartingalesA Functional Central Limit Theorem for Semimartingales (1981)A Functional Central Limit Th…A strong law of large numbers for local martingales (1980)A strong law of large numbers…Maximum likelihood estimation for continuous-time stochastic processes (1976)Maximum likelihood estimation…On Square Integrable Martingales (1967)On Square Integrable Martinga…Calcul Stochastique et Problèmes de Martingales (1979)Central limit theorems for local martingales (1980)Nonparametric vector autoregression (1998)A semiparametric GARCH model for foreign exchange volatility (2005)From Stochastic Calculus to Mathematical Finance (2006)Identification and system parameter Estimation (1975)Quasi-least-squares estimation in semimartingale regression models (1986)Hierarchical Modeling of Stochastic Networks, Part I: Fluid Models (1994)Un Cours sur les Intégrales Stochastiques (2002)Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion (2003)A decomposition theorem for supermartingales (1962)Minimum contrast estimation in diffusion processes (1979)Estimation for queues from queue length data (2007)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Pricing foreign currency options under stochastic interest rates (1991)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Robust control and model misspecification (2006)On the Existence of Optimal Controls (1990)Path Dependent Options: The Case of Lookback Options (1991)A Stochastic Wave Equation in Two Space Dimension: Smoothness of the Law (1999)
this work references cited by second hop

References

  • 1967On Square Integrable Martingales617 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 1980A strong law of large numbers for local martingales383 cited
  • 1982Semimartingales358 cited
  • 1976Maximum likelihood estimation for continuous-time stochastic processes136 cited
  • 1981A Functional Central Limit Theorem for Semimartingales115 cited

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