On local linear approximations to diffusion processes

On local linear approximations to diffusion processes

Diffusion models have been used extensively in many applications. These models, such as those used in the financial engineering, usually contain unknown parameters which we wish to determine. One way is to use the maximum likelihood method with discrete samplings to devise statistics for unknown par...

Полное описание

Библиографические подробности
Главные авторы:	Duan, X, Qian, Z, Zheng, W
Формат:	Journal article
Язык:	English
Опубликовано:	2011

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