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Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Estimates for the Derivative of Diffusion Semigroups
Diffusion Semigroups Diffusion Processes Stochastic Differential Equations
2009/5/8
Let ${P_t}_{tge 0}$ be the transition semigroup of a diffusion process. It is known that $P_t$ sends continuous functions into differentiable functions so we can write $DP_tf$. But what happens with t...