Journal article
On local linear approximations to diffusion processes
- Abstract:
-
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 parameters. In general, the maximum likelihood functions for diffusion models are not available, hence it is difficult to derive the exact maximum likelihood estimator (MLE). There are many different ...
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- Publisher copy:
- 10.1155/2011/906846
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Authors
Bibliographic Details
- Journal:
- International Journal of Mathematics and Mathematical Sciences
- Volume:
- 2011
- Pages:
- 1-26
- Publication date:
- 2011-01-01
- DOI:
- EISSN:
-
1687-0425
- ISSN:
-
0161-1712
- Source identifiers:
-
216404
Item Description
- Language:
- English
- Pubs id:
-
pubs:216404
- UUID:
-
uuid:b625acb6-324a-4e8e-a21c-0d7b54e7f4f2
- Local pid:
- pubs:216404
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2011
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