Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient

Arnaud Gloter

ESAIM: Probability and Statistics (2000)

  • Volume: 4, page 205-227
  • ISSN: 1292-8100

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Gloter, Arnaud. "Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient." ESAIM: Probability and Statistics 4 (2000): 205-227. <http://eudml.org/doc/104263>.

@article{Gloter2000,
author = {Gloter, Arnaud},
journal = {ESAIM: Probability and Statistics},
keywords = {diffusion processes; discrete time observation; hidden Markov model},
language = {eng},
pages = {205-227},
publisher = {EDP Sciences},
title = {Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient},
url = {http://eudml.org/doc/104263},
volume = {4},
year = {2000},
}

TY - JOUR
AU - Gloter, Arnaud
TI - Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
JO - ESAIM: Probability and Statistics
PY - 2000
PB - EDP Sciences
VL - 4
SP - 205
EP - 227
LA - eng
KW - diffusion processes; discrete time observation; hidden Markov model
UR - http://eudml.org/doc/104263
ER -

References

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  2. [2] G. Dohnal, On estimating the diffusion coefficient. J. Appl. Probab. 24 ( 1987) 105-114. Zbl0615.62109MR876173
  3. [3] V. Genon-Catalot and J. Jacod, On the estimation of the diffusion coefficient formultidimensional diffusion processes. Ann. Inst. H. Poincaré Probab. Statist. 29( 1993) 119-151. Zbl0770.62070MR1204521
  4. [4] V. Genon-Catalot, T. Jeantheau and C. Laredo, Limit theorems for discretely observed stochastic volatility models. Bernoulli 4 ( 1998) 283-303. Zbl0916.60075MR1653264
  5. [5] A. Gloter, Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. Statistics (to appear). Zbl0980.62072MR1925514
  6. [6] J. Hull and A. White, The pricing of options on assets with stochastic volatilities. J. Finance 42 ( 1987) 281-300. Zbl1126.91369
  7. [7] J. Jacod, On continuous conditional Gaussian martingales and stable convergence in law. Séminaire de Probabilités XXXI. 1655. Springer, Berlin, Lectures Notes in Math. ( 1997) 232-246. Zbl0884.60038MR1478732
  8. [8] M. Kessler, Estimation of an ergodic diffusion from discrete observations. Scand. J. Statist. 24 ( 1997) 211-229. Zbl0879.60058MR1455868
  9. [9] B. Leblanc, Modélisation de la Volatilité d'un Actif Financier et Applications. Thèse, Université Paris 7 ( 1997). 
  10. [10] M. Lefebvre, On the inverse of the first hitting time problem for bidimensional processes. J. Appl. Probab.34 ( 1997) 610-622. Zbl0891.60081MR1464597
  11. [11] S. Pastorello, E. Renault and N. Touzi, Statistical inference for random variance option pricing. Southern European Economics Discussion Series, D.P.136 ( 1994). 
  12. [12] D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag, Berlin Heidelberg, second edition ( 1994). Zbl0804.60001MR1303781

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