On the estimation of the drift coefficient in diffusion processes with random stopping times.
Ramón Gutiérrez Jáimez, Aurora Hermoso Carazo, Manuel Molina Fernández (1986)
Trabajos de Estadística
Similarity:
This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient depending on a parametric vector θ. By considering a trajectory observed up to a stopping time, the maximum likelihood estimator for θ has been obtained and its consistency and asymptotic normality have been proved.