Statistical Methods for Stochastic Differential Equations

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Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (2020, methodology): “Nevertheless, when practical implementation is done, the compact set is chosen equal to the random data range which contradicts the theoretical results (see, for reference books, e.g. Kutoyants, 1984, 2004, Iacus, 2008, Kessler et al. , 2012).”