On Simulated Likelihood of Discretely Observed Diffusion Processes and Comparison to Closed-Form Approximation

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Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, methodology): “In particular, among various numerical methods, Lo [46] proposed to employ a numerical solution of Kolmogorov equation for transition density; Pedersen [55], Brandt and SantaClara [21], Durham and Gallant [25], Stramer and Yan [60], Beskos and Roberts [17], Beskos et al.”
Nonparametric Transition-Based Tests for Jump Diffusions (2009, unknown): “asymptotic scheme assumptions are such that this error is always smaller than the sampling error introduced by estimation of p. As a practical matter, Jensen and Poulsen (2002), Stramer and Yan (2007) , and Hurn, Jeisman, and Lindsay (2007) conducted extensive comparisons of different techniques fo”