Estimation for stochastic differential equations with a small diffusion coefficient

By Arnaud Gloter, Michael SØrensen. 2009

61 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/c74df8958eb9f2e9d49ffccc6c75318ba810b9df

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Michael SØrensen
2. A. Lindner
3. Mathieu Kessler
4. Masayuki Uchida

In Finance

1. A. Lindner
2. Mathieu Kessler
3. Michael SØrensen
4. Peter J. Brockwell
5. Richard A. Davis
6. Thomas Mikosch
7. Bo Martin Bibby
8. V. Todorov

Citations in the corpus

• Statistical Methods for Stochastic Differential Equations (2012, background): “Gobet (2002) showed, under regularity conditions, that a discretely sampled diffusion model is locally asymptotically normal under high frequency asymptotics, and that the optimal rate of convergence for a drift parameter is 1/ √ n∆n, while it is 1/ √ n for a parameter in the diffusion coefficient.”