Parameter estimation in stochastic differential equations

By J. Bishwal. 2007

145 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/fb3a2b26611feed5e386cfde61a3bb8cc5302cee

How researchers see this paper

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

In Finance

1. Herold G. Dehling
2. Thomas Kott
3. B. Franke
4. Juan-Carlos Escanciano

In Modeling and Simulation

1. Herold G. Dehling
2. Thomas Kott
3. B. Franke

Citations in the corpus

• Drift estimation for a periodic mean reversion process (2010, methodology): “Then the likelihood function of observations X of the process with stochastic differential (1) is defined as L(θ,X ) := dPX dPB”