A comparative simulation study for estimating diffusion coefficient

An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline quadrature and bisection method.

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Year of publication:	2000
Authors:	Guerra, Maria Letizia ; Stefanini, Luciano
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 53.2000, 3, p. 193-203
Publisher:	Elsevier
Subject:	Bisection method \| Spline quadrature \| Diffusion coefficient \| Stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750161