Guy, Romain; Larédo, Catherine; Vergu, Elisabeta - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 51-80
We consider a multidimensional diffusion X with drift coefficient b(α,Xt) and diffusion coefficient ϵσ(β,Xt). The diffusion sample path is discretely observed at times tk=kΔ for k=1…n on a fixed interval [0,T]. We study minimum contrast estimators derived from the Gaussian process...
