In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step...

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...

Numerical integration methods for stochastic volatility models in financial markets are discussed. We concentrate on two classes of stochastic volatility models where the volatility is either directly given by a mean-reverting CEV process or as a transformed Ornstein-Uhlenbeck process. For the...