We propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo...

The main purpose of the paper is to provide a mathematical background for the theory of bond markets similar to that available for stock markets. We suggest two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions. Such integrals are...

In this article, we construct a mapping : D[0, [infinity])xD[0,[infinity])--D[0,[infinity]) such that if (Xt) is a semimartingale on a probability space ([Omega], , P) with respect to a filtration (t) and if (ft) is an r.c.l.l. (t) adapted process, then This is of significance when using...

Let W(t) be a G-valued Brownian motion with covariance operator . Stochastic integrals [integral operator]t0[xi](s) dW(s) are defined for non-anticipating H-valued processes. A version of Itô's formula for functions of stochastic processes defined in terms of stochastic integrals [integral...

Stochastic integration of left continuous integrands with respect to quasimartingales is developed as the pathwise limit of Riemann-Stieltjes sums. The procedure is extended to right continuous integrands.