In this paper we present a recursive algorithm that produces estimators of an unknown parameter that occurs in the intensity of a counting process. The estimators can be considered as approximations of the maximum likelihood estimator. We prove consistency of the estimators and derive their...

We consider a continuous time stochastic volatility model. The model contains a stationary volatility process. We aim to estimate the multivariate density of the finite-dimensional distributions of this process. We assume that we observe the process at discrete equidistant instants of time. The...