We study the structure of point processes N with the property that the vary in a finite-dimensional space where [theta]t is the shift and the [sigma]-field generated by the counting process up to time t. This class of point processes is strictly larger than Neuts' class of Markovian arrival...

We consider a multidimensional diffusion X with drift coefficient b(Xt,[alpha]) and diffusion coefficient [epsilon]a(Xt,[beta]) where [alpha] and [beta] are two unknown parameters, while [epsilon] is known. For a high frequency sample of observations of the diffusion at the time points k/n,...

A new general approach to constructing a quasi score function for a class of stochastic processes is proposed. A crucial point in the construction is the separate treatment of the continuous martingale part and the purely discontinuous martingale part. The proposed estimating function fits into...