|
|||||
|
|
Inference on the variance and smoothing of the paths of diffusions |
|
| Authors: | Gonzalo Perera Mario Wschebor |
| Institution: | Universidad de la República, Montevideo, Uruguay |
| Abstract: | We give a hypothesis testing method to fit the diffusion coefficient σ of a d-dimensional stochastic differential equation on the basis of the observation of certain functionals of regularizations of the solution. |
| Keywords: | Inference on the variance Central limit theorems Diffusion coefficient |
| 本文献已被 ScienceDirect 等数据库收录！ | |