A pathwise inference method for the parameters of diffusion terms

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A pathwise inference method for the parameters of diffusion terms

We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analy...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Taylor & Francis 2018
Online Access:	http://hdl.handle.net/20.500.11937/54610

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