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Functional Analysis VII
September 17-26, 2001
Department of Mathematics, University of Zagreb, Croatia
Dubrovnik, Croatia

Organizers
Hrvoje Kraljevic, Zagreb, Croatia; Davor Butkovic, Zagreb, Croatia; Murali Rao, Gainesville, Florida, USA

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Asymptotic properties of diffusion parameter estimators
by
Miljenko Huzak
Department of Mathematics, University of Zagreb

Parametric diffusion model is represented by the stochastic differential equation dXt = \mu(Xt, \vartheta)dt + \sigmaXt dWt, where \theta = (\vartheta, \sigma2 ) is the unknown parameter which should be estimated from the discrete observations of the diffusion up to some fixed maximal observational time. Asymptotic properties of the proposed class of estimators, when the diameter of observational times tends to zero, are investigated.

Date received: May 9, 2001

Copyright © 2001 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cagt-42.