A comparative simulation study for estimating diffusion coefficient

Maria Guerra and Luciano Stefanini ()

Mathematics and Computers in Simulation (MATCOM), 2000, vol. 53, issue 3, 193-203

Abstract: An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline quadrature and bisection method.

Keywords: Bisection method; Spline quadrature; Diffusion coefficient; Stochastic differential equation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:53:y:2000:i:3:p:193-203

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