Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

Hermann Singer ()

Computational Statistics, 2006, vol. 21, issue 3, 385-397

Keywords: Stochastic differential equations; Nonlinear systems; Discrete measurements; Maximum likelihood estimation; Moment equations; Extended Kalman filter; Hermite expansion (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s00180-006-0001-4

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