On the estimation of the drift coefficient in diffusion processes with random stopping times.
Gutiérrez Jáimez, Ramón ; Hermoso Carazo, Aurora ; Molina Fernández, Manuel
Trabajos de Estadística, Tome 1 (1986), p. 57-66 / Harvested from Biblioteca Digital de Matemáticas
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This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient depending on a parametric vector θ. By considering a trajectory observed up to a stopping time, the maximum likelihood estimator for θ has been obtained and its consistency and asymptotic normality have been proved.

Publié le : 1986-01-01
DMLE-ID : 3098 
@article{urn:eudml:doc:40482,
     title = {On the estimation of the drift coefficient in diffusion processes with random stopping times.},
     journal = {Trabajos de Estad\'\i stica},
     volume = {1},
     year = {1986},
     pages = {57-66},
     zbl = {0656.62094},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40482}
}

Gutiérrez Jáimez, Ramón; Hermoso Carazo, Aurora; Molina Fernández, Manuel. On the estimation of the drift coefficient in diffusion processes with random stopping times.. Trabajos de Estadística, Tome 1 (1986) pp. 57-66. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40482/