In Chapters 1-6, we concentrated on the situation where the diffusion process is observed continuously throughout a time interval [0, T]. However, one encounters practical difficulties to obtain a complete continuous observation of the sample path. Discrete observations are much more likely.
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© 2008 Springer-Verlag Berlin Heidelberg
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(2008). Approximate Maximum Likelihood Estimation in Nonhomogeneous Diffusions. In: Parameter Estimation in Stochastic Differential Equations. Lecture Notes in Mathematics, vol 1923. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-74448-1_7
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DOI: https://doi.org/10.1007/978-3-540-74448-1_7
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