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Estimation of the drift coefficient parameter in diffusion processes

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Abstract

The article considers the bias and the mean-square error of the maximum likelihood estimate of the drift coefficient parameter in diffusion processes. Weaker conditions than those in [1] are derived.

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Literature cited

  1. R. Sh. Liptser and A. N. Shiryaev, Statistics of Stochastic Processes [in Russian], Moscow (1974).

  2. P. Billingsley, Convergence of Probability Measures, Wiley (1968).

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Authors
  1. Ch. Bauer
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Additional information

Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 98, pp. 19–21, 1980.

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Bauer, C. Estimation of the drift coefficient parameter in diffusion processes. J Math Sci 21, 10–12 (1983). https://doi.org/10.1007/BF01091451

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  • DOI: https://doi.org/10.1007/BF01091451

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