Minimum contrast estimation in diffusion processes

Publisher Website
Google Scholar
Abstract
This paper is concerned with the asymptotic theory of estimates of an unknown parameter in continuous-time Markov processes, which are described by non-linear stochastic differential equations. The maximum likelihood estimate and the minimum contrast estimate are investigated. For these estimates strong consistency and asymptotic normality are proved. The unknown parameter is assumed to take its values either in an open or in a compact set of real numbers.