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On estimating the diffusion coefficient

Published online by Cambridge University Press:  14 July 2016

Gejza Dohnal
Gejza Dohnal*
Affiliation:
Technical University of Prague
*
∗Postal address: Department of Mathematics and Descriptive Geometry, Faculty of Engineering, Technical University of Prague, Suchbatarova 4, Prague 16607, Czechoslovakia.
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Abstract

Random processes of the diffusion type have the property that microscopic fluctuations of the trajectory make possible the identification of certain statistical parameters from one continuous observation. The paper deals with the construction of parameter estimates when observations are made at discrete but very dense time points.

Keywords

DIFFUSION PROCESSESPARAMETER ESTIMATIONLOCAL ASYMPTOTIC MIXED NORMALITYDISCRETE OBSERVATION
Type
Research Papers
Information
Journal of Applied Probability , Volume 24 , Issue 1 , March 1987 , pp. 105 - 114
Copyright
Copyright © Applied Probability Trust 1987 

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