An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline quadrature and bisection method. The robustness of the procedure is tested with respect to the different discretization schemes for SDE and to different form and values of drift and diffusion coefficients. The results reveal good performances in all the different situations taken into account. © 2000 IMACS. Published by Elsevier Science B.V. All rights reserved.
A comparative simulation study for estimating diffusion coefficient / Guerra M.L.; Stefanini L.. - In: MATHEMATICS AND COMPUTERS IN SIMULATION. - ISSN 0378-4754. - STAMPA. - 53:3(2000), pp. 193-203. [10.1016/s0378-4754(00)00196-8]
A comparative simulation study for estimating diffusion coefficient
Guerra M. L.
Writing – Original Draft Preparation
;
2000
Abstract
An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline quadrature and bisection method. The robustness of the procedure is tested with respect to the different discretization schemes for SDE and to different form and values of drift and diffusion coefficients. The results reveal good performances in all the different situations taken into account. © 2000 IMACS. Published by Elsevier Science B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
