An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model

Miljenko Huzak, Snježana Lubura Strunjak, Andreja Vlahek Štrok

For a fixed $T$ and $k\ge 2$, a $k$-dimensional vector stochastic differential equation $d{X}_t=\mu (X_t,\theta )dt+\nu (X_t)d{W}_t,$ is studied over a time interval $[0,T]$. Vector of drift pa…