most citedDrift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

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math.PR2017★ 3 cited

Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

Meriem Bel Hadj Khlifa, Yuliya Mishura, Kostiantyn Ralchenko +1

We consider a stochastic differential equation of the form \[dX_t=θa(t,X_t)\,dt+σ_1(t,X_t)σ_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where is some adapted st…