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20052008
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations · 475 across the 4 of their papers we have counts for

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math.ST2005

Nonparametric estimation of scalar diffusions based on low frequency data

Emmanuel Gobet, Marc Hoffmann, Markus Reiss

We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{nΔ},n=0,1,...,N. The sampling frequency Δ^{-1} is cons…