Nonparametric estimation for a stochastic volatility model

Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc

Consider discrete time observations (X_{\ellδ})_{1\leq \ell \leq n+1}$oftheprocess$X$satisfying$dX_t= \sqrt{V_t} dB_t$,with$V_t$ a one-dimensional positive diffusion proces…