Schmisser, Emeline - In: Statistical Inference for Stochastic Processes 15 (2012) 3, pp. 193-223
We consider a diffusion process (X <Subscript> t </Subscript>)<Subscript> t ≥ 0</Subscript>, with drift b(x) and diffusion coefficient σ(x). At discrete times t <Subscript> k </Subscript> = k δ for k from 1 to M, we observe noisy data of the sample path, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$${Y_{k\delta}=X_{k\delta}+\varepsilon_{k}}$$</EquationSource > </InlineEquation> . The random variables <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></inlineequation></subscript></subscript></subscript>
