Guerra, Maria Letizia; Stefanini, Luciano - In: Mathematics and Computers in Simulation (MATCOM) 53 (2000) 3, pp. 193-203
An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline...