Gloter, Arnaud; Sørensen, Michael - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 679-699
We consider a multidimensional diffusion X with drift coefficient b(Xt,[alpha]) and diffusion coefficient [epsilon]a(Xt,[beta]) where [alpha] and [beta] are two unknown parameters, while [epsilon] is known. For a high frequency sample of observations of the diffusion at the time points k/n,...