Ogawa, Shigeyoshi; Ngo, Hoang-Long - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 9, pp. 1962-1976
Given a finite set of observed data {Xtk(ω0),Ytk(ω0)} of just one sample path at n regularly spaced time of the processes Xt and Yt satisfying dXt=a0(t)dt+a1(t)dW1(t)+a2(t)dW2(t)+dJ1(t),dYt=b0(t)dt+b1(t)dW1(t)+b2(t)dW2(t)+dJ2(t),t∈[0,T], where J1,J2 are jump process, we are to investigate a...