Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed form expression for the transitional probability density function of the process is not available. As a result, a...

Maximum likelihood (ML) estimates of the parameters of stochastic differential equations (SDEs) are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed form expression for the transitional density of the process is not available. As a result, a large number...