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- W3098778929 abstract "We prove a global asymptotic equivalence of experiments in the sense of Le Cam’s theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known diffusion coefficient. The asymptotic equivalence is proved by constructing explicit equivalence mappings based on random time changes. The equivalence of the discretized observation of the diffusion and the corresponding Euler scheme experiment is then derived. The impact of these equivalence results is that it justifies the use of the Euler scheme instead of the discretized diffusion process for inference purposes." @default.
- W3098778929 created "2020-11-23" @default.
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- W3098778929 date "2014-06-01" @default.
- W3098778929 modified "2023-10-17" @default.
- W3098778929 title "Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments" @default.
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- W3098778929 doi "https://doi.org/10.1214/14-aos1216" @default.
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