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- W3123419114 abstract "This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved. The results are applied to two examples from the financial literature; viz., Cox-Ingersoll-Ross' model and the constant elasticity of variance (CEV) process illustrate the use of the technique proposed herein." @default.
- W3123419114 created "2021-02-01" @default.
- W3123419114 creator A5054058019 @default.
- W3123419114 date "2003-01-01" @default.
- W3123419114 modified "2023-10-16" @default.
- W3123419114 title "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time" @default.
- W3123419114 hasPublicationYear "2003" @default.
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